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Thanks, Preston.
I had just come to a similar conclusion.
After reviewing Wilder's original publication, I recognized that he
used a form of exponential smoothing with factors 1/N and 1 - (1/N),
where N is the RSI period. In contrast, the usual EMA uses factors 2/
(M + 1) and 1 - 2/(M+1), where M is the EMA period. Equating the
corresponding factors produces the results that M = 2*N -1 and N = (M
+ 1)/2.
Using Mov(C, M, E) instead of Mov(C, N, E) in my original code
renders identical results to MS's RSI.
Ken
--- In equismetastock@xxxxxxxxxxxxxxx, pumrysh <no_reply@xxx> wrote:
>
> Kenneth,
>
> I can verify that Wilders used Wilders smoothing when he wrote the
> RSI. Wilders is a variant form of exponential smoothing.
>
> The difference is in the lookback periods.
>
> Here's a quicky formula to confirm this. Not precise but very close:
>
> N:=Input("Periods",1,250,25);
> R:=(N/2)+1;
> Mov(CLOSE,N,E);
> Wilders(CLOSE,R);
>
> Notice that the Wilders formula uses a different lookback period
that
> is calculated in the "R" array?basically half plus one. If you
change
> the lookback period you will notice a larger variance at shorter
> periods. It is due to the initial seeding at the beginning of the
> data.
>
>
> Roy Larsen has discussed this many times before and again a simple
> search of our archived messages will yield a number of emails to
this
> very point. His website is :
>
> www.metastocktips.co.nz
>
> There you will find a number of indicators that he has written. His
> link along with others that will help you can be found in our links
> section. A RSI written by Roy is listed below.
>
>
> {RSI Indicator}
> N:=Input("Periods",2,99,10);
> A:=Close;
> B:=Ref(A,-1);
> U:=Wilders(If(A>B,A-B,0),N);
> D:=Wilders(If(A<B,B-A,0),N);
> 100-(100/(1+(U/D)));
>
>
> Hope this helps,
>
>
> Preston
>
>
>
>
> --- In equismetastock@xxxxxxxxxxxxxxx, "antoinesax" <kennethmetz@>
> wrote:
> >
> > Preston, Thanks for your reply.
> >
> > I'm not sure which method Wilder used. But it seems that MS
> actually
> > does use EMA smoothing in computing the RSI. I state this for the
> > following reason.
> >
> > When I directly compare my spreadsheet calculations of RSI (where
> > EMAs are used but are computed recursively) with MS's results for
> SPY
> > from 1993 through the present (using a 14 bar period), the
greatest
> > percentage error is 0.0003%. On that basis, it most definitely
> > appears that MS also uses EMAs in its internal calculation.
> >
> > I'm wondering if anyone among the MS development community is
> > participating in this group who can definitively state which
method
> > is used?
> >
> > KM
> >
> >
> > --- In equismetastock@xxxxxxxxxxxxxxx, pumrysh <no_reply@> wrote:
> > >
> > > Kenneth,
> > >
> > > The major flaw that I see with your code is the method of
> smoothing
> > > which should be Wilder's not Exponential. There are literally
> > dozens
> > > of ways to write the code. You can find some here:
> > > http://trader.online.pl/MSZ/e-0-tytulowa-r.html
> > > You may also search our archived messages and find a few that
are
> > not
> > > there and may work even better.
> > >
> > > Preston
> > >
> > >
> > >
> > > --- In equismetastock@xxxxxxxxxxxxxxx, "antoinesax"
> <kennethmetz@>
> > > wrote:
> > > >
> > > > Prior to exploring some variations for RSI, I thought it best
> to
> > > first
> > > > verify my own coding for this indicator in comparison with
> > > MetaStock's
> > > > calculation.
> > > >
> > > > Much to my surprise, the results differed widely when applied
> to
> > > SPY
> > > > (from first data in 1993 through present date). Although
> > generally
> > > > zigging and zagging in the same direction, the two differ
> > > > significantly with ratio (my own code vs MS) varying from
> around
> > > 0.5
> > > > to 1.3.
> > > >
> > > > On the other hand, a spreadsheet version nearly matches MS,
> > > suggestion
> > > > a problem in the MS coding. The only difference in the two
> > versions
> > > is
> > > > that I used recursive formulas in the spreadsheet to
implement
> > the
> > > > EMA, whereas I simply used the Mov(C, N, E) function in MS.
> > > >
> > > > Can someone point out the error in the code shown below?
> > > >
> > > >
> > > > Thanks,
> > > >
> > > > KM
> > > >
> > > > PS. Please note that the code uses the most logical
definition
> of
> > > RSI,
> > > > which is mathematcially equivalent to the standard version
> using
> > RS
> > > > that was (maybe) computationally simpler three decades ago
when
> > > this
> > > > indicator was invented...
> > > >
> > > >
> > > > ===========================================
> > > >
> > > > Npds := Input("Periods",1,5000,14);
> > > > Chng := C - Ref(C,-1);
> > > > Adv := If(Chng>0,Chng,0);
> > > > Dec := If(Chng<0,-Chng,0);
> > > > AvgAdv := Mov(Adv,Npds,E);
> > > > AvgDec := Mov(Dec,Npds,E);
> > > > RSItest := 100*AvgAdv/(AvgAdv+AvgDec);
> > > >
> > > >
> > > > RSItest
> > > >
> > >
> >
>
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