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Mike,Roy,
Mike according to your suggestion the difference is in how a day when
no change occurs is calculated. The metastock formula simply uses a
zero value while Bourse would use the previous days value. While I
haven't checked this should work.
{RSI Indicator-Bourse}
A:=Input("RSI periods",2,50,10);
B:=CLOSE; {RSI target array}
U:=Wilders(If(B>Ref(B,-1),B-Ref(B,-1),prev),A);
D:=Wilders(If(B<Ref(B,-1),Ref(B,-1)-B,prev),A);
100-(100/(1+(U/D)));
Preston
BTW: This will be slow to claculate due to the prev statements
--- In equismetastock@xxxxxxxxxxxxxxx, "Mike Slattery"
<worthydad@xxxx> wrote:
> 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@xxxx>
> >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@xxxx>
> >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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