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Hello,
There are two reasons why formula provided
below generates slightly different values at the beginning
a) it outputs one
bar later than built-in RSI because of the Ref( C, -1 ) used that generates
response starting from bar 1 not zero.
b) initial (start) value of built-in
Wilders() function is not calculated exponentially but rather as SIMPLE moving
average (the
same with EMA).
This is for matching Metastock
implementation that people were asking for in the past.
The averages
inside built-in RSI are initialized with zero and use recursive calculation from
the very beginning (bar zero).
If you want to actually DUPLICATE exactly
built-in RSI from the very first bar you need to write loop:
function BuiltInRSIEquivalent(
period )
{
P = N = 0;
result = Null;
for( i = 1; i < BarCount; i++ )
{
diff =
C[ i ] -
C[ i - 1 ];
W = S = 0;
if( diff > 0 ) W = diff;
if( diff < 0 ) S = -diff;
P = ( ( period -1 ) * P + W ) / period;
N = ( ( period
-1 ) * N + S ) / period;
if( i >= period )
result[ i ] = 100 * P / ( P + N );
}
return result;
}
Plot(
BuiltInRSIEquivalent( 14
), "RSI 1", colorRed );
Plot( RSI( 14 ), "RSI
2", colorBlue );
Best regards,
Tomasz Janeczko
amibroker.com
-----
Original Message -----
From: "gp_sydney" <gp.investment@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Friday,
July 27, 2007 2:50 PM
Subject: [amibroker] Re: RSI Calculation
wrong?
> Graham,
>
> That plot exactly matches what I
get when I manually calculate RSI,
> but doesn't exactly match what AB
gives. It fairly quickly converges
> to be the same as AB, but is
different at the start for some reason.
>
> Regards,
>
GP
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, Graham
<kavemanperth@xxx> wrote:
>>
>> I believe this is same
as AB in AFL (plots match), although my
> encyclopaedia
>> uses
EMA not Wilders
>>
>> PerRSI = 14;
>>
MUp=IIf(C>Ref(C,-1),C-Ref(C,-1),0);
>>
MDn=IIf(C<Ref(C,-1),abs(C-Ref(C,-1)),0);
>> Rup =
Wilders(Mup,PerRSI);
>> Rdn = Wilders(Mdn,PerRSI);
>> gkRSI
= 100*(Rup / (Rdn+Rup) ) ;
>>
>>
>>
>>
--
>> Cheers
>> Graham
>> AB-Write ><
Professional AFL Writing Service
>> Yes, I write AFL code to your
requirements
>> http://www.aflwriting.com
>>
>>
>> On 27/07/07, Chris J
<systemofthewave@xxx> wrote:
>> >
>> > Good
evening,
>> > I'm using Amibroker to write a system and also
the C++ language. The
>> > problem is my RSI value doesn't
match up to AmiBrokers. Here is my
> data for
>> > a RSI of 8
periods using GBP/USD;
>> > the values;
>> >
1.9796
>> > 1.9810
>> > 1.9796
>> >
1.9736
>> > 1.9663
>> > 1.9629
>> >
1.9531
>> > 1.9545
>> > 1.9566
>> >
differences;
>> > +14
>> > -14
>> >
-60
>> > -73
>> > -34
>> > -98
>>
> +14
>> > +21
>> > plus_average = .0049 / 8 =
0.0006125
>> > minus_average = .0279 / 8 = .0034875
>> >
(plus_average / minus_average) + 1 = 1.1756272401
>> > 100 /
1.1756272401 = 85.0609
>> > 100 - 85.0609 = 14.9391 - my
result
>> > Amibroker shows 17.9051 - AmiBrokers
>>
> This is the RSIa indicator using the first RSI value and no
>
smoothed RS
>> > since it's the first value for both my system and
AmiBrokers.
> Driving me
>> > nuts.
>>
> Chris
>> >
>> >
------------------------------
>> > Shape Yahoo! in your own image.
Join our Network Research Panel
> today!<http://us.rd.yahoo.com/evt=48517/*http://surveylink.yahoo.com/gmrs/yahoo_panel_invite.asp?a=7>
>> >
>>
>
>>
>
>
>
>
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