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predictive RSI indicator
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predictive RSI indicator

  #1 (permalink)
Elite Member
knox
 
Futures Experience: Intermediate
Platform: NT
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Posts: 10 since Nov 2009
Thanks: 5 given, 3 received

predictive RSI indicator

http://www.protradingindicators.com/tradestation-indicators/dig-predictive-rsi

Does anyone know if someone has coded this here? It looks interesting.

George

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  #2 (permalink)
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  #3 (permalink)
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I haven't seen anything like this posted here. It does look really interesting though.

I love "predictive" anything.

Please send me a Private Message if you have any questions about BTTFT services
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  #4 (permalink)
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Answer
This post has been selected as an answer to the original posters question Answer


stratiG View Post
http://www.protradingindicators.com/tradestation-indicators/dig-predictive-rsi

Does anyone know if someone has coded this here? It looks interesting.

George

Multichart version

 
Code
/*******************************************************************
Description	: This Indicator plots the Reverse Engineering RSI
Provided By	: TS Support, LLC for eSignal
********************************************************************/

function preMain(){
	setPriceStudy(true);
	setStudyTitle("Reverse Engineering RSI");
	setCursorLabelName("RSI",0);
	setDefaultBarFgColor(Color.red,0);
}

var AUC_1 = 0;
var ADC_1 = 0;

function main(value,WildPer){
	if(value == null)
		value = 50;
	if(WildPer == null)
		WildPer = 14;
	
	ExpPer = 2 * WildPer - 1;
	K = 2 / (ExpPer + 1);
	
	if(close() > close(-1)){
		AUC = K * (close() - close(-1)) + (1 - K) * AUC_1;
		ADC = (1 - K) * ADC_1;
	}	
	else {
		AUC = (1 - K) * AUC_1;
		ADC = K * (close(-1) - close()) + (1 - K) * ADC_1;
	}
	
		
	x = (WildPer - 1) * (ADC * value / (100 - value) - AUC);
	
	if(x >= 0)
		RevEngRSI = close() + x;
	else
		RevEngRSI = close + x * (100 - value) / value;
	
	if (getBarState() == BARSTATE_NEWBAR){
		AUC_1 = AUC;
		ADC_1 = ADC;
	}
		
	return RevEngRSI;
}
Courtesy http://www.multicharts.com/files/efs/RevEngRSI.efs

amibroker version My Simple Quant: RSI Predictor for Amibroker

For ninja you need to find a good soul to translate the formula

PS

Do not rely on RSI or Reversed RSI, overbought and oversold mean nothing if not compared to the PA context


Last edited by redratsal; January 16th, 2013 at 05:52 PM.
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  #5 (permalink)
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thank you

I'll post it and see if anyone can translate it into NT.
Thank you for sharing the code.

George




redratsal View Post
Multichart version

 
Code
/*******************************************************************
Description	: This Indicator plots the Reverse Engineering RSI
Provided By	: TS Support, LLC for eSignal
********************************************************************/

function preMain(){
	setPriceStudy(true);
	setStudyTitle("Reverse Engineering RSI");
	setCursorLabelName("RSI",0);
	setDefaultBarFgColor(Color.red,0);
}

var AUC_1 = 0;
var ADC_1 = 0;

function main(value,WildPer){
	if(value == null)
		value = 50;
	if(WildPer == null)
		WildPer = 14;
	
	ExpPer = 2 * WildPer - 1;
	K = 2 / (ExpPer + 1);
	
	if(close() > close(-1)){
		AUC = K * (close() - close(-1)) + (1 - K) * AUC_1;
		ADC = (1 - K) * ADC_1;
	}	
	else {
		AUC = (1 - K) * AUC_1;
		ADC = K * (close(-1) - close()) + (1 - K) * ADC_1;
	}
	
		
	x = (WildPer - 1) * (ADC * value / (100 - value) - AUC);
	
	if(x >= 0)
		RevEngRSI = close() + x;
	else
		RevEngRSI = close + x * (100 - value) / value;
	
	if (getBarState() == BARSTATE_NEWBAR){
		AUC_1 = AUC;
		ADC_1 = ADC;
	}
		
	return RevEngRSI;
}
Courtesy http://www.multicharts.com/files/efs/RevEngRSI.efs

amibroker version My Simple Quant: RSI Predictor for Amibroker

For ninja you need to find a good soul to translate the formula


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  #6 (permalink)
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You don't need to ask here is the NT version:

NinjaTrader Support Forum

and the original workout by François Bertrand called RSI BANDS AND REVERSE ENGINEERING

Letters - June 2008

Attached Files
Register to download File Type: zip April2008SC.zip (2.2 KB, 354 views)
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  #7 (permalink)
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Interim improved version

This version is more efficient. Further improvements are possible.

Does not have reusable instances of the external EMA's because their periods keep changing. I have a fix in mind for that.

Or maybe go back to the MultiCharts code.

"If we don't loosen up some money, this sucker is going down." -GW Bush, 2008
“Lack of proof that something is true does not prove that it is not true - when you want to believe.” -Humpty Dumpty, 2014
“The greatest shortcoming of the human race is our inability to understand the exponential function.”
Prof. Albert Bartlett
Attached Files
Register to download File Type: cs ARSI.cs (7.5 KB, 316 views)
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How to further improve predictive RSI with Dictionaries

Answer
This post has been selected as an answer to the original posters question Answer

This indicator uses EMA's whose periods vary from bar to bar.

The usual method of creating reusable instances of the external EMA's breaks down because each of those instances would only have one period, and you may not know in advance how many different values of periods would ultimately be needed for those EMA's, or what the values of those periods would be. (For this indicator, the number of different MA periods ends up being about the same as the Period of the indicator.)

This problem can be solved by using Dictionary objects that hold collections of EMA classes having the needed parameters. For each entry, the key is an integer and the value is an instance of an EMA class, including the value of its parameters. For each entry we simply make the value of the smoothing period the same as that of the key. Of course, before attempting to Add a value to the Dictionary, you must make sure that the Dictionary does not already contain an entry having that key by doing a ContainsKey test.

Once the Dictionary contains an entry having a given key, for example 7, you just call for that value whenever you need an EMA with a period of 7. For example, result = EMADictionary[7][0], where the key is 7 and the value is EMA(HolyGrailDataSeries,7) gives result = EMA(HolyGrailDataSeries,7)[0].

Simple! Works great! I learned it all from @gomi ! I don't think that those people whose first names begin with N have thought of this, and it is doubtless "unfortunately beyond the scope of anything we would be able to support at this time.."

"If we don't loosen up some money, this sucker is going down." -GW Bush, 2008
“Lack of proof that something is true does not prove that it is not true - when you want to believe.” -Humpty Dumpty, 2014
“The greatest shortcoming of the human race is our inability to understand the exponential function.”
Prof. Albert Bartlett

Last edited by Zondor; January 17th, 2013 at 03:31 AM.
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  #9 (permalink)
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@Zondor

Thank you very much for your detailed response. Unfortunately, I only understood about 20%, but I
will do some homework on the subject you described in such detail. The least I can do.

George

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  #10 (permalink)
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London
 
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I try this indicator but a lot of error have into debug.
IT is not working into mc,
why do you say that it work?

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