StockFetcher Forums · General Discussion · Using custom price series in a filter<< >>Post Follow-up
evo34
77 posts
msg #103316
Ignore evo34
11/12/2011 5:18:13 PM

Can you use an indicator on custom series (other than close price, that is). Say I wanted to create a filter that used RSI of [(high+low)/2] rather than RSI of close. Is this possible? Thanks.

Kevin_in_GA
4,542 posts
msg #103317
Ignore Kevin_in_GA
11/12/2011 6:04:01 PM

It is but you would need to write the code for it. Not hard if you know the formula and there are no "if/then" type of rules.

evo34
77 posts
msg #103318
Ignore evo34
11/12/2011 10:21:07 PM

Do you know of an example I can look at? It seems like the only parameter avail. in RSI is the number of days to use. E.g., RSI(14). Using the close price seems implied and not replaceable by a custom variable, unless I am missing a technique.

evo34
77 posts
msg #103319
Ignore evo34
11/12/2011 10:22:50 PM

Oh, I just re-read your post. You are saying I would have to generate the calculation of RSI manually within the filter, right?

Kevin_in_GA
4,542 posts
msg #103322
Ignore Kevin_in_GA
modified
11/13/2011 12:18:04 AM

Yup. It is doable, though.

Calculation

RSI = 100 - (100 / 1 + RS)

RS = Average Gain / Average Loss

To simplify the calculation explanation, RSI has been broken down into its basic components: RS, Average Gain and Average Loss. This RSI calculation is based on 14 periods, which is the default suggested by Wilder in his book. Losses are expressed as positive values, not negative values.

The very first calculations for average gain and average loss are simple 14 period averages.

First Average Gain = Sum of Gains over the past 14 periods / 14.


First Average Loss = Sum of Losses over the past 14 periods / 14


The second, and subsequent, calculations are based on the prior averages and the current gain loss:

Average Gain = [(previous Average Gain) x 13 + current Gain] / 14.


Average Loss = [(previous Average Loss) x 13 + current Loss] / 14.


StockFetcher Forums · General Discussion · Using custom price series in a filter<< >>Post Follow-up

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