fotchstecker
304 posts
msg #134955
- Ignore fotchstecker
modified |
3/16/2017 10:19:32 AM
Kevin created the below rotation strategy based on three sector ETFs and ranks their relative strength compared to SPY.
Is there a way to compare the symlist to itself, not to SPY? What I ultimately want is to do is measure RS crossovers within the entire the symlist pool, but I thought I would start with the simpler question. This would be the basis of a sector rotation strategy that is comparting "relative performance among a pool of diversified ETFs" rather than "a given ETF to an index." Different.
Is this possible?
Kevin's:
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symlist(XLI,XLU,AGG)
set{rs, weekly ROC(20,1)}
set{difference, rs - ind(SPY, rs)}
set{null, 0}
rs above 0
ADD COLUMN SEPARATOR
add column rs {20 week performance}
add column separator
add column difference {relative strength}
SORT ON COLUMN 6 DESCENDING
chart-display is weekly
draw rs line at 0
]
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Kevin_in_GA
4,599 posts
msg #134956
- Ignore Kevin_in_GA |
3/16/2017 10:33:24 AM
The value of "RS" in this filter gives you the absolute performance, which you are already sorting on. The top value is the best performing sector and the bottom is the worst. Isn't that what you are looking for?
If you want a ranking (1,2,3,...9) that was coded in the TAA system I wrote a while back.
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fotchstecker
304 posts
msg #134957
- Ignore fotchstecker
modified |
3/16/2017 10:56:43 AM
Hey, Kevin. Thanks. Yes, I can use the filter as-is for ranking.
I thought this might the basis for something different that I'm trying. What I'm ultimately trying to do is to better visualize rotation within the whole pool. So, if an ETF was 5th a few weeks ago but has recently jumped a number of rank positions, I want to be able to see this graphically. (And similarly, droppers.) While that formerly-5th ETF is not yet first, it is still on a trajectory that I want to see in relationship to the whole. Is this change rate of relative strength? Such a thing?
I'm try to build something that "tells a story" about the relationships in the pool more than calculate the "current strongest". Maybe this is beyond what SF can do. Maybe the approach isn't right. It's obviously beyond what I can do.
I'll check out your ranking tool -- definitely something I am interested in. Thanks again.
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