1110 Raschke
1110 Raschke
Robert Levy (1967) pioneered academic studies on RS. Over his test
period in the 1960s, he concluded that 6 months was the optimal window
by which to measure RS and this was used to predict the subsequent 6
month period.
William ONeil (1960s) - select from leaders with a look back of 6 & 12
months. Hold for next 6 and 12 months.
James OOShaughnessy
Shaughnessy (1997) What
What Works on Wall Street
Street Popularized
Relative Strength among the upcoming quants.
When does Relative Strength work best and
when should it not be used?
Trading in commodities
Comparison of 4 indexes by visual inspection. Confirmation/non-
Confirmation/non-
confirmation and RS based on structure of the swings.
swings
Detecting changes in leadership: pattern recognition vs.
analysis. Wyckoff used pattern recognition.
quantitative analysis
Buy the RS leaders off Cycle lows. In this case, Relative Strength is
determined by comparative structure of the swings.
Comparison of two stocks in the same industry group: KO
divided by S&P 500 with 180
180--period moving average.
PEP divided by
y S&P 500 with 180-
180-p
period moving
g average
g
You can measure RS to see if it is rising or falling,
increasing or decreasing in momentum.