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MetaStock System Test 05 - Tema StochRSI_13 & 55
For my last MetaStock system test, (05_StochRSI_13 & 55) I used the StochRSI formula
described at the Equis site then modified it slightly. The original formula was:


((RSI(14)-LLV(RSI(14),14))/((HHV(RSI(14),14))-LLV(RSI(14 ),14)))


I didn't want to use a specific number such as 14 for my formula, but want to be able to use my favorite Fibonacci numbers. I also wanted to smooththe formula with Tema smoothing. I finally settled on the Fibonacci numbersof 13 and 55 for my formulas. I also subtracted 0.5 from the result so Icould plot the formula as a histogram. Therefore my formulas became:


Tema StochRSI_13

Periods := Input("Enter Tema Smoothing Periods",5,233,13);
Tema(((RSI(Periods) - LLV(RSI(Periods),Periods)) /
((0.0001 + HHV(RSI(Periods),Periods)) - LLV(RSI(Periods),Periods))) -0.5,Periods)


Tema StochRSI_55

Periods := Input("Enter Tema Smoothing Periods",5,233,55);
Tema(((RSI(Periods) - LLV(RSI(Periods),Periods)) /
((0.0001+HHV(RSI(Periods),Periods)) - LLV(RSI(Periods),Periods))) -0.5,Periods)


After I decided on the formulas, the next step was how to use them in a system test. I plotted the two formulas above several of my favorite stocks andlooked at them for buying patterns. Since they are plotted as a histogramI looked at zero crossovers to the upside as buys and to the downside assells. Then instead of a zero crossover, I used an optimized value crossover.After some experimenting, I found that the shorter length crossover gavebetter signals if I also required the longer length one to be negative, andconfirmed an up move by also requiring that a short term moving average wasmoving up. Finally I saw that there was usually a good buy signal when thelonger term formula crossed the optimized value and the shorter term formulawas above zero. Therefore my open long signal became:

MetaStock System Test 05 - Tema StochRSI_13 & 55

Open Long :

(Alert(Cross(Fml("Tema StochRSI_13"),opt1),21) AND
Fml("Tema StochRSI_55") < 0 AND Mov(C,21,VAR) > Ref(Mov(C,21,VAR),-8)) OR
Alert(Cross(Fml("Tema StochRSI_55"),opt1),13) AND
Fml("Tema StochRSI_13") > 0


I couldn't find a good close long signal, but did find that a reverse toa short on the longer term StochRSI crossing an optimized value confirmedby a falling moving average seemed to work well. Therefore my Open Short became:

Open Short :

Alert(Cross(opt2,Fml("Tema StochRSI_55")),13) AND
Mov(C,21,VAR) < Ref(Mov(C,21,VAR),-8)

The optimization valiues are:

opt1: Min = -0.3 Max = 0 Step = 0.1
opt2: Min = -0.3 Max = 0 Step = 0.1


That's all there is to the StochRSI test, but it seems to work very wellfor some stocks. Try it and let me know what you think.

from Jim Greening
Source / From: TOP

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