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----- Original Message -----
From: <A
href="" title=tsokakis@xxxx>Dimitris Tsokakis
To: <A href=""
title=amibroker@xxxxxxxxxxxxxxx>amibroker@xxxxxxxxxxxxxxx
Sent: Tuesday, October 09, 2001 6:23 PM
Subject: Modified RSI
RSI is a very popular indicator and in anybook or
internet T/A site
you will read the traditional [30,70] buy-sell
system.
The result is that very few stocks fall below 30 or
exceed 70. Buyers
try to buy when RSI drops from 35 to 30 and sellers
try to sell before
70. If you see ^NDX graph the last two years, RSI
was not out of the [30,70]
zone, except the last September irregular
period.
I tried to build up a system with RSI ans I applied
the moving buy-sell level
method, already exposed in <FONT
color=#ff00ff>#<FONT
color=#ff00ff> <FONT
color=#ff00ff>5161 message.
RSI was a little noisy, especially around the
medium levels, so I smoothed it
by a 3-day average. Through optimization Isearch
the best combination for
days X1, Dbuy and Dsell around the averagevalue of
RSI.
(I found better results using AVRSI=ma(RSI,50)
instead of ma100 used in
stochastic. I have not optimized average days
yet).
Some interesting results:
a] At least I found a way to use RSI.
b] In many examples I had 5 trades, 5winners,
0 losers or 7 trades, 6 winners,
1 looser
c] Comparison with traditional [30,70] system is
out of topic for many stocks
which do not trade anymore out of [30,70]
band
d] Days in the market are reduced to reasonable
time intervals.
e] Delays are insignificant.
So, in Automatic Analysis paste the
/*Modified RSI variable buy-sell
levels*/
<FONT face=Arial
size=2>X1=Optimize("X1",10,10,20,1);Dbuy=Optimize("Dbuy",10,0,20,1);Dsell=Optimize("Dsell",10,0,20,1);s1=MA(RSI(X1),3);AVRSI=MA(s1,50);Buy
= Cross( s1,AVRSI-DBuy);Sell = Cross( AVRSI+Dsell,s1);
Optimize
a current stock for
All quotations.
In indicator Builder,
paste the following formula,
replacingX1, Dbuy,
Dsell with the results of optimization.
/*Modified RSI variable buy-sell levels
Graph*/
<FONT face=Arial
size=2>X1=20;Dbuy=3;Dsell=11;MaxGraph=12;s1=MA(RSI(X1),3);Graph0=s1;AVRSI=MA(s1,50);Graph9=AVRSI-Dbuy;Graph10=AVRSI+Dsell;Graph8=AVRSI;Graph8Style=8;Graph8BarColor=2;Graph9Style=Graph10Style=8;Graph9BarColor=Graph10BarColor=1;
Comments:
It is clear that you run optimization first and
then you paste in Ind. Builder the
values of X1, Dbuy, Dsell
manually.
If you want to see these values on the title, add
the line
Title="X1="+writeval(X1,1.0)+",
Dbuy="+writeval(Dbuy,1.0)+", Dsell="+writeval(Dsell,1.0)+
any other info.
I do not know any procedure to run optimization and
see "automatically" the values of X1,
Dbuy, Dsell in Ind. builder title.
Dimitris Tsokakis
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