InverseFisherRSI

Modified on 2010/10/22 17:22 by Administrator — Categorized as: TASCIndicators

Syntax

public InverseFisherRSI(WealthLab.DataSeries ds, int rsiPeriod, int emaPeriod, string description)
public static InverseFisherRSI Series(WealthLab.DataSeries ds, int rsiPeriod, int emaPeriod)

Parameter Description

ds	DataSeries for the InverseFisherRSI calculation
rsiPeriod	The RSI period used in the InverseFisherRSI calculation.
smoothPeriod	The EMA period used in the InverseFisherRSI calculation.

Description

InverseFisherRSI by Sylvain Vervoot from the October 2010 issue of Stocks & Commodities magazine. Like RSI, InverseFisherRSI is a momentum oscillator with values between 0 and 100. It provides clear buy and sell signals as the indicator crosses the 50 level. The author suggests combining InverseFisherRSI with ARSI to find short-term reversal points based on divergences (see Example) and/or with a medium-term stochastic oscillator to track the medium-term price moves.

Calculation

See open source, which formalizes the indicator calculation shown in the October 2010 TASC example's SVEInvFisherRSI DataSeries function.

Example

using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using TASCIndicators;

namespace WealthLab.Strategies
{
	public class ShortDivergence : WealthScript
	{
		StrategyParameter _rsiPeriod;
		StrategyParameter _emaPeriod;
		StrategyParameter _arsiPeriod;
		
		public ShortDivergence()
		{
			_arsiPeriod = CreateParameter("ARSI_Period", 10, 2, 200, 20);
			_rsiPeriod = CreateParameter("RSI Period", 4, 2, 30, 1);
			_emaPeriod = CreateParameter("EMA Period", 4, 2, 10, 1);
		}
		
		protected override void Execute()
		{				
			HideVolume();
			const double d = 1.01;
			int perRSI = _rsiPeriod.ValueInt;
			int perEMA = _emaPeriod.ValueInt;
			
			/* Create and plot indicators */
			DataSeries arsi = ARSI.Series(Close, _arsiPeriod.ValueInt);
			ChartPane rsiPane = CreatePane(40, true, true);
			PlotSeries(rsiPane, arsi, Color.Red, LineStyle.Solid, 2);
			
			DataSeries invfish = InverseFisherRSI.Series(Close, perRSI, perEMA); 
			ChartPane cp = CreatePane(40, true, true);
			PlotSeries(cp, invfish, Color.Navy, LineStyle.Solid, 2);
			
			/* Trading loop */
			for (int bar = 3 * GetTradingLoopStartBar(4) ; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					Position p = LastPosition;
					if (bar + 1 - p.EntryBar > 6)
						ExitAtMarket(bar + 1, p, "Time-based");
				}
				else if (CrossUnder(bar, invfish, 70))
				{
					// check the last two arsi peaks for negative divergence with price					
					int pb1 = (int)PeakBar.Value(bar, arsi, 20, PeakTroughMode.Value);
					if (pb1 == -1) continue;
					int pb2 = (int)PeakBar.Value(pb1, arsi, 20, PeakTroughMode.Value);
					if (pb2 == -1) continue;					
					if ( Math.Sign(arsipb1 - arsipb2) == -1 && Math.Sign(Highpb1 - Highpb2) == 1)
					{
						SetBackgroundColor(bar, Color.FromArgb(50, Color.Green));
						DrawLine(rsiPane, pb2, arsipb2, pb1, arsipb1, Color.Blue, LineStyle.Solid, 2);
						DrawLine(PricePane, pb2, Highpb2 * d, pb1, Highpb1 * d, Color.Blue, LineStyle.Solid, 2);
						ShortAtMarket(bar + 1);						
					}
				}
			}
		}
	}
}