ThinkScripter » RSI

RSI Trading System

ThinkScripter — Fri, 18 Nov 2011 20:44:40 +0000

Continuing in my exploration of mechanical trading systems is the RSI Trading System. The concept is very simple. Enter a long when the RSI crosses a given threshold value and exit upon crossing down through a lower RSI value. The reverse for shorts: The entry/exit threshold for a short is 100 – the specified threshold for a long. For example, the hourly chart of the ES below uses a 30 period RSI with an entry threshold of 51 and an exit threshold of 48. So as the RSI crosses 51 a long position is entered and will exit when the RSI closes below 48. Now, since both longs and shorts are being traded in this version of the RSI system (I will add the ability to take uni-directional trades at a later date), the exit threshold of 48 will not be reached (by design in this case) and, in fact, a short position will be initiated when the RSI crosses below 49 (i.e. stop and reverse). This is because the user specified threshold for entry is 51 for longs which translates into 100 – 51 = 49 for shorts. I hope I haven’t lost you. By the way, I didn’t design this system. It’s just one of many that exist out there and I chose to code it up. As with the MACD Trading System I have also added the ability to implement an ATR trailing stop after a trade is initiated and subsequently the exit is determined by either the ATR stop, an opposing reversal signal, or the specified exit threshold. As with my other trading systems, the full suite of backtesting information is available as well as a lower indicator for the cumulative equity curve.
Please Note:
Trade initiation/exit symbols will show up intrabar but are not confirmed until the close of the bar. The system will execute the trade at the close of the bar at its closing price. You may elect to take the early signal prior to bar close but risk the possibility of the signal being negated by the close and forcing an exit.

PRO Members can download the latest zip file in the forum now.

! ! ! IMPORTANT ! ! !
It goes without saying, but I’m going to say it up front here with emphasis: – You should not trade this system unless you fully understand the basic concepts. You must do your own due diligence. A trading system does not relieve you of your responsibility for the trades. Just because a system shows a historical profit on your chart does not mean it will continue to do so in the future. Over-optimization of the RSI parameters to make the current chart as profitable as possible is a likely path to future destruction and is referred to as “Curve-Fitting.” Generalized parameters should be chosen within a broad range of the profitable possibilities.

RSI Trading System

Smoothed RSI Inverse Fisher Transform

ThinkScripter — Sun, 28 Nov 2010 16:28:45 +0000

Sylvain Vervoort’s Smoothed RSI Inverse Fisher Transform, as presented in his article in the October 2010 Stocks and Commodities Magazine, begins by smoothing the price curve with the “rainbow” weighted moving average. This smoothed price curve is used to calculate an RSI, which is then smoothed with the Vervoort zero-lag exponential moving average. The resulting curve is then transformed with an inverse Fisher filter.
Fisher suggests that a breakout above 12 indicates buying opportunities and a breakdown below 88 indicates selling opportunities. These opportunities should then be studied in the context of a slow stochastic and Vervoort’s ARSI indicator.

Smoothed RSI Inverse FT

# TS_SmoothedRSI_InverseFisherTransform
# By Sylvain Vervoort - Oct 2010 S&C Magazine
# thinkScript adaptation by
# http://www.thinkscripter.com
# thinkscripter@gmail.com
# Last Update 28 NOV 2010

declare lower;

input RSIper = 4;
input EMAper = 4;
def ma1 = wma(close, 2);
def ma2 = wma(ma1, 2);
def ma3 = wma(ma2, 2);
def ma4 = wma(ma3, 2);
def ma5 = wma(ma4, 2);
def ma6 = wma(ma5, 2);
def ma7 = wma(ma6, 2);
def ma8 = wma(ma7, 2);
def ma9 = wma(ma8, 2);
def ma10 = wma(ma9, 2);
def RainbW = (5 * ma1 + 4 * ma2 + 3 * ma3 + 2 * ma4 + ma5 + ma6 + ma7 + ma8 + ma9 + ma10) / 20;
def x = 0.1 * (RSIWilder(price = RainbW, length = RSIper) - 50);
def EMA1 = ExpAverage(x, EMAper);
def EMA2 = ExpAverage(EMA1, EMAper);
def Difference = EMA1 - EMA2;
def ZlEma = EMA1 + Difference;

plot invfish = ((exp(2 * ZlEma) - 1) / (exp(2 * ZlEma) + 1) + 1) * 50;
invfish.setDefaultColor(color.red);

plot zero = 0;
zero.setDefaultColor(color.gray);

plot oneHundred = 100;
oneHundred.setDefaultColor(color.gray);

DT Oscillator

ThinkScripter — Sun, 18 Oct 2009 03:21:52 +0000

Here’s a Saturday evening quickie. Lou dropped into the forum last week looking for a simple thinkScript conversion of the DT Oscillator code he had. It’s pretty basic but I thought I’d post it here in case you missed it in the forum. In essence it is just another version of the Stochastic RSI. I’ve been a bit quiet these days in the forum as I have spent a fair amount of time deep in the ThinkScripter laboratory cooking up some new goodies for you all. A careful examination of the price pane will reveal that the daily version of the Volume Profile is nearly complete. Stay tuned….

DT Oscillator

# TS_DTOscillator thinkScript translation by ThinkScripter
# http://www.thinkscripter.com
# thinkscripter@gmail.com
# Last Update 15 OCT 2009

declare lower;

input RSIPeriod = 13;
input StochasticPeriod=8;
input MAType = {default SMA,EMA};
input KPeriod = 5;
input DPeriod = 3;
input upper = 70;
input lower = 30;

def StoRSI= 100*(( RSIWilder( RSIPeriod) - lowest( RSIWilder( RSIPeriod ) , StochasticPeriod ) ) / ( (
highest( RSIWilder( RSIPeriod) , StochasticPeriod ) ) - lowest(RSIWilder( RSIPeriod ), StochasticPeriod ) )
);

def SK;
def SD;

Switch (MAType){
case SMA:
SK=average(StoRSI,KPeriod);
SD=average(SK,Dperiod);
case EMA:
SK=ExpAverage(StoRSI,KPeriod);
SD=ExpAverage(SK,DPeriod);
}

Plot DTOscSK = SK;
DTOscSK.setDefaultColor(color.blue);
plot DTOscSD = SD;
DTOscSD.setDefaultCOlor(color.gray);
DTOscSD.setStyle(curve.SHORT_DASH);
plot zero = 50;
zero.setDefaultColor(color.white);
plot UpperL = upper;
UpperL.setDefaultColor(color.red);
plot LowerL = lower;
lowerL.setDefaultColor(color.green);