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Preston,
Ok, I got the indicator in. And included the r1, r2, and r3, then
smoothed the r2 by 3 and the r3 by 2.
My initial reaction is that it seems to work well on 5-7 day
increments,( I trade with EOD data), but doesn't catch the longer
trends. I applied to the QQQQ, and lets say I bought at RSI<10 and
sold at RSI>90. Many times over the past 5 months, it would have
given false buy signals.
But, when it does work, for instance, Oct 27th @ 32.54 to Nov 11th @
36.93, it is good.
When I review the meaning of the RSI, I am looking for a divergence
between the market index making a new high, but the RSI failing to
surpass a new high. That divergence would indicate a reversal. Seems
like I might need to track down Mr. Wilder's book?
I think I read Steve's things posted here about the StochRSI. I did
apply that to several stocks and really liked the way it looked. I
applied standard error bands and did buys on the StochRSI and exits
based on which bands it hit. I did most of the work on that in July
and August. Needless to say, I got spooked by its performance from
then until now. Autozone (AZO) was a great one for that system. But,
it seemed like Steve had it absolutley dialed in for the 7 or 8
things he traded. I'm still jealous and frustrated I can't find my 7
or 8 things.
Big
--- In equismetastock@xxxxxxxxxxxxxxx, pumrysh <no_reply@xxx> wrote:
>
> 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@> 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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