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Chris,
it comes from his book Momentum, Direction and Divergence, quite good, and,
as
you can see from the code (below), it's one bar ROC triple exponentialy
smoothed.
Jan Philipp
{TSI function = True Strength Index by Bill Blau}
{FORMAT: TSI(Price,r,s,u)
Where: r = length of first EMA smoothing of 1 day momentum,
s = length of second EMA smoothing of 1 day smooting,
u = length of third EMA smooting of 1 daymomentum.}
Inputs: Price(NumericSeries), r(NumericSimple), s(NumericSimple),
u(NumericSimple);
Value1= 100*TXAverage(Price-Price[1],r,s,u) ; { Numerator }
Value2=TXAverage(AbsValue(Price-Price[1]),r,s,u) ; { Denominator }
If Value2 <> 0 then TSI = Value1 / Value2
Else TSI = 0;
{FORMAT: TXAverage(Price,r,s,u) }
Inputs: Price(NumericSeries), r(NumericSimple),s(NumericSimple),
u(NumericSimple);
TXAverage = XAverage(XAverage(XAverage(Price,r),s),u) ;
----- Original Message -----
From: "Chris Evans" <evanscje@xxxxxxxxxxxxx>
To: "Omega List" <omega-list@xxxxxxxxxx>
Sent: Wednesday, May 18, 2005 11:18 AM
Subject: TSI
Has anyone studied the Blau TSI mentioned in S&C this month? Is the code
available anywhere?
CE
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