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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@xxx> 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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