| StockFetcher Forums · General Discussion · Calculation of RSI(2) | << 1 2 >>Post Follow-up |
| contrahawk 68 posts msg #47368 - Ignore contrahawk |
10/7/2006 5:58:22 PM I need some direction, please. I'd like to calculate daily RSI(2). I have the general formula RSI(N) = 100 - 100/[1 + RS(N)] where RS(N) = [average of up closing changes in past N days] / [average of down closing changes in past N days] Here's my problem: specifically where RSI(2) is concerned, N = 2, and if the past two days have both had higher closes then [average of down closing changes in the past 2 days] = 0, RS(2) is undefinably large and RSI(2) = 100. On the other hand, if the past two days have both had lower closes, then [average of up closing changes in the past 2 days] = 0, RS(2) = 0 and RSI(2) = 0. Is there an alternative definition of RSI that takes care of this dilemma? Is there some convention that assigns minimum and maximum values to RS(N)? Can anyone help me? I'd be most grateful. Jim |
| contrahawk 68 posts msg #47373 - Ignore contrahawk |
10/8/2006 3:22:59 AM I think perhaps I've found an answer to my question: use a 2 period EMA of the daily changes to calculate the RS [see formula in original post] rather than a simple average. So far so good, anyway -- this means that, for one issue, over the past two weeks, my calculations agree within rounding error with the values posted by SF and by Esignal. Jim |
| gocats 22 posts msg #47379 - Ignore gocats modified |
10/8/2006 7:17:40 PM That brings up another good point that I have been thinking of asking...how to calculate RSI(2) for the next day? Let's say a particular stock's RSI(2) is 1.5 and my strategy is to buy when RSI(2) goes below 0.5, so by the current price, how can one calculate at what price next day will the RSI(2) be below 0.5? Anyone? |
| contrahawk 68 posts msg #47382 - Ignore contrahawk |
10/9/2006 2:54:36 AM gocats, use your spreadsheet program to set up an RSI(2) calculator. If your notion is to act on daily RSI(2) ringing the "Buy" bell, use it to calculate what daily RSI(2) would be for a spread of closing price values ranging from $2 below to $2 above today's close -- or whatever range fits your issue and program. Then if your issue hits a price level intraday tomorrow which would produce the trigger RSI(2). . . . . Alternatively, subscribe to a service which provides streaming, real-time indicators [eSignal's MarketCenterLive is one]. Jim |
| gocats 22 posts msg #47389 - Ignore gocats |
10/9/2006 1:45:38 PM Well the reason I was asking is that I can't on the computer all the time since I have full time job. I can use RSI(2) to put a trade trigger at the price where I know RSI(2) will become 0.5 or whatever I decide. Do you have a spreadsheet setup like that...I'm sorry, I'm not so good with Excel. Can you please share it with me? |
| rharmelink 81 posts msg #47395 - Ignore rharmelink modified |
10/10/2006 7:24:45 AM Jim: Unless you're talking about an RSI calculation that's different than the normal one, I think your problem is this assumption: RS(N) = [average of up closing changes in past N days] / [average of down closing changes in past N days] That's ONLY for the first calculation of RS(N). See: http://stockcharts.com/education/IndicatorAnalysis/indic_RSI.html After the first calculation, you're dealing with a "smoothed" RS, which for an RSI(2) value is: Current Average Gain = (1 * Previous Average Gain + (Current Day Gain | 0)) / 2 Current Average Loss = (1 * Previous Average Loss + (Current Day Loss | 0)) / 2 RS() = Current Average Gain / Current Average Loss ...which means what you really need to know are the previous intermediate calculations of the Average Gain and Average Loss, not the previous RS or RSI. If my algebra is correct, this is the calulation of a loss required for a lower RSI value: L = AL - (AG / (100 / (100 - RSI) - 1)) ...and this is the calculation for the gain required for a higher RSI value: G = AL * (100 / (100 - RSI) - 1) - AG ...where: AL = Average Loss from previous day AG = Average Gain from previous day RSI = Desired RSI value L = Necessary loss for today to achieve RSI value G = Necessary gain for today to achieve RSI value If G evaluates as negative or L evaluates to positive, it means the RSI value you are looking for cannot be achieved with a price change in that direction. |
| contrahawk 68 posts msg #47396 - Ignore contrahawk |
10/10/2006 9:27:15 AM rharmelink, First, thanks for working on my quandry. Second, I had come to the point of deciding that at least a working approximation is today's average "up" = (today's up change + yesterday's average "up") / 2 and today's average "down" = (today's down change + yesterday's average "down") / 2 I selected a starting day where the day's result was opposite in algebraic sign from the prior day -- to avoid an initial division by zero -- and those simple averages were my first "yesterday's average 'up'" and "yesterday's average 'down'". Within 4 - 5 days of beginning the calculation, my result matches that of SF. Again, my thanks! I appreciate the link to stockcharts.com, too. Jim |
| marine2 963 posts msg #47406 - Ignore marine2 |
10/10/2006 8:16:54 PM I wanna be a RSI(2) nerd lol, just kidding. You people are way above my level. As MC Hammer would say: "You cant touch this" (you normal people). |
| gocats 22 posts msg #47441 - Ignore gocats |
10/13/2006 2:06:32 AM rharmelink: I have trying your formula on so many stocks for the last 2 days but haven't been able to figure out the right results. L = AL - (AG / (100 / (100 - RSI) - 1)) Actually none of them matches with what I see on SF or any other site. Let's take EZPW as an example. On 10/2/2006, the RSI(2) was 84.4. Next day (10/3) the RSI(2) became 5.1. So to achieve 5.1, let's insert in the formula: L = AL - (AG / (100 / (100 - 5.1) - 1)) Here AL = (0.03/2) = 0.015 (In the last 2 days there was one red day and fell $0.03) AG = (0.12/2) = 0.06 (In the last 2 days there was one Green day and rose $0.12) L = 0.015 - (0.06/ (100 / (100 - 5.1) - 1)) L = -1.1 But if you see the stock fell $2.38 to achieve RSI(2) of 5.1. So please tell me what I am doing wrong. Thanks |
| contrahawk 68 posts msg #47442 - Ignore contrahawk modified |
10/13/2006 9:00:45 AM gocats, See if this gives you any leads. This is for GOOG. It does not follow the calculation you've been working with, but it does produce an accurate RSI(2). Date DOW Close Day Chg, $ UP today DN today abs DN today avg UP(2) avg DN(2) RS(2) Fraction RSI(2) 09/26/06 Tu 406.87 2.89 2.89 0.00 0.00 09/27/06 W 402.92 (3.95) 0.00 (3.95) 3.95 1.45 1.97 0.73 57.75 42.25 09/28/06 Th 403.58 0.66 0.66 0.00 0.00 1.05 0.99 1.07 48.41 51.59 09/29/06 F 401.90 (1.68) 0.00 (1.68) 1.68 0.53 1.33 0.39 71.71 28.29 10/02/06 M 401.44 (0.46) 0.00 (0.46) 0.46 0.26 0.90 0.29 77.32 22.68 10/03/06 Tu 404.04 2.60 2.60 0.00 0.00 1.43 0.45 3.19 23.85 76.15 10/04/06 W 415.70 11.66 11.66 0.00 0.00 6.55 0.22 29.19 3.31 96.69 10/05/06 Th 411.81 (3.89) 0.00 (3.89) 3.89 3.27 2.06 1.59 38.59 61.41 10/06/06 F 420.50 8.69 8.69 0.00 0.00 5.98 1.03 5.82 14.67 85.33 10/09/06 M 429.00 8.50 8.50 0.00 0.00 7.24 0.51 14.08 6.63 93.37 10/10/06 Tu 426.65 (2.35) 0.00 (2.35) 2.35 3.62 1.43 2.53 28.35 71.65 10/11/06 W 426.50 (0.15) 0.00 (0.15) 0.15 1.81 0.79 2.29 30.41 69.59 10/12/06 Th 427.44 0.94 0.94 0.00 0.00 1.38 0.40 3.48 22.34 77.66 10/13/06 F today's "avg UP(2)" = [yesterday's avg UP(2) + UP today] / 2 similarly for "avg DN(2)" "RS(2)" and "Fraction" are from the defining expression for RSI Jim |
| StockFetcher Forums · General Discussion · Calculation of RSI(2) | << 1 2 >>Post Follow-up |
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