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Welles Wilder (originator of RSI) defines rsi as
RSI = 100 - [ (100)/ (1+RS) ]
where:
RS = UP/DOWN
UP = (sum of closing prices for up days in previous 14 days)/14
DOWN = (sum of closing prices for down days in previous 14 days)/14
--- In amibroker@xxxx, "server not recognized" <winchp@xxxx> wrote:
> AL,
>
> from Steven Achelis's book
>
> "up is the average of upward price change"
> "down is average of downward price change"
>
> over the period of (say) 14 days.
>
> my "last" perhaps could better have been said as "period".
>
> P
> ----- Original Message -----
> From: <AR.Holzwarth@xxxx>
> To: <amibroker@xxxx>
> Sent: Thursday, October 11, 2001 5:12 AM
> Subject: Re: [amibroker] Re: Modified RSI
>
>
> > I would like to understand the definition of RSI in order to
follow the
> > thread. Could you please explain what (up/down)(last x) means
exactly and
> > what the "normal " definition of RSI is?
> > Thank you.
> >
> > Al
> >
> >
> > ----- Original Message -----
> > From: "server not recognized" <winchp@xxxx>
> > To: <amibroker@xxxx>
> > Sent: Wednesday, October 10, 2001 8:49 AM
> > Subject: Re: [amibroker] Re: Modified RSI
> >
> >
> > > Dimitri,
> > >
> > > What you describe is not what I meant.. The rsi formula
> > >
> > > rsi = 100-(100/(1+(up/down)).
> > >
> > > is the fundamental problem.
> > >
> > > As up tends to zero, up/down tends to zero and rsi tends to 0
> > > as down tends to zero, up/down tends to infinity and rsi tends
to 1.
> > >
> > > The characteristic of these reciprocal type curves is long,
unresponsive
> > tails that lead to the rsi being unresponsive as the
> > > numerator or denominator tends to zero. All the sensitivity is
at the 50%
> > mark but you are trying to make decisions in the rapidly
> > > declining sensitivty region.
> > >
> > > I suggest the nicety of limit bands be discarded entirely and
the rsi be
> > structered as something else entirely, so that:
> > >
> > > it has no limits,
> > > crosses zero
> > > and can be equally positive and negative.
> > >
> > > For example, and I make this up in my head without checking
first,
> > >
> > > modrsi = up(last 4)/down (last15) - down(last4)/up(last15)
> > >
> > > or closer to the original which I think will tone it down some.
(if not
> > reverse the order - put the last14/last3)
> > >
> > > modrsi = 100-(100/(1+(up/down)(last3)/(up/down)(last14))).
> > >
> > > I am suggesting to be radical and not simply rearrage or blend
outcomes
> > from various established indicators, but break them open
> > > completely an re-cast their principles.
> > >
> > > P
> > >
> > >
> > > ----- Original Message -----
> > > From: "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx>
> > > To: <amibroker@xxxx>
> > > Sent: Wednesday, October 10, 2001 3:55 PM
> > > Subject: [amibroker] Re: Modified RSI
> > >
> > >
> > > > I have always the alternative of Normalization, exposed here
in some
> > > > earlier post, ie
> > > > NormRSI=100*(RSI-RSImin)//RSImax-RSImin)
> > > > which fit better in [0,100] band.
> > > > I think that this new idea of Modified RSI is a better
approach.
> > > > I will revert after more tests.
> > > > Thank you for hint.
> > > > Dimitris Tsokakis
> > > > --- 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
> > > >
> > > >
> > > >
> > > >
> > > >
> > > > Your use of Yahoo! Groups is subject to
> > http://docs.yahoo.com/info/terms/
> > > >
> > > >
> > > >
> > >
> > >
> > >
> > >
> > >
> > > Your use of Yahoo! Groups is subject to
http://docs.yahoo.com/info/terms/
> > >
> > >
> >
> >
> >
> >
> >
> > Your use of Yahoo! Groups is subject to
http://docs.yahoo.com/info/terms/
> >
> >
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