calc_relative_strength_rank: Calculate Cross-Sectional Ranking of Indicators

In PortfolioTesteR: Test Investment Strategies with English-Like Code

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")
)

Arguments

indicator_df	Data frame with Date column and indicator values
method	Ranking method: "percentile" (0-100), "rank" (1-N), or "z-score"

Value

Data frame with same structure containing ranks/scores

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)

PortfolioTesteR documentation built on Nov. 5, 2025, 5:23 p.m.