[R-sig-finance] Need help to modify rsiTA function from fSeries

[BBands]

On 4/24/05, Neuro LeSuperHéros <neuro3000 at hotmail.com> wrote:
> Need help to modify rsiTA function from fSeries
<snip>
> Can you help?

Perhaps...

First, the reference is Welles Wilders' "New Concepts in Technical
Trading Systems".

This indicator is often calculated inaccurately. The problems most
often seen are incorrect calculation of the averages.

Here is a Python snippet from Crusher that calcs RSI. I have no idea
whether it coincides with the sources you cite, but it does the job
correctly, or at least as Welles said it should be done.

    def rsi(self):
        """RSI"""
        # checked 2004-10-15, OK
        self.rsi = []
        length = config['indconsts.rsi']
        up = dn = 0.0
        # find the first value
        for line in range(0, length):
            if self.close[length - line] > self.close[length - line - 1]:
                up += self.close[length - line] - self.close[length - line - 1]
            if self.close[length - line] < self.close[length - line - 1]:
                dn += self.close[length - line - 1] - self.close[length - line]
            # pad the runup with 0
            if line < (length - 1):
                self.rsi.append(0.0)
        up = up / length
        dn = dn / length
        try:
            self.rsi.append(100 - 100 / (1 + up / dn))
        except ZeroDivisionError:
            self.rsi.append(0.0)
        # use Wilder's average technique to find the remaining values
        for line in range(length, len(self.date)):
            if self.close[line] > self.close[line - 1]:
                up = ((self.close[line] - self.close[line - 1]) + up *
(length - 1)) / length
            else:
                up = up / length * (length - 1)
            if self.close[line] < self.close[line - 1]:
                dn = ((self.close[line - 1] - self.close[line]) + dn *
(length - 1)) / length
            else:
                dn = dn / length * (length - 1)
            try:
                self.rsi.append(100 - 100 / (1 + up / dn))
            except ZeroDivisionError:
                self.rsi.append(0.0)
        if config['general.debug'] == 1:
            for line in range(len(self.date)):
                print '%4d %10s %8.2f %8.2f' % (line, self.date[line],
self.close[line], self.rsi[line])

Sorry, I haven't the time to translate it into R, but it could serve
as a template for you to do so.

Good trading,

    jab
-- 
John Bollinger, CFA, CMT
www.BollingerBands.com

If you advance far enough, you arrive at the beginning.