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OEC - RSI bug or wrong Indicator?


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OEC - RSI bug or wrong Indicator?

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  #1 (permalink)
Twiga
Rome Italy
 
 
Posts: 4 since May 2017
Thanks: 0 given, 1 received

Hello to all!
I'm in simulation,
by inserting a simple indicator that represents all points that have RSI > 75 on the chart, I noticed that many points, even with RSI > 75, are not considered.
Not only that, I noticed that to make some of those not considered, I had to lower the 5/6 point parameter;
For example, to show hidden points with RSI > 75, I had to enter the parameter to 70.
By screenshots you can see what I am saying. I put red cross where Indicator symbol didn't show.
RSI 81.358, for example, on the left, if the parameter is >71 or >72 or >73 or >74 it is indicated on chart, but if I insert >75 (it would be right!) it does not see anymore (In fact, how I said above, about 5/6 points of difference between the value on the graph and the parameter of the indicator to display it on chart)
According to me, if in that point RSI is 81.358, and I insert parameter of indicator >70 or >71 or >80.357, Indicator should represent it on chart!

(In all pictures I put crosses for all points with RSI > 70 only to have the main situation under control)

this is the script of Indicator:
//************************
inputs:
Price( Close ),
Lenght (14);

if RSI(Close,Lenght) > 70 //70 - 71 - 72 - 73 - 74 - 75
then
Plot1(Close,"close",red);
//************************

Do you also know the same problem?
How can this discrepancy be resolved, is there any setup to do?
Thank you
Twiga

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  #2 (permalink)
 choke35 
Germany
 
Experience: Intermediate
Platform: Other
Trading: ES, YM, 6E
 
Posts: 2,668 since Feb 2013
Thanks: 5,100 given, 6,555 received

Taking a look at your data feed would be a good start.

If you are using e.g. snapshot data these snapshots don't necessarily represent real Globex tick prices.
That can cause strange effects - e.g. missing prices and signals or signals that disappear after a reload
of the session when the snapshots are replaced by corrected standard bars.

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  #3 (permalink)
Twiga
Rome Italy
 
 
Posts: 4 since May 2017
Thanks: 0 given, 1 received


Hi, Choke35, thanks for reply but I'm beginner and I didn't understand what you said me.

Data feed
I'm with Stxxx 5 TrXXXXX cXXX. as Broker (I don't know if I can say it), and with GAIN CXXXX as Clearing House. and I'm using their platform OEC. I think that DATA feed are their data, or not? I don't know if DATA come by the Broker or by the Clearing House.

I have account Demo and Real.
..."these snapshots don't necessarily represent real Globex tick prices"....
How may I have real DATA? Is it a broker fault or Claring House fault?
How may I build a strategy if data are wrong, data aren't real?

I'm building a strategy based on easylanguage, and the first step was to verify that with a simple Indicator selfbuild, all data requested were showned on chart.

When I saw that it wasn't so, I taken pictures, with parameter RSI, points or data showned by red stars and others not showned (but showned by me) with red crosses.

If someone has the same platform and the same Clearing House, can test the simply RSI indicator posted above to see if there's the same issue, I think.

Another case:
If I insert a parameter RSI (easylanguage) included between 70 and 74 by this simple Indicator:
//*********************************
if RSI(Close,RSI_Lenght) < 74 and
RSI(Close,RSI_Lenght) > 70 then
plot1 (Close, "RSI70-74", black);
//*********************************

Why on chart are visible simbol with RSI > 75?


Choke35 if you need others info, ask me please!
Thank you very much
Twiga

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  #4 (permalink)
Twiga
Rome Italy
 
 
Posts: 4 since May 2017
Thanks: 0 given, 1 received

Here the screenshot with included between 70 an 74 and on chart it displays a point with RSI 75.361!!

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  #5 (permalink)
 choke35 
Germany
 
Experience: Intermediate
Platform: Other
Trading: ES, YM, 6E
 
Posts: 2,668 since Feb 2013
Thanks: 5,100 given, 6,555 received

I see.

To the best of my knowledge S5 is providing unfiltered tick data during their x days of free demo.
After that, DTN IQfeed is the recommended data feed (see https://stage5trading.com/platform-solutions/trader-services/).

So if you are absolutely sure that you are on free (or fee-based) real-time tick data, I'd suggest that you contact their
support. They probably come up with a straightforward answer since your code is really very basic.

Regarding your code snippet: Such phantom signals happen when the trading software interprets the last price as a/the close.
Example: After 30 secs of your 1min bar the price meets the condition, but the 1min close is below the threshold / outside the conditions.
Thus either you or your software have to make sure that you are only evaluating the real close of the bar
("evaluate on bar close"). Technically that normally means that the code is evaluated at every chart update, but
only on the bar before the last bar in the chart (the current bar doesn't have a valid close at the moment).

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  #6 (permalink)
Twiga
Rome Italy
 
 
Posts: 4 since May 2017
Thanks: 0 given, 1 received

Ok. I understood. Thanks
I controlled and RSI indicator, it is based on CLOSE as all values on chart, infact they would be displayed as CLOSE value. When I move mouse on chart, all values displayed would be as CLOSE. But as you said maybe there is something is not works fine.
Tomorrow I'll contact support S5.

A question...according to you is better to base a strategy on data CLOSE or data during creation of the bar ?
...and consequently...
in a strategy based on CLOSE values (Close, RSI, Stochastic, EMA, SMA, ecc), if I put in strategy a STOPLOSS, where I say: If CLOSE price goes down of 100$ from ENTRYLONG price based on CLOSE value, then, SellShort (Close the position);
Which is the action of the STOPLOSS?
it can act during up and down inside the bar or only on CLOSE prices?
I have to specify in somewhere that STOPLOSS has to act only at the closure of bar or STOPLOSS action kills during and after creation of the bar ? this is important to know before build a strategy.

Thank you very much

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  #7 (permalink)
 choke35 
Germany
 
Experience: Intermediate
Platform: Other
Trading: ES, YM, 6E
 
Posts: 2,668 since Feb 2013
Thanks: 5,100 given, 6,555 received


Twiga View Post
...

A question...according to you is better to base a strategy on data CLOSE or data during creation of the bar ?
...and consequently...
in a strategy based on CLOSE values (Close, RSI, Stochastic, EMA, SMA, ecc), if I put in strategy a STOPLOSS, where I say: If CLOSE price goes down of 100$ from ENTRYLONG price based on CLOSE value, then, SellShort (Close the position);
Which is the action of the STOPLOSS?
it can act during up and down inside the bar or only on CLOSE prices?
I have to specify in somewhere that STOPLOSS has to act only at the closure of bar or STOPLOSS action kills during and after creation of the bar ? this is important to know before build a strategy.

Thank you very much

Resting limits, stop losses, and most other order types at the exchanges are triggered by current bid/ask prices,
not by Closes which are an ex-post construct. With the exception of single tick data series Last == Close is
purely accidental.

Thus strategies that are based on intraday closes regularly require permanent monitoring and order
management - with all consequences (triggers, percautions regarding dis-/reconnects etc.).

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Last Updated on November 19, 2017


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