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On Mon, 12 Apr 1999 12:19:59 -0700, Larry Pertersen wrote:
>Friends,
>I have recently been using the True Strength Index into my MSPro day
>trading screen.
>The indicator appears to be promising, but I cannot find any
>documentation. If you have any information as to how the True Stength
>Index can be most effectively used, please share with the list.
Hi Larry,
>From my Archives (sorry, no further help available on subject):
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True Strength Index (TSI) - "Momentum, Direction and Divergence",
William Blau, Pub: John Wiley& Sons (see also TASC Jan '93,
"Stochastic Momentum" gives the formula for the true strength index.
This article refers to an older article by Blau in the Jan '91 TASC
"Double Smoothed Stochastics")
TSI(close,r,s) = 100*EMA(EMA(mtm,r),s / EMA(EMA(ImtmI,r),s)
>> Your formula expanded
>> 100*(Mov(Mov(ROC(C,1,$),25,E),13,E)/Mov(Mov(Abs(ROC(C,1,$)),25,E),13,E))
Numerator:
mtm = one-day momentum of close
r-day EMA of mtm {25 day}
s-day EMA {13 day double smoothing}
Denominator:
ImtmI = absolute value of mtm
r-day EMA of ImtmI
s-day EMA {double smoothing}
TSI(close,25,13)
Signal Line = EMA(TSI,7)
thresholds at +25, 0, -25
================================
5 day EMA of 20 day EMA of 1 day momentum {little lag Vs smoothing of
price}
================================
Ergodic Oscillator = Ergodic + Signal line {TSI version of Slow
Stochastic}
Ergodic(close,r) = TSI(close,r,5) {double smoothing is fixed at 5}
Signal Line(close,r) = EMA(TSI(close,r,5),5)
r = 20days
thresholds are +20, -20
Interesting comparison chart between 20 Slow Stochastic and 20 Erodic
{more head room in oversold-bought areas}
another chart showing Ergodic Osc = TSI(close,32,5) with 5-day EMA
signal
line
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Trading Ergodics with the Trend - Rules
1. Enter or hold position only when slope of Ergodic Signal line has
the same direction as the trend
2. Stand aside when slope of Ergodic Signal Line is in the opposite
direction of trend
3. Enter or exit position when Ergodic and its Signal Line cross
================================
Slow TSI Trend = TSI(close,64,64) {? weekly looking chart - very
little lag}
Thresholds set at +15 & -15
Trading Ergodics with Slow TSI Trend
1st window - Slow TSI Trend = TSI(close,64,64)
2nd window - Ergodic Osc = TSI(close,64,5)
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