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StochRSI System
Re: STOCHRSI
To: Philip <pschmi02@xxxxxxxxxxx>, metastock-list@xxxxxxxxx
Subject: Re: STOCHRSI
From: BAUDECB@xxxxxxxxxxxxx (Christian Baude)
Date: Fri, 30 May 1997 17:57:48 GMT
References: <19970526.075421.10926.0.michael.arnoldi@xxxxxxxx
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OK - Here is the OPEN file.

METASTOCK FORMULAS FOR VARIOUS StochRSI

StochRSI-14

(Sum(RSI(14)-LLV(RSI(14),14),3) /
Sum(HHV(RSI(14),14) - LLV(RSI(14),14),3))*100

StochRSI-70

(Sum(RSI(70)-LLV(RSI(70),70),15) /
Sum(HHV(RSI(70),70) - LLV(RSI(70),70),15))*100

StochRSI-252

(Sum(RSI(252)-LLV(RSI(252),252),54) /
Sum(HHV(RSI(252),252) - LLV(RSI(252),252),54))*100

Set up three Indicator Builder formulas using the above definitions for each period length, 14, 70 and 252. Name them StochRSI-14, StochRSI-70 and StochRSI-252 in your
Indicator Builder. This way, when you need to refer to the 14 period StochRSI in a formula, you'd use

fml("StochRSI-14")

OK? OK! Now to the rules in English:

EITHER STOCHRSI-70 OR STOCHRSI-252= 70.0 AND STOCHRSI-14 CROSSES FROM BELOW 20.0 TO EQUAL OR ABOVE 20.0

STOCHRSI-70= 50.0 AND HAS RISEN BY AT LEAST 3 POINTS FROM A PREVIOUS TRADING DAY DURING ANY ONE OF THE PAST 21 TRADING DAYS AND STOCHRSI-14 CROSSES FROM BELOW 20.0 TO EQUAL OR ABOVE 20.0 TODAY

StochRSI Buy Rule In MSW 5.0 System Tester:

StochRSI System

(WHEN(Cross(Fml("StochRSI-14"),20.0)) AND
(When(Fml("StochRSI-70"),>=,70.0) OR
(WHEN(Fml("StochRSI-252"),>=,70.0))) OR
(WHEN(Fml("StochRSI-70"),>=,50.0) AND
WHEN(HHV(ROC(Fml("StochRSI-70"),1,Points),21),>,3.0)))

Sell Rule: Whatever you decide upon.
CLOSE > Ref(CLOSE,-3)

Sell Stop Rule: It's not possible to dynamically set the stop rule in MSW 5.0 that I am using. Namely to set a sell stop when the closing price after the buy signal, goes below the most recent correction's low price before the buy signal.

When you do an Exploration through whatever securities in whatever directories you have data for, you put the following in each column of your Exploration.

Col A:
CLOSE

Col B:
Fml("StochRSI-14")

Col C:
Fml("StochRSI-70")

Col D:
Fml("StochRSI-252")

Col E:
HHV(ROC(Fml("StochRSI-70"),1,Points),14)

Filter:
(WHEN(CROSS(ColB,20)) AND
(WHEN(ColC,>=,70.0) OR
WHEN(ColD,>=,70.0)) OR
(WHEN(ColC,>=,50.0) AND
WHEN(ColE,>,3.0)))

I hope I've typed the formulas in correctly. Of course, you could filter your securities
by Stock price by using ColA. An example would be when the close <= 12.0.

-= Chris =-
with a BIG thank you to John Yurko, the developer of this StochRSI system, based on Chande's book.

[348]

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