StockFetcher Forums · Filter Exchange · Russell 2000 As Market Timing Indicator<< >>Post Follow-up
230 posts
msg #99505
Ignore wkloss
3/5/2011 3:38:14 PM

Several years ago before ETF's were developed, I read a research report using the Russell 2000 Growth and Value as a market timing indicator. The concept was when the Russell 2000 Growth was the relative strength (not RSI) leader, the stock market showed strong gains and when the Russell 2000 Value was the leader, the market didn't do very well. To me, this made sense. The system was designed initially to trade Growth & Value but it also worked well using various strong sectors when Growth was the leader.

Now that we have ETF's, we can use IWO (Russell 2000 Growth), IWV (R2K Value), IWF (R1K Growth and IWD (R1K Value) to compute the signal.

The computation was a bit complicated and time consuming. The report used 5 days, 15 days, 25 days and 35 days then it averaged the values. This never made any sense to me because it would seem simply adding the values together would give the same signal, even taking into consideration that some values may be negative and some could be positive. I have attempted coding this but it is beyond my skill level. Anyone interested in fixing my work or doing it another way?

show stocks where the relative strength(iwv,5) is above 1.00
show stocks where the relative strength(iwv,15) is above 1.00
show stocks where the relative strength(iwv,25) is above 1.00
show stocks where the relative strength(iwv,35) is above 1.00
apply to symlist(iwf,iwd,iwo)
add column relative strength(iwv,5)
add column relative strength(iwv,15)
add column relative strength(iwv,25)
add column relative strength(iwv,35)

3,823 posts
msg #99510
Ignore Kevin_in_GA
3/5/2011 7:37:53 PM


set{var1, roc(5,1) + roc(15,1)}
set{var2, var1 + roc(25,1)}
set{sum, var2 + roc(35,1)}
add column sum
sort on column 5 descending
draw ind(iwo, sum) on plot ind(iwn, sum)


Relative strength and ROC are essentially the same - in this filter I have simply summed up the 5,15, 25, and 35 day ROC as a surrogate for the relative strength.

The results are sorted on highest sum, and the plot on the bottom lets you compare visually. To me they look pretty much in sync for the recent past - not sure if they are much of a timing system in a market like we have had the last six months.

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