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RevEngRSI is the estimated tomorrow´s Close, if RSI()=VALUE.
Following AFL from
http://www.traders.com/Documentation/FEEDbk_docs/TradersTips/TradersTi
ps.html#amibroker2
I noticed that for VALUE<35 negative RevEngRSI appeared.
Check for the n=1 last quotation with
VALUE=25;// Use values below 35
WildPer = 14;ExpPer = 2 * WildPer - 1;
AUC = EMA( Max( C - Ref( C, -1 ), 0 ), ExpPer );
ADC = EMA( Max( Ref( C, -1 ) - C, 0 ), ExpPer );
x = (WildPer - 1) * ( ADC * Value / (100-Value) - AUC);
RevEngRSI = IIf( x >= 0, C + x, C + x * (100-Value)/Value );
Filter=Lowest(RevEngRSI)<0;
AddColumn(Lowest(RevENGrsi),"LOWEST");
The [strange] interpretation is : If RSI() will be 25, then the Close
will be negative !!
I think some limitation should be added to this formula, to avoid
this [mathematically correct, but] unrealistic result.
The confusion increases when we calculate the virtual price % daily
return.
VALUE=20;
WildPer = 14;ExpPer = 2 * WildPer - 1;
AUC = EMA( Max( C - Ref( C, -1 ), 0 ), ExpPer );
ADC = EMA( Max( Ref( C, -1 ) - C, 0 ), ExpPer );
x = (WildPer - 1) * ( ADC * Value / (100-Value) - AUC);
RevEngRSI = IIf( x >= 0, C + x, C + x * (100-Value)/Value );
Virt=100*(-1+revengrsi/C);
Filter=RevEngRSI<0;
AddColumn(Close,"CLOSE");
AddColumn(RevEngRSI,"RevEngRSI");
AddColumn(Virt,"virtual daily return");
Dimitris Tsokakis
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