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Kenneth,
I can verify that Wilders used Wilders smoothing when he wrote the
RSI. Wilders is a variant form of exponential smoothing.
The difference is in the lookback periods.
Here's a quicky formula to confirm this. Not precise but very close:
N:=Input("Periods",1,250,25);
R:=(N/2)+1;
Mov(CLOSE,N,E);
Wilders(CLOSE,R);
Notice that the Wilders formula uses a different lookback period that
is calculated in the "R" array?basically half plus one. If you change
the lookback period you will notice a larger variance at shorter
periods. It is due to the initial seeding at the beginning of the
data.
Roy Larsen has discussed this many times before and again a simple
search of our archived messages will yield a number of emails to this
very point. His website is :
www.metastocktips.co.nz
There you will find a number of indicators that he has written. His
link along with others that will help you can be found in our links
section. A RSI written by Roy is listed below.
{RSI Indicator}
N:=Input("Periods",2,99,10);
A:=Close;
B:=Ref(A,-1);
U:=Wilders(If(A>B,A-B,0),N);
D:=Wilders(If(A<B,B-A,0),N);
100-(100/(1+(U/D)));
Hope this helps,
Preston
--- In equismetastock@xxxxxxxxxxxxxxx, "antoinesax" <kennethmetz@xxx>
wrote:
>
> 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@> 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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