PortfolioTesteR (version 0.1.4)

calc_relative_strength_rank: Calculate Cross-Sectional Ranking of Indicators

Description

Ranks each stock's indicator value against all other stocks on the same date. Enables relative strength strategies that adapt to market conditions. Optimized using matrix operations for 15x speedup.

Usage

calc_relative_strength_rank(
  indicator_df,
  method = c("percentile", "rank", "z-score")
)

Value

Data frame with same structure containing ranks/scores

Arguments

indicator_df

Data frame with Date column and indicator values

method

Ranking method: "percentile" (0-100), "rank" (1-N), or "z-score"

Examples

# Rank RSI across all stocks
data("sample_prices_weekly")
rsi <- calc_rsi(sample_prices_weekly, 14)
rsi_ranks <- calc_relative_strength_rank(rsi, method = "percentile")

# Find relatively overbought (top 10%)
relative_overbought <- filter_above(rsi_ranks, 90)