Thanks David, the basic charts have the same functionality in all services. In BB and Market Analyst we offer some additional tools. For BB the RRG-Lines and 2 color bar studies derived off RRG. Market Analyst professional has the most extensive tool-set for RRG with lots of reall nifty things. One I like for example is the ability to use a Bubble chart for RRG and use the bubble size for another metric. For example the wight of a sector within the broader index. Or the wight of a position within a portfolio etc etc.
It all sounds very interesting, I used to look at expected moves based on IV before i started using STDs of VWAP. What I was getting at is that in order to compute anything to do with IV, you'll need all the options pricing data( most platforms aren't going to offer this), so you can calculate some sort of weighted average volatility of both the put and call options for each underline you're tracking. Basing it on the IVX computation might be a good idea.
I had a quick read of Jim Yates old STOCKS & COMMODITIES interview and it sounds like he's using IV to calculate the expected move over N period, and then ranking it as "zones 1-6" based on +/- STDs of how far away price is currently tracking from it's expected move.
One way to implement this into a RRG would be to use a script/ bubble style function similar to what is offered in MA7, however it would need to be in a platform that has all the options pricing data(like TOS). Then you could take the implied risk computation( or something similar) and implement your own zone style ranking ( eg 1-6) so each zone was displayed on a RRG plot with a different sized bubble(1-6). This way you wouldn't need to touch the RRG computation , however each security would be plotted with a bubble size based on it's zone ranking, so you could easily visualize if IV was supporting relative rotation.
"Free markets work because they allow people to be lucky, thanks to aggressive trial and error, not by giving rewards or incentives for skill. The strategy is, then, to tinker as much as possible and try to collect as many Black Swan opportunities as you can"
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Thanks for your input/interest in this subject... Tradestation calculates a weighted Implied Volatility for optionable stocks/ETFs at the end of every day which is absolutely fine for my needs. The calculations are quite simple if one has this data as all Jim Yates was doing was basically treating the IV as a "Bollinger Band" against a 90 DMA. I plot this as an indicator similar to %B which is simply- (Close- Lower Band) / (Upper Band - Lower Band) where the bands are a 90 DMA +/-(( Daily IV * Close) / 252 ) * 90. This creates the "Oscillator" where values >1 = Zone6, .75-1 = Zone5, 50-75 = Zone4, etc. Implied momentum is either positive or negative(the value is insignificant and is just whether the Zone Score is <> a 10 DMA of itself.
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For RRG purposes, the zones and raw momentum value could be used. I am really just wanting to have the visual aspect of RRG with the tails as I would like to compare with the Relative Strength version to explain to clients why we implemented certain strategies (trimmed position, Increased Positions, Covered Calls, Married Puts, etc).
I could go on about the value of this very simple analysis technique forever as I have found excellent long term results using this as a "relative field position" guide (Not a trading signal although one could argue it works) for several years now. I find it is a better indicator of market expectations than Bollinger Bands as the input is not derived from price itself. Only downfall is it reliance upon a moving average which I could go on and on about that too but its a great tool.
What platform are you on?
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Interesting thoughts/views. As a matter of fact, since the day RRGs were "born" thoughts like these are crossing my mind on a (probably) weekly basis. As you point out correctly the availability of data often is a limitation. I have done some work, but not extensively yet, using volatility (regular so not based on options IV) to equalize the rotation of high Beta and low Beta sectors or stocks for example. Using Bullish% as input instead of price. Running RRGs using double benchmarks and/or multi time-frames. etc. etc. etc.
It is sort of "pandorra's box" every time you open it, something new pops out