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Is there anybody that has any suggestions for "the composite index" in C Brown's book. One of the major pre-requisites for that formula is non-normalization. I can mimic the formula 75% by using a quota of (H - C) for the classical Wilder Upday and a quota of Abs(C-L) for the down day using RSI formula. However, the formula is normalized. By the way "Technical Analysis for the trading professional" is totally outstanding in it's logical consistency.
-----Ursprungligt meddelande-----
Från: A.J. Maas <anthmaas@xxxxxxxxx>
Till: Metastock-List <metastock@xxxxxxxxxxxxx>
Datum: den 18 mars 2000 00:32
Ämne: Re: CCI and Brown's
>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
>>
>>
>
>
>
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