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RsiSto Oscillator
RsiSto is based on Money Manager Don Beasley's concept of ranking funds with
an indicator that is the sum of a short term stochastic and Rsi. Beasley takes 1/2 of the sum so the indicator will vary from zero to 100. The Stochastic indicator has parameters of 21, 13, 1 or 34, 21, 1 depending on which market is dominant, either the NASDAQ or the NYSE and uses the common 14 day Rsi (Relative Strength Index).
The HeadsUp.ini script also uses the same indicator.

Mike Burk, of Tools for Timing, uses the same ranking indicator but structures it as an oscillator that varies from -100 to +100. This version of RisSto uses the Burk method. Stochastic parameters are 28, 13, 1 which are added to Rsi(14). 28 is half way between 21 and 34.

The Metastock formula is:


RsiSto Oscillator

(100 *
( Mov(
(C - LLV(C, 28)) / (HHV(C, 28)) -
LLV(C, 28), 13, E))) +
RSI(14) -
100

 

e-w-RsiSto_Oscillator.gif
RsiSto.ini ranks any family of funds based on RsiSto and uses FamPrint()to show the results including
the 6 day change in RsiSto. Beasley recommends that funds with a negative 6d change be excluded from new purchases. Also included are current values of fund 1d Roc, 5d Roc, 18d Roc, and RelStDev. SPX is used as the comparison index over one year in RelStdev.

Roc = Rate Of Change or Percent Gain/Loss.
RelStDev = Relative Standard Deviation.
SPX = The SP-500 Index.

Last but not least is a trading strategy using ExprFamilyTrade. Three RsiSto top ranked funds are purchased one day after RUTTR.sig turns positive and sold one day after it turns negative. RsiSto rank is the only criteria used for fund purchases. The $FAMAGR family is used in the first ExprFamilyTrade example. A STOCK family is used in the second example below.

 

NOTE: Switching to a top ranked fund is permitted between RUTTR signals after a 20 day hold period if a fund falls below 86th position in rank. If youdon't care to switch between signals, don't. For the purpose of this analysis,the TRADE script is written so as NOT to permit switching between signals.

 

Results from 12/30/94 to 3/1/00 are:

Switching NO: Ann 61.2%, Mdd 7.8%

This oscillator can also be used for determining market health. Major market declines have never occured since 1987 when RsiSto of SPX, OTC, or RUT were above 20.

 

The bad news is OTC could fall 33% and still show a gain from the last time it went 25% above the SMA last November.

 

Date > 25% +1 mo +2 mo +3 mo +6 mo Wks to fall to 200 SMA

5/2/67 -0.4% 4.7% 9.9% 12.4% 44
11/5/82 6.0 4.2 10.8 32.9 50
4/12/91 -1.5 -2.1 -1.8 2.9 61
1/6/99 2.2 3.1 10.9 19.4 60 and still going
11/16/99 12.8 25.4 34.6 na 15 and still going

Prior to now, the highest OTC got above the SMA was 32% on 5/9/83.
This was less than a month from the OTC peak on 6/24/83. After that it was mostlydown hill until mid-1984. 
The good news is, RsiSto fell below zeroin 7/14/83, only about 4% below the peak.
A nice warning to exit the market.

SPX < 0 on 9/4/87 and > +10 on 12/18/87, avoiding a 21.3% loss.
OTC < 0 on 9/16/87 and > +20 on 12/22/87, avoiding a 25.8% loss.
RUT < 0 on 9/8/87 and > +10 on 12/21/87, avoiding a 28.1% loss.
PSE < 0 on 9/16/87 and > +40 on 12/23/87, avoiding a 24.5% drop.
NDX < 0 on 9/16/87 and > +30 on 12/21/87, avoiding a 22.5% drop.

A Print() table is included below showing RsiSto for several indexes forthe past several days. Of course, best market gains are made when RsiStois rising.

 

I did some more testing on RsiSto and found that the Tech indexes, PSE- and NDX-X need to stay above 30 to 40 to be really safe from a MAJOR EVENT.

 

My data for tech and small-cap indexes is limited but the nearest comparison to the current bull run that I can find is 1982-83. That run ended in July '83 just like this one probably will due to rising interest rates.

 

RsiSto oscillator did a great job of signaling the end in 1983 and hopefully it will do it in 2000 with just a 5% drawdown.

 

OTC-X Comparison

RsiSto Buy > 0 : 8/24/82 at 172.23
Mkt Peak : 6/24/83 at 312,87
RsiSto Sell < -6 : 7/15/83 at 312.87 Gain 81.7%, DD from peak -4.9%

NDX-X (OTC largest 100 tech funds)

RsiSto Buy > 0 na, database starts on 1/3/83
Mkt Peak : 6/24/83 at 163.67
RsiSto Sell < 0 : 7/15/83 at 154.73 DD from peak -5.5%

PSE-X Tech Index

RsiSto Buy > 0 na, database starts on 9/30/82
Mkt Peak : 6/24/83 at 72.68
RsiSto Sell < 0 : 7/15/83 at 69.29 DD from peak -4.7%

SP500 Index or SP-CP In FT Database

RsiSto Buy > 0 : 8/20/83 at 113.01
Mkt Peak : 6/22/83 at 170.99
RsiSto Sell < -20 : 8/1/83 at 162.04 Gain 43.4%, DDfrom peak -5.2%

RsiSto is looking more like an important market indicator the more I study it....

dab, 3/2/00

==================================================================
We will keep a wary eye on RsiSto, RUTTR and DFSTR for signs of a marketdecline. 
All this is available to believers here on the MUTUAL-FUND-TRACKERweb site.
==================================================================
\ft\rssto.fnu created

Status Of RUTTR.SIG (Buy, 04/30/01)

Status Of DFSTR.SIG - Confirming RUTTR (Buy, 04/27/01)

Best Gains are Made when RsiSto is Positive and Rising, with the exception of gold.
If the dollar is falling and gold is rising, bad things can happen. See six day trends below.
==================================================================

05/31/01 05/30/01 05/29/01 05/25/01 05/24/01 05/23/01
-------- -------- -------- -------- -------- --------
OTC RsiSto 15.00 18.95 34.25 45.88 50.40 47.43
RUT RsiSto 35.18 36.54 47.92 56.61 59.71 58.95
DFSCX RsiSto 67.05 64.98 76.22 80.82 80.07 78.41
SPX RsiSto 21.03 23.10 35.76 43.64 52.96 53.23
VLE RsiSto 37.09 37.50 50.13 58.57 62.48 62.67
WLS RsiSto 32.63 33.40 46.79 55.69 58.31 58.72
PSE RsiSto 4.30 9.84 27.17 40.95 46.81 45.16
NDX RsiSto 3.86 9.97 25.94 38.75 44.71 41.74
VIX RsiSto -39.99 -43.84 -51.74 -60.75 -61.46 -56.16
Dollar-DXY RsiSto 59.48 52.25 50.46 50.16 47.14 43.25
Gold-XAU RsiSto 14.81 21.18 32.38 39.11 37.64 49.14

 

Family Members = 100.00

RsiSto 6d Chg 1d Roc 5d Roc 18d Roc RelStDev
-------- -------- -------- -------- -------- --------
OBMCX Oberweis Micr 73.62 -4.28 1.44 2.91 11.80 1.23
HRTVX HeartLnd Valu 60.14 -23.18 0.13 -0.54 3.74 0.62
SAFGX Safeco Growth 59.52 -16.19 1.06 0.23 8.26 1.28
WMICX Wasatch Micro 59.26 -22.63 0.68 -0.51 6.14 0.93
KAUFX Federatd Kauf 58.88 -13.68 0.65 0.43 4.03 1.06
MGMCX Deutsche Inst 57.86 -21.91 1.16 0.10 4.30 1.30
RYPNX Royce Opportu 56.14 -26.49 0.66 -1.18 5.50 0.76
BGRFX Baron Growth 52.43 -23.62 -0.03 -0.75 3.29 1.09
RSMGX RSInvest Micr 50.75 -22.95 1.31 -0.74 6.50 1.40
JVMCX JurikaVo Smal 48.13 -24.21 1.12 -1.61 3.65 1.54
NIMCX Numeric Micro 47.31 -27.38 1.15 -0.75 4.59 1.50
SSMVX Strong Adv:Sm 47.20 -32.64 1.09 -1.88 5.21 0.78
RHJSX UAM Instl:RH 46.98 -34.16 0.89 -2.18 3.46 0.97
NAMCX NichAppl Mini 46.57 -31.45 0.93 -3.03 6.25 1.61
OAKLX Oakmark Selec 45.03 -26.85 0.62 -0.80 3.56 0.78
TMCGX Turner MicroC 44.93 -38.79 0.24 -2.52 5.01 1.27
DRBNX Dresdner Biot 44.61 -22.56 1.10 -0.26 5.59 2.30
MNSCX Montgmry Smal 43.71 -27.08 0.86 -1.68 3.08 1.57
WAAEX Wasatch Small 43.16 -30.38 0.78 -1.75 2.97 1.34
FUSMX Fremont Micro 41.96 -34.42 1.32 -2.68 3.60 1.35
BRUSX Bridgewa Ultr 40.54 -40.20 -0.51 -2.57 4.63 0.99
FLISX Invesco Leisu 38.89 -31.72 0.46 -1.88 1.55 0.98
OBEGX Oberweis Emer 37.99 -39.02 1.67 -2.97 3.63 1.79
PBSVX PBHG SmallCap 37.62 -36.93 0.79 -2.39 2.31 0.96
ALMRX Alger MidCap 37.30 -30.15 1.43 -1.70 2.49 1.42
FEXPX Fidelity Expo 36.98 -28.95 0.65 -1.22 2.22 0.88
PMCIX PIMCO Instl:M 35.63 -42.20 -0.52 -2.61 4.99 1.18
NBMIX NeuBerm Mille 35.13 -33.44 1.53 -4.16 2.85 2.01
PSSCX PBHG Strategi 34.71 -37.19 0.94 -3.58 2.19 1.64
BJMIX Brazos MicroC 33.15 -41.48 0.62 -2.94 0.52 1.15
BJSCX Brazos SmallC 33.13 -38.64 0.73 -2.33 1.31 1.22
SSCGX Sei Managed S 32.70 -40.91 1.44 -4.03 1.68 1.66
ARTMX Artisan MidCa 32.64 -35.46 1.68 -3.37 2.46 1.38
BTSCX Deutsche Smal 32.56 -36.04 0.00 -2.43 0.87 1.21
DSCVX Dreyfus Small 31.80 -45.43 0.82 -3.73 1.55 1.27
SPECX Alger Spectra 30.27 -37.20 0.65 -2.89 -0.77 1.60
MPMVX MAS Instl:Mid 30.18 -42.61 1.14 -3.13 0.85 1.07
TSCEX Turner SmallC 29.85 -38.07 1.66 -3.60 0.90 1.83
FTSCX FTI SmallCap 29.80 -31.66 0.69 -1.63 -0.15 1.37
RSDGX RSInvest Dive 28.99 -46.95 1.71 -4.85 1.44 1.49
TPSCX TramPrem Smal 28.69 -41.87 0.94 -4.47 -0.06 2.27
CMSCX Columbia Smal 27.11 -44.25 1.61 -3.27 1.14 1.40
PRNHX TRPrice New H 26.87 -40.03 0.96 -3.44 -1.03 1.59
BESCX Berger SmallC 26.32 -38.09 1.26 -5.41 0.00 1.92
VERDX Alleghny Vere 26.05 -37.04 0.10 -1.14 0.25 1.10
SSEPX UAM Instl:Sir 25.36 -45.17 0.99 -3.15 1.32 1.62
DMCVX Dreyfus MidCa 24.56 -46.47 1.22 -3.49 0.38 1.14
BRAGX Bridgewa Aggr 23.48 -44.95 0.33 -2.12 0.47 1.58
BRWIX Brandywn Bran 23.23 -29.96 1.01 -0.26 0.97 1.03
FDISX DreyFoun Disc 22.94 -48.05 0.16 -4.95 -0.19 1.61

==========================================
ExprFamilyTrade history of rsisto 05/31/01
==========================================
Family = rsisto
MMarket = fdrxx
Signal = ruttr
FnuFile =
StartDate = 12/30/94
StopDate = 05/31/01
Positions = 3
RelativeRankSell = 0
BuyMinRank = 3
HoldMaxRank = 100.0%
HoldMinDays = 20
PenaltyDays = 0
Penalty = 0.00%

BuySell Hold Last Best Pcnt Pos Next
Pos Fund Date Date Days Rank Rank Gain Value Trade
--- ----- -------- -------- ---- ---- ---- ---- ----- -----
1 FDRXX 03/13/01 05/01/01 49 101 101 0.7 42277
2 FDRXX 03/13/01 05/01/01 49 101 101 0.7 42277
3 FDRXX 03/13/01 05/01/01 49 101 101 0.7 42277
1 HRTVX 05/01/01 Holding 30 2 1 4.6 44214
2 MGMCX 05/01/01 Holding 30 6 2 4.3 44097
3 BJMIX 05/01/01 Holding 30 30 3 -0.3 42169

LastValue 130481, AnnRet 49.2%, Mdd 16.2% on 03/21/00

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