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Dear Dimitris,
Two years ago I experimented also with averaged
RSI and it really worked
fine but only for nicely trending stocks.For
volatile, choppy ones the system
was to slow to react.
Anyway, thank you for your constant contributions
to this e-mail list.
Best regards,Tomasz Janeczko===============AmiBroker - the
comprehensive share manager.<A
href="">http://www.amibroker.com
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Dimitris
Tsokakis
To: <A title=amibroker@xxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Tuesday, October 09, 20016:23
PM
Subject: [amibroker] Modified
RSI
RSI is a very popular indicator and in any book
or internet T/A site
you will read the traditional [30,70] buy-sell
system.
The result is that very few stocks fall below 30
or exceed 70. Buyers
try to buy when RSI drops from 35 to 30 and
sellers try to sell before
70. If you see ^NDX graph the last two years, RSI
was not out of the [30,70]
zone, except the last September irregular
period.
I tried to build up a system with RSI ans I
applied the moving buy-sell level
method, already exposed in <FONT
color=#ff00ff>#<FONT
color=#ff00ff> <FONT
color=#ff00ff>5161 message.
RSI was a little noisy, especially around the
medium levels, so I smoothed it
by a 3-day average. Through optimizationI search
the best combination for
days X1, Dbuy and Dsell around the average value
of RSI.
(I found better results using AVRSI=ma(RSI,50)
instead of ma100 used in
stochastic. I have not optimized averagedays
yet).
Some interesting results:
a] At least I found a way to use RSI.
b] In many examples I had 5 trades,5
winners, 0 losers or 7 trades, 6 winners,
1 looser
c] Comparison with traditional [30,70] system is
out of topic for many stocks
which do not trade anymore out of [30,70]
band
d] Days in the market are reduced to reasonable
time intervals.
e] Delays are insignificant.
So, in Automatic Analysis paste the
/*Modified RSI variable buy-sell
levels*/
<FONT face=Arial
size=2>X1=Optimize("X1",10,10,20,1);Dbuy=Optimize("Dbuy",10,0,20,1);Dsell=Optimize("Dsell",10,0,20,1);s1=MA(RSI(X1),3);AVRSI=MA(s1,50);Buy
= Cross( s1,AVRSI-DBuy);Sell = Cross( AVRSI+Dsell,s1);
Optimize
a current stock
for All
quotations.
In indicator Builder, paste the following
formula,
replacing X1, Dbuy, Dsell with the results of
optimization.
/*Modified RSI variable buy-sell levels
Graph*/
<FONT face=Arial
size=2>X1=20;Dbuy=3;Dsell=11;MaxGraph=12;s1=MA(RSI(X1),3);Graph0=s1;AVRSI=MA(s1,50);Graph9=AVRSI-Dbuy;Graph10=AVRSI+Dsell;Graph8=AVRSI;Graph8Style=8;Graph8BarColor=2;Graph9Style=Graph10Style=8;Graph9BarColor=Graph10BarColor=1;
Try it. For some stocks it is nice.
Dimitris TsokakisYour
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