In the S&C September 2020 article “Tracking Relative Strength In Four Dimensions”, James Garofallou presents a metric for evaluating a security’s strength relative to 11 major market sectors and over several time periods. All this information is squeezed into a single value. Maybe at cost of losing other important information? In this article we’ll look into how to program such a beast, and how it fares when we use it for rebalancing a stock portfolio.
This is a redesigned version for an european point of view.