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Dynamic RSI for Amibroker (AFL)
Rating:
2 / 5 (Votes 3)
Tags:
oscillator, amibroker
// Dynamic RSI Thresholds — J. Varney
/*
Instead of the traditional fixed RSI = 30 and 70 thresholds to define
oversold and overbought, this AFL uses standard deviation to determine
dynamic overbought and oversold theshold lines.
*/
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Indicator / Formula
Copy & Paste Friendly
1 2 3 4 5 6 7 8 9 10 11 12 | Period = Param("Period", 10, 2, 30, 1);myRSI = RSI(Period);Adev = StDev(myRSI, 3*Period);Hiline = 50 + 1.8*Adev;Loline = 50 - 1.8*Adev;Plot(myRSI,"",colorBlue,8);Plot(Hiline,"",colorRed,1);Plot(Loline,"",colorGreen,1);Title = " " +Name() +" Dynamic RSI Threshold, t = " + WriteVal(period, format=1.0) + " "; |
4 comments
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How do you know that this is an improvment? What are you backtest results?
Re: ole
I have not said this indicator is better or worse than the standard RSI. You have to test if for yourself.
I have tested it on a few stocks and indices and as far as I can see it gives a little better results than standard RSI.
Hey Joeoil, thanks for posting this code. I used your Std Dev idea in another way, by adding/subtracting it to a moving average of the RSI and got some pretty good results. I actually made three trades using the signals today.
AlgoTrader
If possible, can I ask you how you write the AFL when you add/subtr StdDev to the moving averages of RSI?
I’m not that good in AFL programming, but I think it could have been interesting to see how your code works out with the stocks/indexes I trade.
It is no problem if you don’t wan’t to share the code.
Regards
Joeoil