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Re: [Metastockusers] Exploration RSI(14) Problems



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I know I thought I had a problem years ago with 
something similar to this and it just had to do with how I was displaying the 
charts..there was no real problem..
I can't remember the details but as I zoomed 
in/out it appeared that the indicator was moving around and crossing/not 
crossing..
 
<BLOCKQUOTE 
>
  ----- Original Message ----- 
  <DIV 
  >From: 
  Kevin 
  Howard 
  To: <A 
  title=Metastockusers@xxxxxxxxxxxxxxx 
  href="">Metastockusers@xxxxxxxxxxxxxxx 
  
  Sent: Friday, April 25, 2003 9:27 
AM
  Subject: RE: [Metastockusers] Exploration 
  RSI(14) Problems
  
  
  <SPAN 
  >Hi Rich and 
  Ellen,
  <SPAN 
  > 
  <SPAN 
  ><SPAN 
  >            
  <SPAN 
  >            
  All examples are Australian Equities which last traded on 
  <FONT face=Arial 
  color=navy size=2><SPAN 
  >24 April 
  2003<SPAN 
  > Australian 
  time.
  <SPAN 
  > 
  <SPAN 
  ><SPAN 
  >                        
  Gradipore (GDP); <SPAN 
  class=SpellE>Progen (PGL); Roberts (RBS); and <SPAN 
  class=SpellE>Brazin (BRZ). The first three have not dipped below RSI 
  (14) 30 during the past 5 days and the last Company <SPAN 
  class=GramE>is not showing as rising above 30 on my 
  charts.
  <SPAN 
  > 
  <SPAN 
  ><SPAN 
  >                        
  I hope these Companies mean something to you and that you can spot the 
  problem. This is driving me crazy.
  <SPAN 
  > 
  <SPAN 
  ><SPAN 
  >                        
  Thanks, Kevin
  <SPAN 
  > 
  <SPAN 
  >-----Original 
  Message-----From: 
  richandellen [mailto:richandellen@xxxxxxxxxxx] <SPAN 
  >Sent: <st1:date Year="2003" 
  Day="25" Month="4"><SPAN 
  >Friday, 25 April 
  2003<SPAN 
  > <st1:time 
  Minute="33" Hour="22"><SPAN 
  >10:33 
  PM<SPAN 
  ><SPAN 
  >To: 
  Metastockusers@xxxxxxxxxxxxxxx<SPAN 
  >Subject: Re: [Metastockusers] Exploration 
  RSI(14) Problems
  <FONT face="Times New Roman" 
  size=3> 
  
  <SPAN 
  >Give a couple stocks that 
  fail...
  <BLOCKQUOTE 
  >
    
    <SPAN 
    >----- Original Message ----- 
    
    
    <FONT 
    face=Arial size=2><SPAN 
    >From:<FONT 
    face=Arial size=2> <A 
    title=kjhoward@xxxxxxxxxxxxxx href="">Kevin 
    Howard 
    
    <FONT face=Arial 
    size=2><SPAN 
    >To:<FONT 
    face=Arial size=2> <A 
    title=Metastockusers@xxxxxxxxxxxxxxx 
    href="">Metastockusers@xxxxxxxxxxxxxxx 
    
    
    <FONT face=Arial 
    size=2><SPAN 
    >Sent:<FONT 
    face=Arial size=2> 
    <FONT face=Arial 
    size=2>Friday, April 25, 
    2003<SPAN 
    > <st1:time 
    Minute="23" Hour="8"><SPAN 
    >8:23 
    AM<SPAN 
    >
    
    <FONT face=Arial 
    size=2><SPAN 
    >Subject:<FONT 
    face=Arial size=2> RE: 
    [Metastockusers] Exploration RSI(14) 
    Problems
    
    <FONT face="Times New Roman" 
    size=3><SPAN 
    > 
    <FONT face=Arial color=navy 
    size=2>Hi 
    David,
    <FONT face=Arial color=navy 
    size=2><SPAN 
    > 
    <FONT face=Arial color=navy 
    size=2><SPAN 
    >         
    Thanks for your suggestions. All my explorations are set at “Daily” 
    Periodicity and “Most Recent Date” and all the charts I have checked, 
    including false positives, are showing “D” for Daily. I do have 2 or 3 
    Layouts that show charts in Weekly mode but to the very best of my knowledge 
    all of the base charts are Daily and in any event none of the shares in 
    these layouts are being captured in the RSI(14) explorations 
    .
    <FONT face=Arial color=navy 
    size=2><SPAN 
    > 
    <FONT face=Arial color=navy 
    size=2><SPAN 
    >         
    Kevin
    <FONT face=Arial color=navy 
    size=2><SPAN 
    >         
    <SPAN 
    > 
    <FONT face=Arial color=navy 
    size=2><SPAN 
    > 
    <SPAN 
    >-----Original 
    Message-----From: DAVID H. 
    LINTON [mailto:dhlinton@xxxxxxxxxxxx] <SPAN 
    >Sent: <st1:date 
    Year="2003" Day="25" Month="4"><SPAN 
    >Friday, 25 April 
    2003<SPAN 
    > <st1:time 
    Minute="22" Hour="21"><SPAN 
    >9:22 
    PM<SPAN 
    ><SPAN 
    >To: 
    Metastockusers@xxxxxxxxxxxxxxx<SPAN 
    >Subject: Re: [Metastockusers] 
    Exploration RSI(14) Problems
    <FONT face="Times New Roman" 
    size=3> 
    
    <FONT face="Times New Roman" 
    size=2>Is it possible that the periodicity of 
    your chart is different than that of your exploration? Or, that in 
    exploration /edit/options, you have a specific date 
    set.
    
    <FONT face="Times New Roman" 
    size=2><SPAN 
>David
    <BLOCKQUOTE 
    >
      
      <SPAN 
      >----- Original Message ----- 
      
      
      <FONT 
      face=Arial size=2><SPAN 
      >From:<FONT 
      face=Arial size=2> <A 
      title=kjhoward@xxxxxxxxxxxxxx href="">Kevin 
      Howard 
      
      <FONT face=Arial 
      size=2><SPAN 
      >To:<FONT 
      face=Arial size=2> <A 
      title=Metastockusers@xxxxxxxxxxxxxxx 
      href="">Metastockusers@xxxxxxxxxxxxxxx 
      
      
      <FONT face=Arial 
      size=2><SPAN 
      >Sent:<FONT 
      face=Arial size=2> 
      <FONT face=Arial 
      size=2>April 25, 
      2003<SPAN 
      > <st1:time 
      Minute="19" Hour="7"><SPAN 
      >7:19 
      AM<SPAN 
      >
      
      <FONT face=Arial 
      size=2><SPAN 
      >Subject:<FONT 
      face=Arial size=2> 
      [Metastockusers] Exploration RSI(14) 
      Problems
      
      <FONT face="Times New Roman" 
      size=3><SPAN 
      > 
      <SPAN 
      >Hi Manish and 
      <SPAN 
      >Preston<FONT 
      face=Arial size=2><SPAN 
      >,
      <SPAN 
      > 
      <SPAN 
      ><SPAN 
      >                  
      Thank you both for offering help with my RSI (14) Exploration 
      problems. I have spent the best part of today trying to move forward but I 
      am still identifying false positives. That is I am still identifying 
      shares that should have crossed above the RSI (14) 30 level within the 
      last 5 trading days, but in fact have not been below RSI (14) 30 during 
      this period. I only have limited MS programming skills but I have happily 
      used MS for the past 5 years and I have used my own explorations 
      successfully for much of this time. However I would say I am a little 
      shaken with the problem I am currently 
      experiencing.
      <SPAN 
      > 
      <SPAN 
      ><SPAN 
      >                  
      Taking each of your posts in turn, I pasted your Exploration code 
      Manish and it ran smoothly but did not eliminate my “false positive” 
      problem. I am afraid I was not able to work out the logic behind what 
      looks to be a nice piece of code, so I could not take it any further. 
      Could you briefly how you exploration works?
      <SPAN 
      > 
      <SPAN 
      ><SPAN 
      >                  
      <SPAN 
      >Preston<FONT 
      face=Arial size=2> I 
      picked up on your suggestion re validation but this has only deepened my 
      concern. I had previously looked upon validation as being required when 
      there was a possibility that there may be a logic conflict within an 
      Exploration code. I would have thought that Alert (Cross (RSI (14), 30), 
      5) was fairly unambiguous, (in fact the ‘RSI cross 70’ is given as an 
      “Alert” example on Page 220 of my User Manual), but apparently not. 
      Nevertheless I have now used the following as an attempt to validate: 
      
      <SPAN 
      > 
      <SPAN 
      ><SPAN 
      >                  
      A: =Alert (Cross (RSI (14), 30), 5);
      <FONT 
      face=Arial size=2>B: =If 
      (BarsSince (A) <=5, 1, 0); B=1
      <FONT 
      face=Arial size=2><SPAN 
      > 
      <FONT 
      face=Arial size=2>But 
      this still gave me false positives, i.e. shares that had not been below 30 
      within the past 5 trading days. So I ran another exploration this time 
      using the following filter:
      <FONT 
      face=Arial size=2><SPAN 
      > 
      <FONT 
      face=Arial size=2><SPAN 
      >BarsSince (RSI (14) <30) 
      <=5 AND
      <FONT 
      face=Arial size=2><SPAN 
      >BarsSince (RSI (14)>30) 
      <=5
      <FONT 
      face=Arial size=2><SPAN 
      > 
      <FONT 
      face=Arial size=2>I also 
      used my columns A to F to record the RSI (14) values for each of the past 
      5 trading days using the ‘ref’ function. To my astonishment and despair I 
      still captured shares whose RSI (14) value had not been below 30 during 
      the past 5 trading days. So is my logic wrong with these attempts to 
      validate or have I somehow corrupted my MS software or 
      data?
      <FONT 
      face=Arial size=2><SPAN 
      > 
      <FONT 
      face=Arial size=2>I 
      should add that I definitely take your point about trading whipsaws. The 
      reason why I am so pedantic about wanting to capture shares only where 
      either RSI (14) has crossed 30 or MACD () signals ‘Buy’ and desirably to 
      have both occur within the last few trading days is that I then want to 
      overlay a composite template over such selected shares, interpret the 
      resultant graph and then act on this interpretation. The RSI and MACD 
      signals do not form part of the template but are highly correlated in 
      situations where the template signals a buy or sell action. On a small 
      sample of shares (5) in real life, the template has given exceptionally 
      good and unambiguous results. However as I cannot employ all the 
      parameters used in the template as an exploration or System Tester code, I 
      am left with having to manually test it on a larger number of potential 
      candidate shares before I get too carried away with its usefulness as a 
      trading tool.
      <FONT 
      face=Arial size=2><SPAN 
      > 
      <FONT 
      face=Arial size=2>Two 
      final points: I too thought that Ref -1 gave yesterday’s value and Ref -2 
      gave the trading day before. But now I strongly suspect that it gives the 
      value of the last and second last day that a particular share or 
      derivative traded. For example in the first validation attempt used above, 
      I used two of the A-F column to record the DayOfMonth () and ref 
      (dayofmonth (),-1) values. I fully expected to see 24 and 23 returned 
      respectively (25 is a public holiday in 
      <SPAN 
      >Australia<FONT 
      face=Arial size=2>). The 
      majority reflected these values but a substantial minority did not, but 
      did appear to reflect the last and second last days they traded. So I 
      would welcome clarification on the reference function. And finally I still 
      would very much like to filter out derivatives and retain straight stock. 
      So if there is anyway of filtering on the Ticker Symbol character size 
      within Metastock, I would greatly appreciate being told about 
      it.
      <FONT 
      face=Arial size=2><SPAN 
      > 
      <FONT 
      face=Arial size=2>I 
      really am finding this RSI (14) a difficult problem to solve and yet I 
      know it must be that I am doing something or some things wrongly. So any 
      further insights from either of you or any others on the list would be 
      really well received here.
      <FONT 
      face=Arial size=2><SPAN 
      > 
      <FONT 
      face=Arial size=2>Thanks 
      again, Kevin Howard
      <FONT 
      face=Arial size=2><SPAN 
      > 
      <FONT 
      face=Arial size=2><SPAN 
      > 
      <FONT 
      face=Arial size=2><SPAN 
      > 
      <FONT 
      face=Arial size=2><SPAN 
      > 
      <FONT 
      face=Arial size=2><SPAN 
      > 
      <FONT 
      face=Arial size=2><SPAN 
      > 
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