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RelativeRotationGraphs

Disclaimer

RRG Research is the company that holds the intellectual property, copyrights© and the international Registered TradeMark® for Relative Rotation Graphs® or RRGs® as they are commonly known. My application is just a simple and approximate recreation of the concept, as the original formulas for calculating Rs-Ratio and Rs-Momentum are kept secret.

Short description

Relative Rotation Graphs are a method to compare different stocks or etfs against a common benchmark, rate the relative performance and categorize them in the following four quadrants:

  • Leading
  • Weakening
  • Lagging
  • Improving

The plan is to invest in the stocks, which are in the process of transitioning from improving to leading and sell them when they start to fall towards weakening.

Comparison

Original from Optuma.com: https://www.optuma.com/relative-rotation-graphs/

RRG_example

My Result:

gif3

Installation

git clone https://github.com/schuler-ph/RelativeRotationGraphs.git
cd RelativeRotationGraphs
./install.bat
  • Requests => Fetch from Alphavantage.co
  • Matplotlib => Plots
  • Imageio => Gif-Creator

Run

config.json

  • symbols: The symbols, which will be fetched from Alphavantage.co in update_database.py.
  • compare_to: The benchmark symbol, all symbols will be compared to in process_data.py. This will also be fetched in update_database.py.
  • rs_ratio_avg & rs_momentum_avg: These are the moving averages for rs_ratio and rs_momentum which have produced the best results and represented the data from RRG Online and Stockcharts.com the best (default = 12 & 5).
  • tail_length: The tail length on the plot in weeks (default = 10).
  • plot_symbols: Which stocks to plot.
  • history_range: How many plots should be generated (default = 10).
  • filename: The filename used to create the plots and gifs (default = "plot").
  • remove_files_after_gif: If set to True, removes all plots after the gif has been generated (default = True).
  • gif_frame_time_delay: The time between each frame in the gif in seconds (default = 0.2).

apikey.txt

You will have to get your own Api-Key from Alphavantage.co and save it to a file called apikey.txt in the root repository folder.

rrg_db.py

In this file you will find the database manager, which saves the fetched data to a MySQL database and is generally in charge for all database operations. Update the __init__ function with your own user credentials and database.

update_database.py

This file will fetch the data from Alphavantage.co from the TIME_SERIES_WEEKLY API method. It will fetch all the symbols defined in the config symybols and compare_to and save them to the MySQL database.

process_data.py

This fills the database with the needed data for the plot (price_relative, rs_ratio, rs_ratio_avg, rs_momentum, rs_momentum avg)

plot.py

Creates a matplotlib scatter plot with the four sectors.

create_gif.py

Generates a gif image with all the files provided in the src/plots/ folder.