A smoothed RSI Inverse Fisher Transform (oct 2010 article S&C) and ARSI - pro real time formula

// 1.st RSI under inverse fisher tansform


//for references , please see STocks & Commodities article, october 2010, "A smoothed RSI Invers Fisher Transform"



// In general, y is the inverse fisher transform



// y=(exp(2*x)-1)/(Exp(2*x)+1)



// where x is the original function





// range of the indicator is [-5, +5]



// variable: n and m (period of "transformation")

x= 0.1*(RSI[n](close)-50)



// in this case, x is actually an "intermediate" function between RSI and RSInorm





// default n = 5 , m = 9





y=(exp(2*x)-1)/(Exp(2*x)+1)



RSInorM=50*(y+1)





EMAinvfish=ExponentialAverage[m](RSInorm)



Sum=RSInorm+Emainvfish





// now ARSI - Version 1. Pro Real Time formula

// for references, please see for article: STock & Commodities, V. 26:10 ARSI The Asymmetrical RSI by Sylvain Vervoort.

// for formula, see below (amibroker language)

//dayscounter=dc



upcount = 0

j = 2



for i = 1 to n do



if close[i]>=close[j] then



upcount = upcount + 1



else

upcount=upcount+0



endif

j=j+1

next





dncount=n-upcount



k1u=upcount*2-1



k1d=dncount*2-1



k1uu=max(k1u,0.1)

k1dd=max(k1d,0.1)



k2d=-dncount







h1u=max(upcount,1)



h1d=max(k2d,1)

// this (0.1 and 1) because exponential average needs real strictly positive numbers





UpMove=ExponentialAverage[k1uu](h1u)



DnMove=ExponentialAverage[k1dd](h1d)







RS = UpMove/DnMove



ARSI = 100-(100/(1+RS))











// Version 1.



// ARSI formula



// constant period version (looks into the future)



// used also amibroker language translated to Pro Real Time language (since Stock & Commodities article is difficult to understand)



// (u) Period = Param("ARSI Period", 14, 1, 100 );



//(u) Chg = C - Ref( C, -1 );



// (u) UpCount = Sum( Chg >= 0, Period );



// (u) DnCount = Period - UpCount;



//(u) UpMove = EMA( Max( Chg, 0 ), SelectedValue( UpCount) * 2 - 1 );



// DnMove = EMA( Max( -Chg, 0 ), SelectedValue( DnCount ) * 2 - 1 );



// RS = UpMove/DnMove;







//(u) ARSI = 100-(100/(1+RS));



//(u) Plot( ARSI, "ARSI("+Period+")", colorBlue )



















// Version 2.



// ARSI formula



// variable period version (backtest-safe)

//(u) = part not implemented yet

// (u) Period = Param("ARSI Period", 14, 1, 100 );



//(u) Chg = C - Ref( C, -1 );



// (v) UpCount = Sum( Chg >= 0, Period );

// (v) DnCount = Period - UpCount;

// (v) UpMove = AMA( Max( Chg, 0 ), 1/UpCount );

// (v) DnMove = AMA( Max( -Chg, 0 ), 1/DnCount );



//(v) RS = UpMove/DnMove;



//(v) ARSI = 100-(100/(1+RS));



//(v) Plot( ARSI, "ARSI_V("+Period+")", colorGreen );



//(v) Plot( RSI( Period ), "RSI", colorRed );





return ARSI coloured (0, 0, 255) as "ARSI", RSInorm as "RSInorm", EMAinvfish coloured (0, 255, 0) as "EMAinvfish", sum coloured (255, 0, 0) as "Sum"


*******************
Results:

- ARSI version 2 has not been developed (since ARSI seems just more a tendency line than an indicator, maybe because of the limite of Pro Real Time trading desk)
- This group of lines cannot be used for trading (different false signals when they open or when crossing ARSI), but also for confirming a state of market (brought to bear or bull), which can be understood also by the lecture of other indicators (supertrend, vortex, random walk...)
- this group of indicator is too hysterical

These results don't change with a different time frame ==> Conclusion: removed form the desk
see images below


guardare le immagini sotto
 

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