SPX Members Outperforming

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  • #66945
    Thomas
    • Topics: 114
    • Replies: 153
    • Posts: 267

    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:

    The results where in no way what I wanted.

    Here is a screenshot of my Breadth Engine settings:
    screenshot - 0000

    Any help is appreciated.

    Best wishes,
    Thomas

    #66947
    Darren
    • Topics: 69
    • Replies: 742
    • Posts: 811

    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.
    #66949
    Thomas
    • Topics: 114
    • Replies: 153
    • Posts: 267

    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

    #66951
    Thomas
    • Topics: 114
    • Replies: 153
    • Posts: 267

    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

    #66953
    Darren
    • Topics: 69
    • Replies: 742
    • Posts: 811

    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.
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