StockFetcher Forums · Filter Exchange · Relative Strength Trends for Stocks and ETFs<< >>Post Follow-up
davesaint86
268 posts
msg #57474
Ignore davesaint86
12/3/2007 6:47:16 PM

Does anyone out there know what the syntax is to calculate Relative Strenght like IBD caluculates it. Also would it be the same for ETFs compared to stocks? I don't know if any of you have visited the below site but I would like to setup a filter that does the same thing listed the below free website.
http://www.etfscreen.com/rsftrends.php

Thanks-Dave

rharmelink
81 posts
msg #57571
Ignore rharmelink
12/4/2007 9:14:12 PM

IBD relative strength is just a weighted quarterly return. Here's what I use:

Fetcher[
set{ cq0,close }
set{ cq1,close 3 months ago }
set{ cq2,close 6 months ago }
set{ cq3,close 9 months ago }
set{ cq4,close 12 months ago }

set{ roi1z, cq0 - cq1 }
set{ roi1, roi1z / cq1 }

set{ roi2z, cq1 - cq2 }
set{ roi2, roi2z / cq2 }

set{ roi3z, cq2 - cq3 }
set{ roi3, roi3z / cq3 }

set{ roi4z, cq3 - cq4 }
set{ roi4, roi4z / cq4 }

set{ rsvz, roi4 + roi3 }
set{ rsvy, rsvz + roi2 }
set{ rsvx, rsvy + roi1 }
set{ rsvw, rsvx + roi1 }
set{ rsv, rsvw / 5 }

set{ lrs250, linear regression(250) slope }
set{ sq250, r squared(250) }

Avgvol(30) > 5000
cq0 > 10
cq1 > 10
cq2 > 10
cq3 > 10
cq4 > 10

add column rsv
add column lrs250
add column sq250
add column roi1
add column roi2
add column roi3
add column roi4
add column CQ0
add column CQ1
add column CQ2
add column CQ3
add column CQ4

sort column 5 descending
]



I just replace the price and volume selection criteria with:

show etf

...when I just want to use ETFs. Unfortunately, StockFetcher's ETF list only contain 151 of the ETFs, so you might be better off creating your own watchlist of all of the ETFs you want to apply the process to.

davesaint86
268 posts
msg #57572
Ignore davesaint86
modified
12/4/2007 10:18:23 PM

Thank you rharmelink. How do you make your selections based on your IBD RSV filter? Above .90?

I borrowed bits and pieces from other (TRO, SAFETRADE, etc) filters and created this one.

Dave

Fetcher[/* ETF Filter */

/* APPLY TO ETF SYMLIST*/
apply to Symlist (QQQQ,SPY,IWM,GLD,MDY,EEM,DIA,QLD,QID,TWM,UWM,MYY,MZZ,SDS,SSO,XLE,GTC)

set{LimDiff55, high 55 day high minus low 20 day low}
set{PPDiff55, CLOSE minus Low 20 day low}
set{PPDiv55, PPDiff55 / limdiff55}
set{BallOn55, PPDiv55 * 100}
set{LimDiff26, high 26 week high minus low 26 week low}
set{PPDiff26, CLOSE minus Low 26 week low}
set{PPDiv26, PPDiff26 / limdiff26}
set{BallOn26, PPDiv26 * 100}

add column separator
add column rs
add column separator
add column ADX(10,10) {ADX10}
add column separator
add column Money Flow Index(15) {MFI15}
add column separator
add column buy
add column separator
add column hold
add column separator
add column sell
add column separator
add column sell2
add column separator
set{Stop, Low * .05}
add column Stop
add column separator
set{StopLoss, low - stop}
add column Stoploss
add column separator
add column rsi(14){drsi14}
add column separator
add column weekly rsi(5){wrsi5}
add column separator
add column ballon26
add column separator
add column ballon55
add column separator

* Relative Strength Rating */

set{range, high 52 week high - low 52 week low}
set{ppdif, close - low 52 week low}
set{ppdiv, ppdif / range}
set{rs, ppdiv * 100}



and draw CCI (20) line at 100.00 and draw CCI (20) line at -200.00
and draw Slow Stochastic(12,3) Fast %K line at 20.00 and draw Slow Stochastic(12,3) Fast %K line at 80.00
and draw Slow Stochastic(12,3) Fast %K line at 50.00
and draw MACD Fast Line(12,26) line at .15
and draw stochrsi (12) on plot stochrsi (25)
and draw StochRSI (12) line at .80 and draw StochRSI (25) line at .50


add column Open {TDO}
add column separator
add column High {TDH}
add column separator
add column Low {TDL}
add column separator
add column Close {TDC}
add column separator

add column Open 1 day ago {PDO}
add column separator
add column High 1 day ago {PDH}
add column separator
add column Low 1 day ago {PDL}
add column separator
add column close 1 day ago {PDC}
add column separator
add column volume 1 day ago {PDV}



/* high reached a new 20 day high in the last 1 day
close >15
volume > 50000
ma(50) > ma(200)
shares outstanding < 100 */
draw ballon55 on plot ballon26
draw ballon26 line at 75
draw rsi(14) line at 75
draw rsi(14) line at 65
draw weekly rsi(5) on plot rsi(14)
set{buy, count(high reached a new 20 day high within the last 1 day,1)}
set{sell, count(close reached a new 10 day low within the last 1 day,1)}
set{hold, count( ballon26 above 75 , 1) }
set{sell2, count( ballon26 crossed below 75 , 1) }
sort column 12 descending
]




rharmelink
81 posts
msg #57580
Ignore rharmelink
12/5/2007 12:41:14 AM

>> How do you make your selections based on your IBD RSV filter? Above .90?

I don't think an absolute value really means anything. IBD would just rank the stocks based on the value -- basically normalizing them from 1 to 99. If you look at the RSV raw data, there will be less absolute different between two stocks ranked 40 and 60 than there will be between two stocks ranked 90 and 91.

I actually export the data to an EXCEL spreadsheet to do further selections.

I use a cutoff of the top 20% of RSV (for the 151 ETF). But I also use the linear regression slope and the linear regression correlation line to make sure I've got some stability of growth. I also do some elimination based on negative quarterly returns. Again, looking for some consistency and stability. I also use a few P&F criteria from StockCharts.com.

However, so far the results haven't been all that great:

http://www.marketocracy.com/cgi-bin/WebObjects/Portfolio.woa/ps/FundPublicPage/source=JhFbAoJhEeAlOpMaMaKiAbDe/maxDays=10000

It's done well in the last month because I've been in cash -- little consistency and stability out there. However, I haven't taken the step to create a watchlist, to expand the ETF universe I *should* be using.


StockFetcher Forums · Filter Exchange · Relative Strength Trends for Stocks and ETFs<< >>Post Follow-up

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