ARSI - Asymmetrical RSI

Modified on 2017/08/22 13:27 by Eugene — Categorized as: TASCIndicators

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


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" ); 
				}
			}
		}
	}
}