You can plot the ratio of any symbol to XLF by adding a Relative Strength indicator to the chart and setting the Symbol of the Relative Strength indicator to XLF.

So at this point if you change the chart symbol to GS, you would plotting the ratio of GS to XLF.

You could also then add GS as an indicator to the chart and change the Data Source of the Relative Strength indicator to use the plot of GS instead of the main price history plot. This would make it so the RS indicator would plot the ratio of GS to XLF even when you change the main symbol on the chart to something other than GS.