Syntax
public ARSI(DataSeries ds, int period, string description)
public static ARSI Series(DataSeries ds, int period)
Parameter Description
| ds |
The source DataSeries |
| period |
The indicator period. |
Description
The ARSI (Asymmetrical RSI) indicator from the October 2008 issue of
Stocks & Commodities magazine.
Open Issues
- (18427) FirstValidValue after Synchronize is incorrect for ARSI
Example
/* WealthScript from Oct 2008 Traders' Tip */
using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using TASCIndicators;
namespace WealthLab.Strategies
{
/*
ARSI divergence:
Price sets a lowest low but the indicator fails to confirm the new low and turns up
*/
public class ARSI_Divergence : WealthScript
{
private StrategyParameter paramHighest;
private StrategyParameter paramPeriod;
private StrategyParameter paramExitDays;
public ARSI_Divergence()
{
paramPeriod = CreateParameter("ARSI period", 14, 1, 100, 1);
paramHighest = CreateParameter("Highest high of", 20, 5, 50, 1);
paramExitDays = CreateParameter("Exit after", 20, 1, 50, 1);
}
protected override void Execute()
{
bool trough = false; int troughBar = -1;
int low = paramHighest.ValueInt;
int period = paramPeriod.ValueInt;
int days = paramExitDays.ValueInt;
ARSI arsi = ARSI.Series( Close, period );
Lowest indicatorLowest = Lowest.Series( arsi, low );
Lowest hLow = Lowest.Series( Low, low );
HideVolume(); LineStyle solid = LineStyle.Solid;
ChartPane arsiPane = CreatePane( 50, false, true );
PlotSeries( arsiPane, arsi, Color.Green, solid, 2 );
PlotSeries( arsiPane, RSI.Series( Close, period ), Color.Red, solid, 1 );
for(int bar = 80; bar < Bars.Count; bar++)
{
if (!IsLastPositionActive)
{
/* 1st trough: both price and indicator */
if( trough == false )
{
if( ( Low[bar-1] == Lowest.Series( Low, low )[bar-1] )
& ( arsi[bar-1] == Lowest.Series( arsi, low )[bar-1] )
& TurnUp( bar, Low ) & TurnUp( bar, arsi ) )
{
trough = true; troughBar = bar-1;
}
}
if( trough == true )
{
if( ( Low[bar] != Lowest.Series( Low, low )[bar] )
& ( arsi[bar] == Lowest.Series( arsi, low )[bar] ) )
trough = false;
}
/* 2nd trough: price low not confirmed by the indicator */
if( trough == true )
{
if( ( Low[bar-1] == Lowest.Series( Low, low )[bar-1] )
& ( Low[bar-1] <= Low[troughBar] )
& ( arsi[bar-1] != Lowest.Series( arsi, low )[bar-1] )
& ( arsi[bar-1] > arsi[troughBar] ) &
TurnUp( bar, Low ) & TurnUp( bar, arsi ) )
{
trough = false;
BuyAtMarket( bar+1 );
/* Highlight divergence */
for (int b = troughBar; b <= bar; b++)
SetPaneBackgroundColor( arsiPane, b,
Color.FromArgb( 30, Color.LightGreen ) );
DrawLine( PricePane, troughBar, Low[troughBar],
bar-1, Low[bar-1], Color.Blue, solid, 2 );
DrawLine( arsiPane, troughBar, arsi[troughBar],
bar-1, arsi[bar-1], Color.Red, solid, 2 );
}
}
} else
{
/* Exit after N days */
Position p = LastPosition;
if ( bar+1 - p.EntryBar >= days )
SellAtMarket( bar+1, p, "Timed" );
}
}
}
}
}