|
PureBytes Links
Trading Reference Links
|
C. Brown's RSI derivative index
"Brown's formula says to add 2.3 times the average true range of
up RSI 14,6,S closes, and then runs the triple smoothing.
Brown puts it as follows:
A 15 unit triple smoothed RSI 14 added with 2.3 times the average true range
of up closes and 2.1 times the average true range of the down closes".
------------------------------------------------
(Then) Brown's formula for MetaStock6.5 (is):
Name:
RSI derivative index - C. Brown
Formula:
Part1:=
2.3*{the average true range of
("RSI 14,6,S") up closes}
If({"RSI 14,6,S=up"}
Mov(RSI(14),6,S)>
Ref(Mov(RSI(14),6,S),-1){=true},
{then}ATR(1),
{else}0);
Part2:=
2.1*{the average true range of
("RSI 14,6,S") down closes}
If({"RSI 14,6,S=down"}
Mov(RSI(14),6,S)<
Ref(Mov(RSI(14),6,S),-1){=true},
{then}ATR(1),
{else}0);
Part3:=
{RSI 14 added with Part1 + Part2}
RSI(14)+Sum(Part1,14)+Sum(Part2,14);
RSIderIDX:=
{The 15 unit triple smoothed Part3}
Mov(Mov(Mov(Part3,15,S),15,S),15,S);
RSIderIDX
========================================
CCI
CCI[i] = (M - A)/(X * D) {return=percent, multiply by 100(for +100, -100 scale)}
In MetaStock
((MP()-Mov(MP(),14,S))/
(1.5*Stdev(Abs(MP()),14)))*100
See further below.
See also the "totaly" different calculation method
http://www.equis.com/free/taaz/cci.html
Regards,
Ton Maas
ms-irb@xxxxxxxxxxxxxxxx
Dismiss the ".nospam" bit (including the dot) when replying.
Homepage http://home.planet.nl/~anthmaas
Commodity Channel Index
Description :
The CCI is a price momentum indicator that works well for commodities,
stocks, and mutual funds.
Usage: CCI( Period1 )
Returns: Array
where:
Period1 = number of periods in the CCI calculation as shown below.
Mathematically:
CCI[i] = (M - A)/(X * D) percent
where:
i(nput,periods) =The user defined periods.
M(ean,Price) =Mean price of the current-day sample period.
A(verage,Mov.) =The p-period simple moving average of M.
D(eviation) =Mean deviation of absolute values of
the numerator over p periods.
X(known,unkown)=An adjusting factor, 0.15, which normalizes
the excursions to a trading range of +/- 100.
percent(%result) =The full formula's Return value
The CCI is a sort of "noise" filter, for which the random fluctuations
should fall inside the +/- 100 percent range.
Excursions outside this range tend to be nonrandom and indicate
trading opportunities.
Suggested trading rules are:
1. Buy long when CCI goes above +100%.
2. Sell long when CCI subsequently returns below 100%.
3. Sell short when CCI goes below -100%.
4. Cover shorts when CCI subsequently returns above -100%.
- Selection of a large number of periods (p) will filter out much
of the noise, but can mask trading opportunities and trends.
- A smaller number of periods can create false signals.
90 and 53 weeks as tentative starting periods for your analysis
are suggested.
Another way of using the CCI is to note when the security being
analyzed rises dramatically, but the rise is not reflected by the
overall momentum represented by the CCI. Such a divergence is
usually followed by a price correction for the security.
----- Original Message -----
From: "M. Robb"
To: <metastock@xxxxxxxxxxxxx>
Sent: woensdag 15 maart 2000 8:11
Subject: Re: MS 7.0 EOD Upgrade Screen. New Features?
> In attempting to write an indicator to match C. Brown's RSI derivative
> oscillator the formula builder stops at the comma after the ATR(14) and says
> this variable must contain only constant data.
>
> Brown's formula says to add 2.3 times the average true range of up RSI
> 14,6,S closes, and then runs the triple smoothing.
>
> Mov((RSI(14)),6,S) + 2.3*ATR(If(INDICATOR > PREVIOUS ,
> mov((RSI(14)),((RSI(14))),(RSI(14))),15)))
>
> For some reason I can't figure out how to express this correctly.
>
>
----- Original Message -----
From: "M. Robb"
To: <metastock@xxxxxxxxxxxxx>
Sent: dinsdag 14 maart 2000 10:33
Subject: CCI and Brown's
> Does anyone recall where a metastock formula can be found for Lambert's CCI
> commodity chanel index.....and C. Brown's RSI derivative index.
>
> The last is a 15 unit triple smoothed RSI 14 combined with 2.3 times the
> average true range of up closes, and 2.1 times the average true range of the
> down closes.
>
> Thanks in advance. Help of any kind would be useful, and much appreciated
>
> Mike
>
>
|