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Make that RSI - @#$%^&* spell checker.
----- Original Message -----
From: "Roy Larsen" <rlarsen@xxxxxxxxxxxxxx>
To: <equismetastock@xxxxxxxxxxxxxxx>
Sent: Saturday, January 25, 2003 8:19 PM
Subject: Re: [EquisMetaStock Group] correct method of calculating RSI
> 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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