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Mike
Try this modified RSI indicator. It will cause explorations to run fairly
slowly because of the four PREV's required but it appears to give the
correct value for ORG on 27/8/2001. I haven't verified many other values
'but it looks close.
I've achieved this result by holding the 'U' and 'D' constant (with PREV)
whenever C= Ref(C,-1), rather than feeding zero into the exponential
(Wilders) moving average on these bars as is done by the conventional MS
RSI. I'm inclined to think that MS is the correct version of RSI but that's
only my opinion. Hope this solves your problem.
{Bourse RSI Indicator}
A:=Input("Bourse RSI periods",2,99,10); R:=1/A;
X:=If(C>Ref(C,-1),C-Ref(C,-1),0);
Y:=If(C<Ref(C,-1),Ref(C,-1)-C,0);
U:=If(C=Ref(C,-1),PREV,PREV*(1-R)+X*R);
D:=If(C=Ref(C,-1),PREV,PREV*(1-R)+Y*R);
100-(100/(1+(U/D)));
Roy
----- Original Message -----
From: "Mike Slattery" <worthydad@xxxxxxxxxxx>
To: <equismetastock@xxxxxxxxxxxxxxx>
Sent: Saturday, January 25, 2003 6:27 PM
Subject: Re: [EquisMetaStock Group] correct method of calculating RSI
> I used the Welles Wilder formula as given in his book. As the Equis site
> explains, it is difficult to interpret without reading his book. see
> http://www.equis.com/Education/TAAZ/?page=100
>
> Basically it says add up the up difference between the closing prices of
up
> days and down days. After the initial 10 days (if you are after RSI(10)),
> then multiply the total by 9, add in the movement and divide by10. Do this
> for both up and down values. Divide Up total by down total, add 1, divide
> 100 by this value, and subtract this new value from 100.
> The following procedure calcultes RSI(10).
> I initially read all day close values into an array DayClose, until I
> reached the day I wanted to calculate the RSI for. The no of trading days
> from start of reading the data in, in my case from 1/1/98 until day
required
> gives MaxRecordCount.
>
> For days 1 to 10 just add up up or down, then divide both values by 10 and
> divide by 9.
> then
> If the next day close is up, add the difference to the up subtotal,
> if down, add the difference to the down total.
>
>
> In the VB procedure, the line
>
> 150 If DayClose(P) = DayClose(P - 1) Then GoTo 200
>
> is the critical line.
> If it is included, you get the values as calculated by Bourse.
> If you leave it out, you get the values calculated by MS.
>
>
> RSI10(P)is the RSI on any given day.
>
>
> Hope this explains the method and calculations.
>
> Mike Slattery
>
>
>
>
> Public Sub CalcRSI10()
> RUp = 0
> RDown = 0
>
> For P = 1 To 10
> If DayClose(P) > DayClose(P - 1) Then RUp = RUp + (DayClose(P) -
DayClose(P
> - 1))
> If DayClose(P) < DayClose(P - 1) Then RDown = RDown + (DayClose(P - 1) -
> DayClose(P))
>
> Next P
>
>
> RUp = RUp / 10
> RDown = RDown / 10
>
> If RUp = 0 Then GoTo 100
> If RDown = 0 Then GoTo 100
>
> t = RUp / RDown
>
> t = t + 1
> t = 100 / t
>
> t = 100 - t
>
> 100 For P = 11 To MaxRecordCount
>
> 150 If DayClose(P) = DayClose(P - 1) Then GoTo 200
>
> RUp = RUp * 9
> RDown = RDown * 9
>
> If DayClose(P) > DayClose(P - 1) Then RUp = RUp + (DayClose(P) -
DayClose(P
> - 1))
> If DayClose(P) < DayClose(P - 1) Then RDown = RDown + (DayClose(P - 1) -
> DayClose(P))
>
>
> RUp = RUp / 10
> RDown = RDown / 10
>
> If RUp = 0 Then GoTo 200
> If RDown = 0 Then GoTo 200
>
> t = RUp / RDown
>
> t = t + 1
> t = 100 / t
>
> t = 100 - t
>
> 200 RSI10(P) = t
> Next P
>
> Exit Sub
>
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