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Big,
The RSI(2) is popular and seems that I also read a TASC article on
the RSI(3). Once you break down the RSI formula you can see why the
short numbered lookbacks work so well and are becoming popular. It is
really nothing that we haven't known for some time. Steve Karnish
loves and uses the StochRSI for very similar reasons.
The RSI uses the ROC or C-ref(c,-10), sums the ups and downs, smooths
them using wilders smoothing and then scales to 100(maybe not in that
order).
Using the RSI Raw Indicator plot 3 different RSIr's[RSIr(1),(2),and
(3)] on a chart and you will see something rather unique.
Remember that the RSI Raw is not Wilder smoothed.
The RSIr(1)will be either 0 or 100.
Now compare a RSIr(2) and RSIr(3).
Then smooth the RSIr(2) by 3 and the RSIr(3) by 2.
Now compare the results.
Let me know what you think.
Preston
ps. The RSI Raw Indicator is below if you need it:
{Name: Rapid RSI
Formula:by Golson at Equis}
tp:=Input("Length",1,1000,14);{time periods in RSI calc}
plot:= C;
change:= ROC(plot,1,$);
Z:=Sum(If(change>0,change,0),tp);
Y:=Sum(If(change<0,Abs(change),0),tp);
Ytemp:=If(y=0,0.00001,y);
RS:=Z/Ytemp;
100-(100/(1+RS)){end}
--- In equismetastock@xxxxxxxxxxxxxxx, "Big Papa"
<denver69692002@xxx> wrote:
>
> Preston,
>
> Thanks. I just got done reading Larry Connors latest book "Short
> Term Trading Strategies That Work".
>
> He has a plan which he calls the VIX Stretch whereas he trades the
> SPY based on the following rules:
>
> SPY>200 MA
> VIX> 5% or more above the 10 day moving average for 3 or more days.
> Buy on close.
>
> Exit when SPY 2 day RSI > 65
>
> He offers up different scenarios that can be run including
different
> VIX % above the 10 MA plus the amount of days it is above the
moving
> average.
>
> All through the book, Mr. Connors preaches the value of the 2 day
> RSI. Not sure if that is to lead folks to the TradingMarkets
website
> and his real cash cow of the subsciption to their stock rating
> system, but I suspect a little bit so for the unitiated.
>
> But overall, he does have 5-6 laid out strategies that could start
a
> beginner in the right direction, I think. One thing he does well is
> back up the history of trades with the numbers. One thing he
doesn't
> do well is show how much money is lost on the 20-25% of trades that
> don't go well. And he is somewhat against stop losses, which scares
> me a bit from a risk and capital preservation standpoint.
> Disclosure, Big is not on the Connors payroll. :)
>
> Thanks for the help.
>
>
>
>
>
> --- In equismetastock@xxxxxxxxxxxxxxx, pumrysh <no_reply@> wrote:
> >
> > Big,
> >
> > See if this helps.
> >
> > Preston
> >
> >
> > Buy:= C <=LLV(C,7);
> > {close is less than or equal to lowest low value of close over 7
> days}
> >
> > Sell:= C >= HHV(C,7);
> > {close is greater than or equal to highest high value of close
> over 7
> > days}
> >
> >
> >
> > A RSI(2) is of little value and I would suggest using the 3 day
> > lookback period for it.
> > You can sum for 2 days like this:
> >
> > Sum(RSI(3),2)
> >
> > Using Cum() would add the values going all the way back to the
> > beginning of the chart.
> >
> >
> >
> > For the VIX, I have:
> > VIX: The average implied volatility of 8 OEX options with a 30
day
> > expiration reported as an index.
> >
> > Volatility Spike: As defined by techies it is when the VIX rises
> > 35% .
> >
> > Saitta surmized that the volatility spike was useless in
> markets
> > that did not rise above 35%, therefore he standardized the
measure
> by
> > using a 15% rise of the 20 day moving average. His definition is:
> >
> > Saitta's Volatility Spike: The VIX minus 115% of its 20 day
moving
> > average. In metastock terms the formula would be:
> >
> > {Saitta Volatility Spike}
> > A:= P; {This must be dropped on VIX price plot}
> > B:= (mov(A,20,s) * 1.15)
> > X:= A ? B;
> > X;
> >
> > You would need to open two charts. One with a price plot of the
> S&P
> > 500 and another with the VIX. Click onto the VIX plot and move it
> > onto the same chart as the S&P. Call the Saitta Volatility Spike
> > (SVS) indicator from the indicator list and drop into its own
> window
> > when the VIX plot is highlighted. Use a horizontal line at 0.
> >
> >
> > Finally,
> > ref(C,-1)>Open
> > is correct.
> >
> >
> > --- In equismetastock@xxxxxxxxxxxxxxx, "Big Papa"
> > <denver69692002@> wrote:
> > >
> > > Group,
> > >
> > > I need some quick checks on some coding.
> > >
> > > Buy: Close @ 7 day low, code - C<=(LLV(C,7))
> > >
> > > Sell: Close @ 7 day high, code - C>=(HHV(C,7))
> > >
> > > Correct?
> > >
> > > Next, I am looking for a cumulative value of RSI over a period
> of 3
> > > days.
> > >
> > > Cum(Sum(RSI(2),3)
> > >
> > > Correct?
> > >
> > > Next, I really need help on this one. Looking for a code if VIX
> >
> > 5%
> > > or more above the 10 MA for 3 or more days.
> > >
> > > Lastly, today open > yesterday's close
> > >
> > > ref(C,-1)>Open
> > >
> > > Thank you and Happy Holidays.
> > >
> >
>
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