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OK - Here is the OPEN file.
METASTOCK FORMULAS FOR VARIOUS StochRSI
STOCHRSI-14 =
(Sum(RSI(14)-LLV(RSI(14),14),3)/
Sum(HHV(RSI(14),14)-
LLV(RSI(14),14),3))*100
STOCHRSI-70 =
(Sum(RSI(70)-LLV(RSI(70),70),15)/
Sum(HHV(RSI(70),70)-
LLV(RSI(70),70),15))*100
STOCHRSI-252 =
(Sum(RSI(252)-LLV(RSI(252),252),54)/
Sum(HHV(RSI(252),252)-
LLV(RSI(252),252),54))*100
Set up three Indicator Builder formulas using
the above definitions for each period length,
14, 70 and 252. Name them StochRSI-14,
StochRSI-70 and StochRSI-252 in your
Indicator Builder. This way, when you need to
refer to the 14 period StochRSI in a formula,
you'd use
fml("StochRSI-14")
OK? OK! Now to the rules in English:
StochRSI BUY Rule #1:
EITHER STOCHRSI-70 OR STOCHRSI-252
>= 70.0 AND STOCHRSI-14 CROSSES
FROM BELOW 20.0 TO EQUAL OR ABOVE 20.0
StochRSI BUY Rule #2:
STOCHRSI-70 >= 50.0 AND HAS RISEN
BY AT LEAST 3 POINTS FROM A PREVIOUS
TRADING DAY DURING ANY ONE OF THE PAST
21 TRADING DAYS AND STOCHRSI-14
CROSSES FROM BELOW 20.0 TO EQUAL OR
ABOVE 20.0 TODAY
StochRSI Buy Rule In MSW 5.0 System Tester:
(WHEN(Cross(Fml("StochRSI-14"),20.0))
AND (When(Fml("StochRSI-70"),>=,70.0)
OR (WHEN(Fml("StochRSI-252"),>=,70.0)))
OR (WHEN(Fml("StochRSI-70"),>=,50.0)
AND WHEN(HHV(ROC(Fml("StochRSI-70"),1,
Points),21),>,3.0)))
Sell Rule: Whatever you decide upon.
Sell Stop Rule: It's not possible to
dynamically set the stop rule in MSW 5.0 that
I am using. Namely to set a sell stop when
the closing price after the buy signal, goes
below the most recent correction's low price
before the buy signal.
When you do an Exploration through whatever
securities in whatever directories you have
data for, you put the following in each
column of your Exploration.
Col A: CLOSE
Col B: Fml("StochRSI-14")
Col C: Fml("StochRSI-70")
Col D: Fml("StochRSI-252")
Col E: HHV(ROC(Fml("StochRSI-70"),1,Points),14)
Filter:
(WHEN(CROSS(ColB,20)) AND
(WHEN(ColC,>=,70.0) OR
WHEN(ColD,>=,70.0)) OR
(WHEN(ColC,>=,50.0) AND
WHEN(ColE,>,3.0)))
I hope I've typed the formulas in correctly.
Of course, you could filter your securities
by Stock price by using ColA. An example
would be when the close <= 12.0.
-= Chris =-
with a BIG thank you to John Yurko, the developer of this StochRSI
system, based on Chande's book.
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