TSI (True Strength Index)

Modified on 2011/02/03 19:54 by Eugene — Categorized as: Community Indicators

Syntax


public TSI(DataSeries ds, int period1, int period2, string description)
public static TSISeries(DataSeries ds, int period1, int period2)

Parameter Description

ds	Price series
period1	First EMA period
period2	Second EMA period

Description

The True Strength Index (TSI) is a momentum-based oscillator, developed by William Blau, designed to determine both the trend and overbought- oversold conditions.

Interpretation

The True Strength Index is a variation of the Relative Strength Index, so values of -25 and +25 can also be used to identify levels where a security is overbought or oversold.
A signal line (7-day EMA) is usually added in the Moving Average Convergence/Divergence (MACD) fashion to help identify reversals.

Calculation

The formula for the TSI is:

TSI(close,r,s) = 100*EMA(EMA(mtm,r),s)/EMA(EMA(|mtm|,r),s)

where mtm = close today – close yesterday
EMA(mtm,r) = exponential moving average of mtm with period length = r
EMA(EMA(mtm,r),s) = exponential moving average of EMA(mtm,r) with period length = s
|mtm| = absolute value of mtm
r = 25,
s = 13

References

The True Strength Index by Tom Hartle, Active Trader Magazine (January 2002)

Example


using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using Community.Indicators; // TSI

namespace WealthLab.Strategies
{
	public class ATMag02_2002_TSI : WealthScript
	{
		protected override void Execute()
		{
			// Plot True Strength Index and Signal Line
			ChartPane TSIPane = CreatePane( 50, true, true );
			SetPaneMinMax( TSIPane, -30, 30 );
			DataSeries TSISer = TSI.Series( Close, 25, 13 );
			PlotSeries( TSIPane, TSISer, Color.Blue, LineStyle.Solid, 1 );
			DataSeries Signal = EMA.Series( TSISer, 7, EMACalculation.Modern );
			PlotSeries( TSIPane, Signal, Color.Black, LineStyle.Dashed, 1 );

			// Obtain Difference of TSI and Signal Line, Plot it
			DataSeries Diff = TSISer - Signal;
			Diff.Description = "TSI/Signal Difference";
			ChartPane DiffPane = CreatePane( 35, false, true );
			PlotSeries( DiffPane, Diff, Color.Black, LineStyle.Histogram, 2 );

			for(int bar = 20; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					if( CrossUnder( bar, Diff, 0 ) )
						SellAtMarket( bar + 1, LastPosition );
				}
				else
				{
					if( CrossOver( bar, Diff, 0 ) )
						BuyAtMarket( bar + 1 );
				}
			}
		}
	}
}