StockFetcher Forums · Filter Exchange · Comparative Relative Strength<< >>Post Follow-up
glgene
535 posts
msg #95827
Ignore glgene
8/25/2010 12:36:22 AM

First time I used this function, thought I was doing okay, until today (8/24/2010).

I don't understand why, with the market down big today, how the relative rankings of the ETFs could go up (compared to the default BIL (1-3 mo. T-bill) ETF. It's my understanding that all my chosen ETFs (Sectors) compare their relative price strength over the past 5 days to baseline BIL. The rankings today (8/24) went > 1. ???

Maybe someone can offer assistance. Here is the script:

Fetcher[
/* ETF Comparative Relative Strength Rank vs. BIL */

set{RelStrRank, Comparative Relative Strength(^bil, 5)}

symlist(xle,xlf,xlu,xlb,xlv,xli,xlp,xlk,xly,tth,bil)
add column separator
add column RelStrRank {rsToday}
add column RelStrRank 1 day ago{rs1d}
add column RelStrRank 2 days ago{rs2d}
add column RelStrRank 3 days ago{rs3d}
add column RelStrRank 4 days ago{rs4d}
add column RelStrRank 5 days ago{rs1w}
add column separator
add column rsi(14)
add column cci(20)
add column wma(30)
add column macd (12,26)
draw rsi(14)

sort column 5 descending
chart-time is 3 Months
]



Kevin_in_GA
4,553 posts
msg #95830
Ignore Kevin_in_GA
8/25/2010 6:42:03 AM

I am guessing it has to do with the data feed on ^BIL. If I use SHV instead, it works.

glgene
535 posts
msg #95833
Ignore glgene
8/25/2010 9:06:27 AM

Kevin,

I tried SHV, and I still get numbers > 1.0 in the RsToday column (for 8/24) --- when 8/24 was a down market day.

Zack

Kevin_in_GA
4,553 posts
msg #95834
Ignore Kevin_in_GA
8/25/2010 11:15:48 AM

Fetcher[

/* ETF Comparative Relative Strength Rank vs. BIL */

set{RelStrRank, Comparative Relative Strength(shv, 5)}

symlist(xle,xlf,xlu,xlb,xlv,xli,xlp,xlk,xly,tth,bil)
add column separator
add column RelStrRank {rsToday}
add column RelStrRank 1 day ago{rs1d}
add column RelStrRank 2 days ago{rs2d}
add column RelStrRank 3 days ago{rs3d}
add column RelStrRank 4 days ago{rs4d}
add column RelStrRank 5 days ago{rs1w}
add column separator
add column rsi(14)
add column cci(20)
add column wma(30)
add column macd (12,26)
draw rsi(14)

sort column 5 descending
chart-time is 3 Months
]



seems to work for me ...

glgene
535 posts
msg #95835
Ignore glgene
8/25/2010 1:13:50 PM

Kevin,

Well, it seems to work now...with either BIL or SHV. You may be right; might have had some temporary bad data. Or else my computer had the 1-day flu .

I chose BIL (could have been SHV), because I was seeking a baseline that would always = 1.00 (or close). I didn't want to use SPY, for example, as the default. I basically wanted a 0 line (1.00) as the default to compare all the other sectors.

I'm going to change my sort to RsToday, so the highest (relative) ranked ETFs (most current) are at the top. At the moment, that is BIL or SHV, at 1.00. That means it's 'turdsville' for the others (at the moment).

Zack

Kevin_in_GA
4,553 posts
msg #95837
Ignore Kevin_in_GA
8/25/2010 2:17:24 PM

try this variation (I have been using this set up to manage my 401k for the last few months - it has been more responsive to market changes, and is based on INTRINSIC STRENGTH rather than relative strength).

Fetcher[

set{TSIRank, weekly TSI(3,9,1)}

symlist(xle,xlf,xlu,xlb,xlv,xli,xlp,xlk,xly,tth,bil)
add column separator
add column TSIRank {rsToday}
add column TSIRank 1 week ago{TSI -1w}
add column TSIRank 2 weeks ago{TSI -2w}
add column TSIRank 3 weeks ago{TSI -3w}
add column TSIRank 4 weeks ago{TSI -4w}
add column TSIRank 5 weeks ago{TSI -5w}
add column separator

sort column 6 descending
chart-display is weekly
chart-time is 6 Months

]



Just look at this each Friday. Invest in the highest ranked ETF. I would suggest adding several other candidates - AGG, MUB, LQD on the bond side, and VWI, IWM, and SPY on the equities side.

Another way to think about this - buy the highest rated ETF on Friday, and short the lowest rated. You can do this on your list by using inverse ETFs for the market sectors. Since August 6th that would have meant buying TTH and shorting XLF - you would have made close to 9% since then!

glgene
535 posts
msg #95842
Ignore glgene
8/25/2010 11:00:06 PM

Kevin,

Thank you for pointing me to your True Strength Index (TSI Rank), page 107 in the SF Manual.

I have worked with it tonight, and I am impressed with the results of my mini-testing. I will explore that idea more. I want to read up on it so I can understand it more in depth. How did you find it?

What made you pick 3,9,1 as the weekly TSI setting?

Zack

Kevin_in_GA
4,553 posts
msg #95845
Ignore Kevin_in_GA
8/26/2010 6:36:27 AM

That happens to be the default parameters on freestockcharts.com - seems to work pretty nicely so I haven't messed with it (yet).

glgene
535 posts
msg #95846
Ignore glgene
8/26/2010 8:45:13 AM

"That happens to be the default parameters on freestockcharts.com - seems to work pretty nicely so I haven't messed with it (yet).
---------------------------
Kevin, Thanks for your reasoning on your 3,9,1 settings. Have to admit, I haven't used the site, FreeStockCharts.com, so I'll go take a peek there. I did some research last night on "True Strength Index." Interesting, informative. That's where I saw some other default settings. Some (most) of them were daily settings. Whereas, yours are weekly.

Thanks...again!
Zack


StockFetcher Forums · Filter Exchange · Comparative Relative Strength<< >>Post Follow-up

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