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RSIVRSIV is a different flavor for the popular RSI. As you probably know, RSI averages up movements and down movements, and returns a range bound indicator. We here have 3 RSI related indicators. The first one is the RSI Classic, identical to the EasyLanguage indicator of the same name. The other two add a volume characteristic: RSIV expands price movements by the volume traded on each bar, and RSIVD takes the Bar-to-Bar Change in Volume. The idea behind the latter one is that if the Change in Volume is Up, while the Change in Price is Down, what would be an Up movement becomes a Down movement. This makes the concept of the RSIVD indicator quite novel. Let's have a look at the following MSFT 5-min chart. The prediction uses a 1 week minimum training period, with 1 2-day Walk-Forward test, and $20 round commission. The trades are maybe only 50% successful but signals are pretty good. See for yourself below:
The Trader prediction used full optimization between the built-in RSI and RSI Classic, RSIV and RSIVD, with a maximum of 3 inputs. The built-in RSI was actually dropped. A Trading Strategy adding Protective Stops did not improve the signals. |
Page last modified:
May 08, 2008 |