StockFetcher Forums · General Discussion · ETFs momentum-ranked<< 1 2 >>Post Follow-up
glgene
523 posts
msg #39710
Ignore glgene
12/21/2005 11:16:54 AM

To TheRumpledOne,

How would I go about scripting the ETF family using "momentum" as the primary point counter. I've seen where you have used columns before to help rank a stock among other stocks. Highest cumulative count (say, 5 columns with 0 and 1 showing). Thus, a cumulative 4 would be higher ranked than a 2. Not sure what the 5 colums would be, but certainly RSI I would think. Except a stock with an RSI, say of 85, would be considered overbought, and wouldn't that be considered a negative? Any help would be appreciated.

GL Gene




alf44
2,025 posts
msg #39713
Ignore alf44
12/21/2005 12:35:48 PM

glgene,

You didn't ask me...but, why not just use the Comparitive Relative Strength measure to Rank all ETFs vs. an Index ?

The following simple filter Ranks ALL ETFs Comparitive Relative Strength vs. the Russell 3000 Index over the last 30 day period !

Anything OVER 1.00 tells you the ETF is outperforming the Index !

Anything UNDER 1.00 tells you the ETF is underperforming the Index !

They are sorted in descending order with the BEST PERFORMING ETFs at the TOP !

---------------------

Fetcher[/* ETF Comparitive Relative Strength Rank vs. Russell 3000 Index */

set{RelStrRank, Comparitive Relative Strength(^RUA, 30)}

Show all stocks where Market is ETF

add column RelStrRank
sort column 5 descending
chart-time is 3 Months
]


---------------------

Simple...but an effective way to see which ETFs are OUTPERFORMING the overall Market !


Regards,

alf44





glgene
523 posts
msg #39717
Ignore glgene
12/21/2005 2:14:38 PM

<< "The following simple filter Ranks ALL ETFs Comparitive Relative Strength vs. the Russell 3000 Index over the last 30 day period! >>
------------------------------------------------

What exactly does this measure? Is it the price action of an ETF vs. the overall Russell 3000 over the past 30 days?




alf44
2,025 posts
msg #39718
Ignore alf44
12/21/2005 2:30:45 PM

glgene,

This is from the SF Indicators and Measures Section of the Forums :

"The comparative relative strength computes the ratio of the change in price between two stocks. Often this measure is used to compare an input stock with the change in price of an index. On StockFetcher, you can use the comparative relative strength to find stocks that are outperforming or underperforming an index or any other given stock."

http://www.stockfetcher.com/stockdb/fetcher?p=forum&sub=view&fid=1006&tid=33617

--------------------


Regards,

alf44




glgene
523 posts
msg #39719
Ignore glgene
12/21/2005 2:57:02 PM

Many thanks, alf

I did not know that capability existed in SF. Much to learn. In your example, anything special about 30 days? Seems if I wanted to make a purchase of 3-4 strongest ETFs, I would shorten the time frame. Comments?

GL Gene


alf44
2,025 posts
msg #39721
Ignore alf44
12/21/2005 3:22:58 PM

...here's the same "ETF Rank Filter" with :

* EMAs added to the charts...
* Stochs, RSI & ADX added to the charts...
* Column info added to display current readings of Stochs, RSI & ADX...

-------------------

Fetcher[/* ETF Comparitive Relative Strength Rank vs. Russell 3000 Index */

set{RelStrRank, Comparitive Relative Strength(^RUA, 30)}

Show all stocks where Market is ETF

draw EMA(10)
draw EMA(30)
draw EMA(150)

draw Slow Stochastic(7,10) Fast %K
draw Slow Stochastic(7,10) Slow %D
draw RSI(14)
draw CMA(RSI(14),16)
draw ADX(14)

add column RelStrRank
add column Slow Stochastic(7,10) Fast %K {Stoch7}
add column RSI(14) {RSI14}
add column ADX(14) {ADX14}

sort column 5 descending
chart-time is 3 Months
]



---------------------

At a glance...

you can see which ETFs are outperforming OR underperforming the overall Market (ie. Russell 3000)...

you can see through the column info which are Overbought or Oversold etc...

you can judge Trend Intensity through the ADX column info.


Regards,

alf44





alf44
2,025 posts
msg #39722
Ignore alf44
12/21/2005 3:28:48 PM

gene,

My use of the 30 day timeframe was purely arbitrary !

Just substitute 100 days...60 days...30 days...10 days...5 days...whatever window of time you would like to measure !

Obviously, you could also use ANY Index as well. I just used the Russell 3000 because it is a pretty good proxy for the overall Market.


Good Luck,

alf44




TheRumpledOne
6,358 posts
msg #39723
Ignore TheRumpledOne
12/21/2005 3:44:53 PM

Fetcher[

/* ETF Comparitive Relative Strength Rank vs. Russell 3000 Index */

set{RelStrRank, Comparitive Relative Strength(^RUA, 30)}

Show all stocks where Market is ETF

draw EMA(10)
draw EMA(30)
draw EMA(150)

draw Slow Stochastic(7,10) Fast %K
draw Slow Stochastic(7,10) Slow %D
draw RSI(14)
draw CMA(RSI(14),16)
draw ADX(14)

add column RelStrRank
add column Slow Stochastic(7,10) Fast %K {Stoch7}
add column RSI(14) {RSI14}
add column ADX(14) {ADX14}

sort column 5 descending
chart-time is 3 Months
/* Multiple ZOOM LENS */

/* NORMALIZE momentum(12) */

set{moval22, INDPOSITION(momentum(12), 22) * 100}
set{moval60, INDPOSITION(momentum(12), 60) * 100}
set{movalwk, INDPOSITION(weekly momentum(12), 26) * 100}


/* NORMALIZE williams %r(10) */

set{wrval22, INDPOSITION(williams %r(10), 22) }
set{wrval60, INDPOSITION(williams %r(10), 60) }
set{wrvalwk, INDPOSITION(weekly williams %r(10), 26)}


/* PLOT CRITERIA */

draw moval22
draw moval60 on plot moval22
draw movalwk on plot moval22

draw wrval22
draw wrval60 on plot wrval22
draw wrvalwk on plot wrval22

add column moval22
add column moval60
add column movalwk

add column wrval22
add column wrval60
add column wrvalwk

add column industry


/* MP RSIWLR ANALYZER DISPLAY */
/* NORMALIZE accumulation distribution */

set{adval, INDPOSITION(accumulation distribution, 60) * 100 }

/* NORMALIZE momentum(12) */

set{moval, INDPOSITION(momentum(12), 60) * 100}

/* NORMALIZE rsi(2) */

set{rsval, RSI(2) }

/* NORMALIZE williams %r(10) */

set{wrval, INDPOSITION(williams %r(10), 60) * 100 }


/* DRAW THE MP RSIWLR CHART */

and draw wrval
and draw adval on plot wrval
and draw moval on plot wrval
and draw rsval on plot wrval

/* END MPs RSIWRL DISPLAY CODE */
]



I added the ZOOM LENS to the filter.

Just click on any of the moval columns to rank them.

MAY ALL YOUR FILLS BE COMPLETE.


glgene
523 posts
msg #39732
Ignore glgene
12/22/2005 12:38:59 PM

Just thought of something. Alf, if the Russell 3000 is going down, and since it's the barometer in your set-up, then a reading of (say) 1.09 on a southbound ETF won't mean anything (I don't think). That's why I like the idea of 0's and 1's, and using a cumulative score accordingly. Thus, a 4 would be stronger than a 2.

That said, I still like your script for comparing relative strength. Thank you, thank you. I'll tinker with different time spans.

And thank you, TheRumpledOne. I don't know how you know so much about SF scripting. You can put into a thimble how much scripting I really understand, whereas you've got a bucketful of know-how.

Together, you guys really know your stuff! Thanks.

GL Gene


glgene
523 posts
msg #39733
Ignore glgene
12/22/2005 1:43:52 PM

TRO,

I get a lot of errors with your scripting, such as "Unable to process due to set{} errors." Can you explain? Thanks.

GL Gene


StockFetcher Forums · General Discussion · ETFs momentum-ranked<< 1 2 >>Post Follow-up

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