StockFetcher Forums · Public Filter List · Comparative relative Strength<< >>Post Follow-up
wkloss
230 posts
msg #95794
Ignore wkloss
8/23/2010 2:21:14 PM

How do you modify your comparative relative strength filter so it compares/ranks stocks against each other or etf's against each other?

How do you tell it to buy the highest ranked one?



Kevin_in_GA
4,547 posts
msg #95796
Ignore Kevin_in_GA
modified
8/23/2010 2:47:56 PM

As far as I can tell, SF can't do this. It would require a series of "IF" statements that SF does not support.

These approaches need to be back-tested manually. Not all that hard, just a little more work.

Believe me, if SF could do this I would have coded it into my Relative Strength filter already...

wkloss
230 posts
msg #95802
Ignore wkloss
8/23/2010 7:02:16 PM

Kevin,

You were the reason I made this request. I liked what you did with your 401k Portfolio Selection thread and wanted to test the concept on stocks. I'm not excited by the comparative relative strength capability in the SF indicators because it only allows comparison with 1 other symbol. That symbol may be in a down trend and the fact that other symbols have greater strength doesn't mean they are in an uptrend.

Bill

Kevin_in_GA
4,547 posts
msg #95806
Ignore Kevin_in_GA
8/23/2010 9:11:43 PM

Agreed. Comparing to SPY, for example, only shows you stocks doing better than SPY, not necessarilty ones that are generating profit. Just because GLD is relatively stronger than SPY at some point in time does not mean it is making you money.

I came to this same conclusion a while back. Two things are important to making this type of trading system work - a non-correlated set of assets from which to choose, and an independent measure of "strength".

1. Use a small set of ETFs (I currently like VWO, SPY, AGG, IWM, and GLD).

2. Try using the following as your indicator - weekly TSI(3,9,1). The True Strength Index provides you with a very nice measure of intrinsic strength, and the settings seem to work nicely for me. Check every Friday and rotate as a new ETF rises to the top.

If you backtest these ETFs since about September 2008 they have returned about 65%. That is way more than the relative strength method at ETFReplay.com or any of the filters I posted earlier on the 401k thread.

As an example, this method has had me in AGG since 5/7/2010 for a decent gain of 3.8%, compared to:

GLD = 1.9%
VWO = 1.3%
SPY = -7.5%
IWM = -12%

Try it.

StockFetcher Forums · Public Filter List · Comparative relative Strength<< >>Post Follow-up

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