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Selecting strongest stocks
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FransArntzen
Posted 12/19/2011 4:58 PM (#3274)
Subject: Selecting strongest stocks



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Hi All

I red a lot of relative strength (RS). I would like to have a vote strategy to select the strongest index(ETF), sector, group and stock. The first problem is to determine the list of indexes etc. And then to create a way in Omnitrader to determine the best stocks. Now my question is, is there a way with Omnitrader to do this. I think that is possible. Now still a lot of stocks are cheap. Are there already solutions or articles on one of the forums to create such a vot system. Or else to deal with this issue in a OETC video(‘s). In any case how can I get this substance, if possible as soon as possible?
I hope that sombody has ideas or better strategies for this.

Frans

Edited by FransArntzen 12/19/2011 5:01 PM
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RoyWild
Posted 8/9/2013 1:27 PM (#5112 - in reply to #3274)
Subject: Selecting strongest stocks



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Frans,

Just saw this old post, and you probably have your answer. I think now with profit view you can accomplish below.

Roywild
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FransArntzen
Posted 8/9/2013 1:46 PM (#5113 - in reply to #3274)
Subject: Selecting strongest stocks



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No Roy, I didn't found a solution for this problem untill today. I found an article to compare the ROC of an ETF or Stock against an index. However it is in Amibroker language. I want to translate it in OT language.

Regards Frans

(Relative Strength SPY.png)



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Attachments Relative Strength SPY.png (138KB - 3 downloads)
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RoyWild
Posted 8/9/2013 2:02 PM (#5114 - in reply to #3274)
Subject: Selecting strongest stocks



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Frans,

Two options you may want to explore:

Profit View - this gives you the strongest stocks using relative strenght versus the index. and also gives you a "walk" on where it was before and where it is today. (below a picture from yesterday strongest stocks relative to the $SPX)

Profit view allows you to have filters with the TSA formula that tries to mimic the profit view.

The second option:

http://tradetight.org/forums/thread-view.asp?tid=942#M4980

You can compare stock relative to itself or relative to the index with the link.

In both scenarios you can rank the stock in the focus list to give you the strongest stocks and to those stocks you can apply your system/strategy.

Hope this helps

(8-9-2013 10-54-47 AM.png)




Edited by RoyWild 8/9/2013 3:35 PM

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SteveLuerman
Posted 8/9/2013 2:43 PM (#5115 - in reply to #5113)
Subject: Selecting strongest stocks



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Hi, Frans and Roy

I, too, have looked into this, and am interested in an OT solution. I think DSS comes the closest, but unfortunately is a post-signal ranking process rather than something available during signal generation. And, I'd also be interested in using the RS to generate an exit (e.g. that described by Les Masonson in his "Buy Don't Hold" strategy http://www.buydonthold.com/author/Les/ ).


Frans,
There is an example of "Relative Strength" calculation in the default DSS (see below).

Steve



(8-9-2013 12-41-34 PM.png)




Edited by SteveLuerman 8/9/2013 2:46 PM

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FransArntzen
Posted 8/9/2013 4:12 PM (#5116 - in reply to #3274)
Subject: Selecting strongest stocks



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Thank you for all the reactions.

When I view the Amibroker software, I see a strange phenomenon. First we calculate r10, r20, r50 and r100 from being the different EMAs of the Closes of the share. Then the ROC’s of these EMAs. Column1, Column2, Column3 and Column4.
After this the formula RSSP = (ROC10d - (EMA (ROC (Foreign ("SPY", "close"), 10), ROC10DayEMA))). However, in this formula first we calculate the ROC of the SPY and then the EMA. For the shares first the EMA and then the ROC. Then we reduce the ROC's share with the EMA of the SPY. I think this is wrong. First we need to calculate EMA of the SPY, then the ROC and use this result to determine the RSSP.
Am I wrong?

Best regards and have a nice weekend

Frans
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RoyWild
Posted 8/10/2013 12:30 PM (#5117 - in reply to #5116)
Subject: Selecting strongest stocks



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Frans,

There are many ways to calculate RS

Michael Carr - good book on very different ways to view RS - although he focus more on relative strenght by stock it self
http://www.amazon.com/Smarter-Investing-Any-Economy-Definitive/dp/1...

Kilpatrick - another one on relative strenght
http://www.amazon.com/Beat-Market-Invest-Knowing-ebook/dp/B004M18MH...

Or the Nirvana OT

RS(7,"$SPX",0)

Here you have two options - one that is just Price / Price of Index (with an option to smooth the data by a EMA)
Second option is the return of the stock from one period to another C/C[xx] and then the return of an Index SPY/SPY[xx] and then divide those numbers.

All of them work

Hope this is helpful
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FransArntzen
Posted 8/11/2013 5:51 PM (#5122 - in reply to #3274)
Subject: Selecting strongest stocks



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Hello Compagnons
I have tried to convert the Amibroker Code in OT indicators. See the results in 4 sreenshots.
-aFa1V1300ROC10Day. After the Emawarmupbars have passed, I calculate the EMA(10) of the close. And after the RocWarmUp bars the ROC of the calculated EMA. Then I plot a histogram of the ROC calculation. At the latest bar I convert the value in a value with two decimal digits to plot them in the focuslist column.
I copied this indicator three times aFa1V1300ROC20Day, aFa1V1300ROC50Day, aFa1V1300ROC100Day with the default parameter product values 20, 50, 100. To put all these indicator values in the focuslist.
-Also I create indicator aFa1V1300RSSpx. In this indicator I also calculate the ROC of the SPX. But on the same way as the ROC of the share. I also tried to calculate the RS as descripted in the Amibroker sheet. Then we get sometimes a difference of 0.01% to this way.
-I have also put a screenshot of DUPont with the different indicators. First plot of the SPX. Second Relative Strength of the stock to the SPX. Third ROC of the SPX and fourth ROC of DU PONT.
-Fourth: screenshot RS of all stocks DJI. This weekend

Best regards,
Frans


(aFa1V1300Roc10Day.png)



(aFa1V1300RSSpx.png)



(Du Pont Chart.png)



(FocusList.png)



Attachments
Attachments aFa1V1300Roc10Day.png (70KB - 1 downloads)
Attachments aFa1V1300RSSpx.png (75KB - 0 downloads)
Attachments Du Pont Chart.png (50KB - 0 downloads)
Attachments FocusList.png (21KB - 2 downloads)
Attachments PrjRelStrenght.zip (4KB - 14 downloads)
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