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Preston
Your formula is not the answer I fear. Both U and D, being exponentially
smoothed (Wilders just being another form of exponential), decline at the
same relative rate when the closing price is unchanged. This is why the RISK
also remains unchanged even though both the smoothed upcount and the
smoothed downcount are changing but in the exact same proportion. I'm
wondering if Mike's problem is caused by MetaStocks method of constructing,
or use of, Wilders Smoothing. Still working on this.
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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