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Re: [amibroker] Modified RSI

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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 # 5161 message.
RSI was a little noisy, especially around the medium levels, so I smoothed it
by a 3-day average. Through optimization I 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 average days 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*/
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*/
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 Tsokakis

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<DIV><FONT size=2>Dimitri</FONT></DIV>
<DIV><FONT size=2>take a look to the attachment please</FONT></DIV>
<DIV><FONT size=2>christos</FONT></DIV>
<BLOCKQUOTE 
style="PADDING-RIGHT: 0px; PADDING-LEFT: 5px; MARGIN-LEFT: 5px; BORDER-LEFT: #000000 2px solid; MARGIN-RIGHT: 0px">
<DIV style="FONT: 10pt arial">----- Original Message ----- </DIV>
<DIV 
style="BACKGROUND: #e4e4e4; FONT: 10pt arial; font-color: black"><B>From:</B> 
<A title=TSOKAKIS@xxxx href="mailto:TSOKAKIS@xxxx";>Dimitris 
Tsokakis</A> </DIV>
<DIV style="FONT: 10pt arial"><B>To:</B> <A title=amibroker@xxxxxxxxxx 
href="mailto:amibroker@xxxxxxxxxxxxxxx";>amibroker@xxxxxxxxxxxxxxx</A> </DIV>
<DIV style="FONT: 10pt arial"><B>Sent:</B> 09 October 2001 19:23</DIV>
<DIV style="FONT: 10pt arial"><B>Subject:</B> [amibroker] Modified RSI</DIV>
<DIV><BR></DIV>
<DIV><FONT face=Arial size=2>RSI is a very popular indicator and in any book 
or internet T/A site</FONT></DIV>
<DIV><FONT face=Arial size=2>you will read the traditional [30,70] buy-sell 
system.</FONT></DIV>
<DIV><FONT face=Arial size=2>The result is that very few stocks fall below 30 
or exceed 70. Buyers </FONT></DIV>
<DIV><FONT face=Arial size=2>try to buy when RSI drops from 35 to 30 and 
sellers try to sell before</FONT></DIV>
<DIV><FONT face=Arial size=2>70. If you see ^NDX graph the last two years, RSI 
was not out of the [30,70] </FONT></DIV>
<DIV><FONT face=Arial size=2>zone, except the last September irregular 
period.</FONT></DIV>
<DIV><FONT face=Arial size=2>I tried to build up a system with RSI ans I 
applied the moving buy-sell level</FONT></DIV>
<DIV><FONT face=Arial size=2>method, already exposed in <FONT 
color=#ff00ff><STRONG>#</STRONG></FONT></FONT><FONT 
color=#ff00ff><STRONG>&nbsp;</STRONG></FONT><FONT face=Arial size=2><FONT 
color=#ff00ff><STRONG>5161 </STRONG></FONT>message.</FONT></DIV>
<DIV><FONT face=Arial size=2>RSI was a little noisy, especially around the 
medium levels, so I smoothed it</FONT></DIV>
<DIV><FONT face=Arial size=2>by a 3-day average. Through optimizationI search 
the best combination for</FONT></DIV>
<DIV><FONT face=Arial size=2>days X1, Dbuy and Dsell around the average value 
of RSI.</FONT></DIV>
<DIV><FONT face=Arial size=2>(I found better results using AVRSI=ma(RSI,50) 
instead of ma100 used in</FONT></DIV>
<DIV><FONT face=Arial size=2>stochastic. I have not optimized averagedays 
yet).</FONT></DIV>
<DIV><FONT face=Arial size=2>Some interesting results:</FONT></DIV>
<DIV><FONT face=Arial size=2>a] At least&nbsp;I found a way to use RSI. 
</FONT></DIV>
<DIV><FONT face=Arial size=2>b] In many examples&nbsp;I had 5 trades,5 
winners, 0 losers or 7 trades, 6 winners,</FONT></DIV>
<DIV><FONT face=Arial size=2>1 looser</FONT></DIV>
<DIV><FONT face=Arial size=2>c] Comparison with traditional [30,70] system is 
out of topic for&nbsp;many stocks</FONT></DIV>
<DIV><FONT face=Arial size=2>which do not trade anymore out of [30,70] 
band</FONT>&nbsp;</DIV>
<DIV><FONT face=Arial size=2>d] Days in the market are reduced to reasonable 
time intervals.</FONT></DIV>
<DIV><FONT face=Arial size=2>e] Delays are insignificant.</FONT></DIV>
<DIV>&nbsp;</DIV>
<DIV><FONT face=Arial size=2>So, in Automatic Analysis paste the</FONT></DIV>
<DIV><FONT face=Arial size=2></FONT>&nbsp;</DIV>
<DIV><FONT face=Arial size=2>/*Modified RSI variable buy-sell 
levels*/</FONT></DIV>
<DIV><FONT face=Arial 
size=2>X1=Optimize("X1",10,10,20,1);<BR>Dbuy=Optimize("Dbuy",10,0,20,1);<BR>Dsell=Optimize("Dsell",10,0,20,1);<BR>s1=MA(RSI(X1),3);<BR>AVRSI=MA(s1,50);<BR>Buy 
= Cross( s1,AVRSI-DBuy);<BR>Sell = Cross( AVRSI+Dsell,s1);</FONT></DIV>
<DIV>&nbsp;</DIV>
<DIV><FONT face=Arial size=2><FONT color=#ff00ff><STRONG>Optimize 
</STRONG></FONT>a <FONT color=#ff00ff><STRONG>current stock 
</STRONG></FONT>for <FONT color=#ff00ff><STRONG>All 
quotations</STRONG></FONT>.</FONT></DIV>
<DIV>&nbsp;</DIV>
<DIV><FONT face=Arial size=2>In indicator Builder, paste the following 
formula, </FONT></DIV>
<DIV><FONT face=Arial size=2>replacing X1, Dbuy, Dsell with the results of 
optimization.</FONT></DIV>
<DIV>&nbsp;</DIV>
<DIV><FONT face=Arial size=2>/*Modified RSI variable buy-sell levels 
Graph*/</FONT></DIV>
<DIV><FONT face=Arial 
size=2>X1=20;<BR>Dbuy=3;<BR>Dsell=11;<BR>MaxGraph=12;<BR>s1=MA(RSI(X1),3);<BR>Graph0=s1;<BR>AVRSI=MA(s1,50);<BR>Graph9=AVRSI-Dbuy;<BR>Graph10=AVRSI+Dsell;<BR>Graph8=AVRSI;<BR>Graph8Style=8;<BR>Graph8BarColor=2;<BR>Graph9Style=Graph10Style=8;<BR>Graph9BarColor=Graph10BarColor=1;</FONT></DIV>
<DIV><FONT face=Arial size=2></FONT>&nbsp;</DIV>
<DIV><FONT face=Arial size=2>Try it. For some stocks it is nice.</FONT></DIV>
<DIV><FONT face=Arial size=2>Dimitris Tsokakis</FONT></DIV><BR><BR><TT>Your 
use of Yahoo! Groups is subject to the <A 
href="http://docs.yahoo.com/info/terms/";>Yahoo! Terms of Service</A>.</TT> 
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