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The problem arose originally when I tried to program RSI in Visual Basic.I
used MS to check other indicators I had programmed and could
get an agreement. With RSI I always got a disagreement. When I checked the
values in Bourse, I got the correct values. I show this in the 2 gifs I
included. Bourse gives the correct value on the target day but MS gives a
higher value.
I can reproduce this in VB and in a spreadsheet. The spreadsheet shows the
difference.
Wilder in his book says the value is calculated by adding ups or downs.
If you perform the calculation on a day where there is no change, you get
the value calculated by MS. If you simply use the previous day's value and
do nothing on a day with no change, you get the values calculated by Bourse.
I would like to use these latter values in MS so need a plugin that
calculates RSI differently to the builtin method in MS, even if it is
"incorrect" as for the use I want, it gives me what I want.
>From: "Roy Larsen" <rlarsen@xxxxxxxxxxxxxx>
>Reply-To: equismetastock@xxxxxxxxxxxxxxx
>To: <equismetastock@xxxxxxxxxxxxxxx>
>Subject: Re: [EquisMetaStock Group] correct method of calculating RSI
>Date: Sat, 25 Jan 2003 17:16:26 +1300
>
>Mike
>
>Here is how the MS RSI is calculated,
>
> {RSI Indicator}
>A:=Input("RSI periods",2,50,10);
>B:=CLOSE; {RSI target array}
>U:=Wilders(If(B>Ref(B,-1),B-Ref(B,-1),0),A);
>D:=Wilders(If(B<Ref(B,-1),Ref(B,-1)-B,0),A);
>100-(100/(1+(U/D)));
>
>and here is Wilders Smoothing, with first bar seeding added for greater
>initial accuracy.
>
> {Wilders Smoothing}
>A:=Input("Periods",3,99,10);
>B:=P; {Wilders Smoothing target array}
>R:=1/A;
>X:=If(Cum(1)=1,B,PREV*(1-R)+B*R);
>X;
>
>You can check the User Manual to verify how RSI is constructed in MS. If
>this construction is correct according to the author (Wilder) I struggle to
>see how MS can come up with the wrong answer. You've aroused my curiosity
>with this one and I'm going to have a closer look to see where the problem
>lies, if problem there is. I can understand your concern about accuracy
>when
>different packages give different results but I'm not sure how you arrive
>at
>the conclusion that MS is at fault. Do you have the Bourse method of
>constructing RSI I wonder?
>
>Roy
>
>----- Original Message -----
>From: "Mike Slattery" <worthydad@xxxxxxxxxxx>
>To: <equismetastock@xxxxxxxxxxxxxxx>
>Sent: Saturday, January 25, 2003 3:58 PM
>Subject: Re: [EquisMetaStock Group] correct method of calculating RSI
>
>
> > Preston
> > I have attached an excel spreadsheet and 2 gif files showing the problem
>I
> > am having with RSI(10) calculations.
> >
> > Bourse 5.0.0.18 gives 74.11459127
> > Metastock 7.02 gives 79.16034833
> >
> > for ORG, (Origin energy) for 27/8/2001.
> >
> > If you look at the calculations for 22/8 and 23/8 you will see where the
> > differences arise.
> > Bourse uses the previous day's running totals where there is no
>difference
> > between the successive day's closing prices.
> > Metastock multiplies the total by 9, adds the difference, in this case
>zero.
> > This has the effect of changing the subtotal, which is then divided by
>10.
> > The 10% discrepancy results in significant differences in RSI values.
> > On 23/8/01 the difference in RSI(10) is small, 0.14, whereas 2 days
>later
> > the difference is significant.
> > I would like to be able to use the bourse method of calculation to
>derive
>my
> > RSI figures but to do it in Metastock. I am exploring RSI crossovers and
> > need correct values. You cannot do this sort of work in Bourse except
> > visually one stock at a time. I need much more data to go on.
> > I have no idea of how to do this as I have no experience in programming
> > Metastock language.
> > Is there a plugin that gives the correct RSI value in Metastock?
> > I would appreciate any help with this problem.
> >
> > Regards
> >
> > Mike Slattery
> >
> >
> >
> >
> >
> >
> >
> > >From: pumrysh <no_reply@xxxxxxxxxxxxxxx>
> > >Reply-To: equismetastock@xxxxxxxxxxxxxxx
> > >To: equismetastock@xxxxxxxxxxxxxxx
> > >Subject: [EquisMetaStock Group] correct method of calculating RSI
> > >Date: Fri, 24 Jan 2003 03:12:29 -0000
> > >
> > >Mike,
> > >
> > >The incorrect results that you obtain may not be caused by a
> > >calculation error. All of the methods for calulating a RSI that I am
> > >aware of do ignore days that have no price movement.
> > >
> > >If you can detail your problem maybe we can find a solution.
> > >
> > >Preston
> > >
> > >
> > >--- In equismetastock@xxxxxxxxxxxxxxx, "Mike Slattery"
> > ><worthydad@xxxx> wrote:
> > > > Does anyone have the correct method of calculating RSI. The built
> > >in method
> > > > gives incorrect results because it does not ignore days where there
> > >is no
> > > > price movement.
> > >
> > >
> >
> >
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> >
> >
> >
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> >
> >
>
>
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