RS-Ratio, RS-Momentum under rank by

bulusufinances

@Julius_RRG

Is it possible to rank the results by the RS-Ratio and RS-Momentum instead of SCTR?

lmkwin

I'm sure Julius will get back to you. At this time it doesn't appear that the RRG filters are available to be used on the scan workbench. You may be able to create something that meets your needs using the PriceRelative function in conjuction with Moving Averages for the PriceRelative.

The two lines on the RRG are named JdK RS-Ratio and JdK RS-Momentum

https://school.stockcharts.com/doku.php?id=technical_indicators:rrg_relative_strength

According to the ChartSchool article the JdK RS-Ratio is similar to the PriceRelative function, and it is lagged by design. I take that to mean that it is a moving average of some sorts of the PriceRelative. And the 100 line represents the relationship of that moving average to another longer term moving average. So if the Short MA is above the Long MA the JdK RS-Ratio is above 100 and if Short MA is below Long MA the JdK RS-Ratio is below 100.

I don't know what MA's are being used. I set this up on a Weekly chart



Using these settings and it appears to matchup relatively well for this chart. This is representing the Red line on the RRG Relative Strenth indicator or JdK RS-Ratio line. I put the vertical lines in where the line crosses 100 are.



According to the ChartSchool article, the Momentum is a Rate of Change of the JdK RS-Ratio. It doesn't define what ROC value is used to draw that line.

If I throw a ROC 9 on the RRG Relative Strength indicator for that same weekly chart the vertical lines represent where the Green line of the JdK RS-Mom moves above and below the 100 level. So that ROC must be pretty close to the value that the RRG Relative Strength JdK RS-Momentum line is using.




Again, the values are NOT defined in the ChartSchool Article. I just am surmising what they are in relation to something that we CAN use in the scan engine. As I mentioned the PriceRelative is available in the Scan workbench. Under the Technical Indicators dropdown it defaults into the workbench like this.

and [Price Relative(SPY) > yesterdays Daily MAX(63,Price Relative(SPY))]

This is asking that the Price Relative of the Symbol vs the SPY be at a new 63 day high. Technical it's asking that the current price relative is higher than yesterday's highest price relative value for the last 63 days.

The JdK RS-Ratio is a smoothed value (in my opinion) and I used Moving Averages to approximate that. I used the 10 week SMA and 30 week SMA in the example. I'm not going to check it out on the daily chart, but I did provide the settings I used if you want to convert it and test it out on a daily chart. So, as I'm using weekly data in the example chart, I'll use weekly in this example scan. We need to define the 10w SMA and the 30w SMA for the PriceRelative. So I'd first adjust the default values to provide those two values

and [weekly SMA(10,weekly Price Relative(SPY))]
and [weekly SMA(30,weekly Price Relative(SPY))]

As you wanted to use RS-Ratio as a Rank By, you'd want to see the different between the two lines. Subtraction is a way to see it so I'd use

Rank By [weekly SMA(10,weekly Price Relative(SPY)) - weekly SMA(30,weekly Price Relative(SPY))]

I ran a test and it appears to work. A positive number in the Rank By means the Short MA is above the Long MA, so the RS-Ratio line should be above 100. Does the ranking match up exactly with the RRG RS-Ratio values? No, but it's pretty close. Like I said, I'm just guessing at the calcuations and values based on one sample chart. It does appear to be within my cone of probablity that it will return a sort that puts you in the neighborhood.

To use the JdK RS-Momentum, in my example I used a 9 week Rate of Change on the RRG Relative Strengh Indicator. As I noted, my SMA "equivalent" is actually based on two SMA's and their relationship to each other. I don't recommend using a complex math equation like trying to find the ROC of the Short - Long.

It will probably work just using the Short MA and looking at the Rate of Change for that line. Simple way to do that is to compare the value today vs the value X periods ago.

As I used a weekly chart and a ROC 9 in the example, we'll compart the weekly Short MA vs the weekly Short MA X periods ago using the StockCharts ROC calulation method. Current value - 9 periods ago value. So the JdK RS-Momentum Rank By would look like this

Rank By [weekly SMA(10,weekly Price Relative(SPY)) - 9 weeks ago weekly SMA(10,weekly Price Relative(SPY))]

Reviewing the test results on this one, I find it borderline acceptable but not something I'd bank on. When I tested with a shorter period, like -4 weeks ago the results got better in line with the JdK RS-Momentum line on the RRG indicator. Once again, not perfect, but the only way to get perfect is for them to add the JdK RS-Ratio and the JdK RS-Momentum into the available scan filters. Of course, I'm using weekly modifiers and I did run it today (Tuesday) so it may match up better using a week end date like I should have.

Long winded, long post. Hopefully it helps? I had similar questions a several years ago and made a suggestion to StockCharts Support and posted it in this thread.

https://scan.stockcharts.com/discussion/comment/5089#Comment_5089

Maybe since they added the Price Relative, those RRG options may be coming at some point. Price Relative is a great step forward in my opinion.

lmkwin

I should correct my error on the ROC calculation. It is the current - X periods ago / X periods ago. I used just the current - X periods ago.