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I have the following idea: The total net profit of an
RSI system oscillating between bands, steady and
horizontal like 30, 70 lines or moving like Modified
bands, is a function of total time outside the band.
(the total o/s+o/b time)
I will try to check the possible relation between these
quantities and revert.
(For such a research, a User defined Optimization columns
would be helpful)
DT
--- In amibroker@xxxx, "server not recognized" <winchp@xxxx> wrote:
> Dimitri,
>
> Constance Brown in her book "Technical Analysis for the Trading
Professional", advocates that the 30/70 is not appropriate as
> constants, and should be modified depending upon recent history.
For example after an RSI > 70 period then a decline to 40 is
> significant and vice versa, i.e 30/70 shpould be applied with
judgement.
>
> Secondly the non zeroing of RSI and its lack of sensitivity beyond
the 70/30 is a fault with its ideal of normalising. Constances
> suggested opened the door to eve better understanding for me. I
would suggest that rather than using the RSI() supplied that you
> play around with actual formula and try and achieve the following:
>
> no upper/lower limit,
> able to cross zero
> can have negative numbers
>
> I have done this with ADX with some satisfaction. I would also
suggest that additonal terms can be included inside the RSI formula
> to increase sensivity to certain events when they are present. I
would also suggest that where ever possible ema and ma not be used
> except when trying to establish long term baselines. You may not
like the jerkiness without them, but the peak values take on
> significance in magnitude and timing after you use the
reconstructed formulas that ema and ma do their best to blurr.
>
> Both RSI() and ADX() in my view are horses of different colours
because both are associated with volatility breakout. The results of
> one are similar to the other.
>
> I hope this helps with your search.
>
> P
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