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Julius de Kempenaer (JdK) Relative Rotation Graphs (RRG) aka JdK RS Ratio
Updated September 8th 2020 by
QuantDawg

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Julius de Kempenaer (JdK) Relative Rotation Graphs (RRG) aka JdK RS Ratio

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#31 (permalink )
Philadelphia, PA

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Platform: Matlab, TradeStation

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I coded this up in Matlab.

The following user says Thank You to GoldenRatio for this post:

Can you help answer these questions from other members on futures io?

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#32 (permalink )
Tulsa, OK

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donedge
@

ericbrown ,

I have searched the net for something like this coded in Python. Have you done any progress?

I have not found anything and haven't taken the time to build something for my own use yet.

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#33 (permalink )
Rio de Janeiro / Barcelona

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GoldenRatio
I coded this up in Matlab.

Hi @GoldenRatio ,
Can you share the formula. I will have it coded it Python. I will share the code later here.

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#34 (permalink )
Philadelphia, PA

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donedge
Hi @

GoldenRatio ,

Can you share the formula. I will have it coded it Python. I will share the code later here.

@donedge
Unfortunately I cannot simply post the Matlab code due to reason I do not care to get into here in forum. However, I can show you the way. Most of the information on how to build can be found in Paul Ciana's-New Frontiers in Technical Analysis and Julius own website and public papers:
Calculate both a 10 and 30 week SMA
Take MACD of above
Create RS Ratio using MACD and Julius proprietary factor (1-99)
Calculate 9 week SMA of RS Ratio
Create RS Momentum of above.
Plot RS Ratio vs. RS Momentum
Good luck and please keep your word by posting Python code. Again, the hiccup if trying to match StockCharts or Bloomberg is that you do know know how Julius ranks the securities from 1-99. I use my own proprietary program to create rankings.

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#35 (permalink )
Christchurch, New Zealand

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GoldenRatio
@

Neo1 Did you write the script yourself to create the RRG chart or are you using a pre-programmed application?

I have written a script to create RRG charts using Julius de Kempenaer methodology but in the end, Julius ranks the symbols by a factor (1-99.) I have not been able to determine what factor Julius uses to rank symbols by. If calculated on your own, what factor do you use?

Here is an example from Jan 2015 from stockcharts:

And here is my code output when I brute force the factor until the plots matched:

I now use my own proprietary factor to rank stocks according to my selection methodology but would be curious to learn how others such as yourself do it.

Sorry I can't help you with the back end. RRG charts are built into one of the platforms I use- Market Analyst 7
-http://www.mav7.com/relative-rotation-graphs/

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#36 (permalink )
Rio de Janeiro / Barcelona

Experience: Advanced

Platform: NinjaTrader & Excel

Broker: IB

Trading: EWZ

Posts: 125 since Apr 2013

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GoldenRatio
@

donedge
Unfortunately I cannot simply post the Matlab code due to reason I do not care to get into here in forum. However, I can show you the way. Most of the information on how to build can be found in Paul Ciana's-New Frontiers in Technical Analysis and Julius own website and public papers:

Calculate both a 10 and 30 week

SMA
Take MACD of above

Create RS Ratio using MACD and Julius proprietary factor (1-99)

Calculate 9 week SMA of RS Ratio

Create RS

Momentum of above.

Plot RS Ratio vs. RS Momentum

Good luck and please keep your word by posting Python code. Again, the hiccup if trying to match StockCharts or Bloomberg is that you do know know how Julius ranks the securities from 1-99. I use my own proprietary program to create rankings.

Hi @GoldenRatio
What do you think of using the SCTR (stockcharts own indicator, the formula is public and I like it as it has a mix of short,medium and long term scope)? I guess that could be used instead of "Julius proprietary factor (1-99)".

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#37 (permalink )
Philadelphia, PA

Experience: Advanced

Platform: Matlab, TradeStation

Trading: Stocks

Posts: 204 since Aug 2012

Thanks: 4,952 given,
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donedge
Hi @

GoldenRatio
What do you think of using the SCTR (stockcharts own indicator, the formula is public and I like it as it has a mix of short,medium and long term scope)? I guess that could be used instead of "Julius proprietary factor (1-99)".

Hi @donedge ,
I am not familiar with stockcharts own indicator SCTR? Can you please provide a link?
Maybe that is what stockcharts is using when they generate the graphs and not Julius' factor? I do not have a stockcharts subscription but if they provide a SCTR for the indexes, then I can easily check ...

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#38 (permalink )
Rio de Janeiro / Barcelona

Experience: Advanced

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Trading: EWZ

Posts: 125 since Apr 2013

Thanks: 89 given,
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GoldenRatio
Hi @

donedge ,

I am not familiar with stockcharts own indicator SCTR? Can you please provide a link?

Maybe that is what stockcharts is using when they generate the graphs and not Julius' factor? I do not have a stockcharts subscription but if they provide a SCTR for the indexes, then I can easily check ...

@GoldenRatio
Here it is:
StockCharts Technical Rank (SCTR) [ChartSchool]
StockCharts Technical Rankings - Free Charts - StockCharts.com
I think this will work perfect instead of their indicator.

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#39 (permalink )
Philadelphia, PA

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Trading: Stocks

Posts: 204 since Aug 2012

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donedge
Unfortunately they do not provide the SCTR for any indexes, just stocks: RRG Charts - StockCharts.com so I cannot check against any?

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#40 (permalink )
Philadelphia, PA

Experience: Advanced

Platform: Matlab, TradeStation

Trading: Stocks

Posts: 204 since Aug 2012

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Neo1
Sorry I can't help you with the back end. RRG charts are built into one of the platforms I use- Market Analyst 7
-http://www.mav7.com/relative-rotation-graphs/

@Neo1 I am wondering if you would do me a favor and create a RRG chart for some or all of the following symbols:
PANW, ALXN, FB, VDSI, MTSI, SWKS, CELG, EA, CAVM, SMCI, CMPR, ILMN, ULTA, PKG, CBG, KMX, SHW, CYBR, LCI, AKRX, IPGP.
I'd like to see if I can determine what JdK is using to rank the stocks. If I discover the ranking method, I will share back with the thread.

September 8, 2020

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