SPX Members Outperforming

[Thomas]

Hi,

I want calculate the percentage of the SPX members that outperformed the SPX since the start of a given year on a daily basis.

To be more clearly: What was the percentage of SPX members that outperformed the SPX on each trading day in a given year.

The calculation should always start at the last trading day of the previous year. E.g. for 2021 the calculation should start at 12/31/2020, for 2020 the calculation should start at 12/31/2019, for 2019 the calculation should start at 12/31/2018, and so on.

I used the Breadth Engine with the following script:

RIC(DATESEL=User Defined, START_DATE=2020-12-31, INDEX=SPX:WI)

1 2 3

RIC(DATESEL=User Defined, START_DATE=2020-12-31, INDEX=SPX:WI)

The results where in no way what I wanted.

Here is a screenshot of my Breadth Engine settings:

Any help is appreciated.

Best wishes,
Thomas

[Darren]

Hi Thomas,

Your formula doesn’t have a true/false condition – it’s just calculating the RIC value. For out-performers you would need to add > 100.

Also, you would need a separate breadth measure for each year given the different starting points (use the Date Range option in the breadth setup window to select the yearly start / end dates, along with the RIC date).

1 user thanked author for this post.

Thomas

[Thomas]

Thanks Darren,

one final question: Is it necessary to create a script/data file for each year or is it possible to create one data file with the yearly outperformance percentages from 2005 to 2021?

Thanks,
Thomas

[Thomas]

Hi,

I hope this is my last question concerning this topic.

Is it possible to calculate the percentages of SPX members outperforming the SPX an a rolling 63 trading day basis. That means I have no fixed stating date. The start date changes every day like a moving average of 63 days.

Thanks,
Thomas

[Darren]

Hi Thomas,

I can’t think of a way to do the yearly calculations in one file (when using RIC(DATESEL=Year To Date) > 100 it only works for this year – not the previous years).

However, if you use RIC(DATESEL=Last Quarter) > 100 that will work for the last 3 months (approx 63 days).

1 user thanked author for this post.

Thomas

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