RE: [EquisMetaStock Group] incorrect RSI values between indicator plot and explorer results

["Mike Loveday" <mike.loveday@xxxxxx>]

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Thanks 
Roy, I can't thank you enough. 
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Spot 
on, as soon as I changed the minimum periods to x5 indicator periods, it 
all matches up! Thank you for the detailed explanation too, it helps me 
understand not only the indicator (didn't realise the Metastock RSI was smothed 
by an EMA), but also the mechanics of the explorer versus the screen load a 
lot better!
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<FONT face=Arial color=#0000ff 
size=2>thanks,  Mike

  <FONT face=Tahoma 
  size=2>-----Original Message-----From: Roy Larsen 
  [mailto:rlarsen@xxxxxxxxxxxxxx]Sent: Sunday, 29 December 2002 3:13 
  PMTo: equismetastock@xxxxxxxxxxxxxxxSubject: Re: 
  [EquisMetaStock Group] incorrect RSI values between indicator plot and 
  explorer resultsMikeProblems can occur 
  visually if the scaling of an indicator is not setcorrectly. However I 
  suspect your real problem is that your exploration isonly for "Minimum" 
  periods whereas it should be for at least 75 to 100periods.The 
  problem is caused by the use of Wilders Smoothing within the 
  RSIcalculation. Wilders Smoothing is a form of exponential moving average, 
  andthe nature of an exponential moving average is that it retains a 
  portion ofALL data available - not just data for the designated number of 
  periods. Thesignificance of this is that an RSI of 14 periods on a chart 
  will contain agreater amount of historical data than a 14 period RSI used 
  with "minimum"periods in an exploration.The various formulas for 
  EMA, Wilders and RSI are shown below and thesimilarity between Wilders and 
  an EMA is obvious. I have found that a good"rule of thumb" is to multiply 
  the longest EMA period by five to determinehow many periods the 
  exploration should cover to give reasonable accuracy(accurate to 3-4 
  decimal places).  {Wilders 
  Smoothing}Period:=Input("Periods",1,99,14);Target:=P;Prcent:=1/Period;Wsm:=If(Cum(1)=1,Target,PREV* 
  (1-Prcent)+Target*Prcent);Wsm;  {Exponential Moving 
  Average}Period:=Input("Periods",1,99,14);Target:=P;Prcent:=2/(Period+1);Ema:=If(Cum(1)=1,Target,PREV*(1-Prcent) 
  + Target*Prcent);Ema;  {RSI Indicator}A:=Input("RSI 
  periods",2,50,14);B:=CLOSE; {RSI target 
  array}U:=Wilders(If(B>Ref(B,-1),B-Ref(B,-1),0),A);D:=Wilders(If(B<Ref(B,-1),Ref(B,-1)-B,0),A);100-(100/(1+(U/D)));Some 
  months ago I posted the following information at StockCentral. Thislists a 
  number of of functions that are affected by the same problem as RSI.I hope 
  this helps explain the issue sufficiently for you.RoyFrom the 
  number of questions that I have seen posted recently aboutexploration 
  events not coinciding with charted events I thought it might beuseful to 
  discuss further the major cause of the problem, and to identifymany of the 
  MetaStock functions that can contribute to it.The problem does not lie 
  with the MetaStock formula language but with theway that individual users 
  set up their explorations.There seems to be a general lack of 
  understanding, even among experiencedusers, that EXPONENTIAL moving 
  averages require much more data than the"PERIODS" value of any affected 
  function will supply. When using theExplorer with the "Minimum Periods" 
  option set we need to be aware that thenumber of records explored will not 
  exceed the highest "PERIODS" value usedin the active exploration 
  formulas.An EMA displayed on a chart has access to ALL loaded data, 
  regardless of the"PERIODS" value of the indicator. However an exploration 
  will only haveaccess to the amount of data that the user has specified. 
  The point toremember with an exponential MA is that new data is added with 
  each bar, butold data is never dropped out (as happens with a simple MA). 
  The old EMAdata becomes less significant with each new bar but it 
  continues to be acomponent of the final EMA value. This is the essential 
  factor that causesdifferences between chart and exploration 
  values.Quite a number of MetaStock functions use internal smoothing, 
  and this isusually (but not always) exponential in nature. Some functions 
  allow usercontrol over the smoothing method employed, Mov() being an 
  obvious example.The following list cannot be guaranteed as 100% 
  accurate but these are theMS functions to watch out for that appear to 
  use, or are in themselves, aform of exponential 
  smoothing.adx()adxr()atr()bbandbot()bbandtop()dema()dx()emv()forecastosc()imi()inertia()macd()mass()mdi()mov()oscp()oscv()pdi()pfe()projosc()qstick()rangeindicator()rmi()rvi()sar()stoch()tema()trix()wilders()When 
  using any of these functions in an exploration the accuracy of thereported 
  results will require the number of records explored to be 
  setappropriately. As a rule of thumb I would suggest multiplying the 
  highest"PERIODS" value by a factor of 5.Another trick that should 
  force the exploration to include the requiredminimum number of records 
  without actually specifying that number is to addthe following code to the 
  filter and adjust "PERIODS" to a suitable value." AND 
  Mov(C,PERIODS,S)>0"> Has anyone come across this 
  before? In creating a simple formula to> report on  crosses above 
  30 of a 14 period RSI, I find the values> reported in the explorer 
  report columns to be anywhere between 5% and> 20-30% lower than those 
  of the same indicator visually placed on the> chart.>> In 
  one case, the explorer report says '25' and '49' for two most recent> 
  periods yet the same indicator applied to the chart has '41' and 
  '57'.>> To check that the indicator formula and the explorer 
  formula were> indeed mathematically the same, i have reprogrammed both 
  using> Ron's "Relative Strength Index - Custom V" formula from 
  KALOSZ.>> I still report differences between the chart indicator 
  and the explorer> results to the same degrees above.>> Is 
  this a computational limit of Metastock or something much more> 
  obvious?>> thanks, Mike>>>> To 
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