RSL ranking in Foliograph

At a glance

• Market > RSL sorts all stocks of the S&P 500 or the Nasdaq-100 by their Relative Strength after Levy (RSL).
• The RSL is the last weekly close divided by the average of the weekly closes over a period you choose (default 27 weekly closes as with Levy).
• You can highlight rows by your own criteria and set your own thresholds for held stocks.
• The page describes past prices. It gives no instruction to act and is not investment advice.
• Origin, classic rule set and publicly described variants of the strategy are under The RSL strategy after Levy.

The formula

Robert A. Levy described the measure in the Journal of Finance in 1967:

RSL = last weekly close / average of the last N weekly closes

• With an average of 100 and a price of 200 the RSL is 2.
• With an average of 100 and a price of 50 the RSL is 0.5.
• An RSL above 1 shows a price above the average, an RSL below 1 a price below it.

The period counts the weekly closes in the average, the current week included. Levy called his measure C/A26 and averaged the current weekly price with the 26 weeks before, so 27 prices. Foliograph therefore uses 27 by default, you can set any period from 2 to 90. The running week counts with its last known price, so RSL and rank can still change until the week closes. The status line shows whether the week is still running. With Completed weeks only the ranking uses the last completed week until then.

Stock universe and price data

• Stock universe: Foliograph reads the holdings of SPY (S&P 500) and QQQ (Nasdaq-100) from their latest NPORT-P filing at the SEC. This data is public. The list is read again once a week. Only stocks count, cash and money market funds of the ETFs are left out. Several share classes of one company (GOOGL and GOOG, for example) are merged into one row so they do not count twice in the average. Stocks without a ticker in the filing are counted in the status line.
• Price data: weekly prices come from TWS. They are prices without dividends, the same way the S&P 500 and the Nasdaq-100 are computed as price indices. Your IBKR account needs market data for US stocks. The first run loads two years for about 600 stocks and takes a few minutes, later runs fetch only the last month.
• Index RSL and average RSL: for the comparison Foliograph computes the RSL of the index itself (SPX respectively NDX) with the same period, plus the equal-weighted average RSL of all stocks in the ranking. The index RSL, by contrast, rests on the cap-weighted index, so the two values do not measure the same thing. Stocks with too few weekly prices for the period have no RSL and do not count. Newly listed stocks and spin-offs therefore only get an RSL after as many weeks as the period is long (default 27). Both values appear in the line above the table, together with the number of stocks with an RSL (for example 495 of 497 stocks with RSL).
• Daily prices: for the Jump 90d column Foliograph also loads the daily prices of the last six months, at most twice a day. That covers the 90 trading days of the column.
• Updates: Load data switches the automatic update on. It runs every six hours while TWS is reachable. You can switch it off under Settings. Refresh at the top right starts a run right away and switches the automatic update on as well.
• Stock splits: IBKR delivers split-adjusted prices. When a stored weekly close differs from the newly delivered one by more than 3%, Foliograph reloads the full history of that stock.

The table

A click on a row opens the chart panel with the daily and weekly chart. The name leads to the fundamentals. A blue dot before the symbol shows an open position (the stock or an option on it).

Settings

The Settings button opens four sections. Foliograph saves them with your account.

• Calculation: RSL period, short and long SMA in weeks plus Completed weeks only. The default is 10 and 21 weeks, you can enter any values.
• Highlight rows: within the first (ranks), top %, RSL at least, no price jump above a percentage, RSL above the index RSL, RSL above the average RSL, index RSL above 1, short SMA above the long one. A row is highlighted when it meets all criteria you filled in. With "Index RSL above 1" the list stays without highlights while the index is below its average over the chosen RSL period. Rows without daily prices do not meet the price-jump criterion.
• Thresholds for held stocks: outside top %, outside the first (ranks), RSL below, RSL below the index RSL, RSL below the average RSL, short SMA below the long one. A held stock gets an amber dot as soon as it crosses one of these thresholds. The tooltip names which.
• Data: automatic update on or off.

All criteria and thresholds stay empty until you set them yourself. Foliograph suggests no values.

Portfolio and heatmap

• Portfolio: the RSL Rank column shows the rank of stock positions in the selected index (for example 12/503), the tooltip adds RSL and top %. If a stock is only in the other index, the column shows its rank there. Stocks outside both indices stay empty. Show the column via the column picker.
• ETF heatmap: the RSL column shows the RSL of every ETF with your period, without a ranking.

Limits

• Survivorship bias: Foliograph computes the ranks of past weeks with the current stock universe. Stocks that have left the index since are missing from the look back. Newly added stocks appear in earlier weeks as well, as long as prices exist.
• Delayed index changes: the stock universe comes from the latest published NPORT-P filing of SPY respectively QQQ. The SEC publishes these filings with a delay, so changes to the index show up in Foliograph later. The status line shows the report date of the filing and how many days ago it was. From 120 days on the line turns red. A stock without a price in the current week, after a takeover for example, gets no rank. The status line counts it as "without a price this week".
• The past: the RSL describes how a price behaved against its own average. It says nothing about future prices.
• Momentum phases: research on momentum documents phases with sharp setbacks, for example at trend reversals after market crises.
• Turnover: following rankings often means trading more often. Commissions and taxes then weigh more.

Sources

• Robert A. Levy: Relative Strength as a Criterion for Investment Selection. The Journal of Finance, Vol. 22, No. 4 (1967), pp. 595-610.
• Narasimhan Jegadeesh, Sheridan Titman: Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. The Journal of Finance, Vol. 48, No. 1 (1993), pp. 65-91.
• Member lists: NPORT-P filings of SPY and QQQ at the SEC (EDGAR), public data of the US authorities.