Finding the bar that corresponds to a particular RSI point

topcat77

#1

9/29/2008 7:27 PM

For another angle on divergence, I would like to locate the bar that corresponds to the lowest Rsi point during a lookback period:

so, for example, if the last bar i) has the lowest-low price for the period and ii)that low price is lower than the lower Bollinger Band, but ii)the Rsi for this bar is not the lowest Rsi for the period, then find the lowest rsi point for the period and if the low-price of the bar that corresponds to that point is higher than the low price of the last bar then there is divergence.

The reason I need to locate the bar that corresponds to the lowest rsi point is to compare not only their low prices but also the magnitude of their divergences (differences in low-price and rsi) between that bar and the last bar and to compare their volumes

Has anyone written a script that accomplishes some (or all) of this ?

Eugene

#2

9/30/2008 2:28 AM

QUOTE:
Has anyone written a script that accomplishes some (or all) of this ?

Yes. Some of the divergence trading ideas (e.g. price sets a lowest low but the indicator fails to confirm the new low and turns up) can be found in TASC article code:

TASC 2008-07 | Leader Of The MACD (Siligardos)
TASC 2008-10 | Asymmetric RSI, ARSI (Vervoort)

QUOTE:
I need to locate the bar that corresponds to the lowest rsi point

Use LowestBar( Series, Period ). Click "More info" with the indicator's entry highlighted in the Indicators list.

Eugene

#3

9/30/2008 3:26 AM

QUOTE:
so, for example, if the last bar i) has the lowest-low price for the period and ii)that low price is lower than the lower Bollinger Band, but ii)the Rsi for this bar is not the lowest Rsi for the period, then find the lowest rsi point for the period and if the low-price of the bar that corresponds to that point is higher than the low price of the last bar then there is divergence.

Here's that example:

CODE:
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[QUOTE]so, for example, if the last bar i) has the lowest-low price for the period and ii)that low price is lower than the lower Bollinger Band, but ii)the Rsi for this bar is not the lowest Rsi for the period, then find the lowest rsi point for the period and if the low-price of the bar that corresponds to that point is higher than the low price of the last bar then there is divergence.[/QUOTE]

Here's that example:

[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class topcat77Divergence : WealthScript
	{
		protected override void Execute()
		{
			int period = 20;
			int bar2 = -1;
			
			RSI rsi = RSI.Series( Close, 14 );

for(int bar = 50; bar < Bars.Count; bar++)
			{
				if (!IsLastPositionActive)
				{
					// if the last bar i) has the lowest-low price for the period and 
					if( ( Low[bar] <= Lowest.Series( Low, period )[bar] ) &
						
						//ii)that low price is lower than the lower Bollinger Band, but 
						( Low[bar] < BBandLower.Series( Close, period, 2.0 )[bar] ) &
						
						//ii)the Rsi for this bar is not the lowest Rsi for the period, 
						( rsi[bar] != Lowest.Series( rsi, period )[bar] ) )
					{
						// then find the lowest rsi point for the period and 
						bar2 = (int)LowestBar.Series( rsi, period )[bar];
					}
					
					if( ( bar2 > -1 ) )
					{				
						/* if the low-price of the bar that corresponds to that point 
						is higher than the low price of the last bar 
						then there is divergence.*/
						if( Low[bar2] > Low[bar] )
							DrawLine( PricePane, bar, Low[bar], bar2, Low[bar2],
								Color.Blue, WealthLab.LineStyle.Solid, 1 );
						bar2 = 0;
					}						
				}
			}
		}
	}
}[/CODE]

topcat77

#4

9/30/2008 5:36 PM

You're the best
Thank You

jupiter

#5

2/26/2009 11:38 PM

Hi Eugene,

The article "TASC 2008-10 | Asymmetric RSI, ARSI (Vervoort)" only shows long trades using positive divergence. Please add codes for shorting using negative divergence (similar to what shown in "TASC 2008-07 | Leader Of The MACD (Siligardos)").

I'd like to be able to go long and short using both positive and negative divergence with ARSI. Thank you very much for your help.

Eugene

#6

2/27/2009 3:44 AM

Looks like the two articles follow exactly the same divergence programming pattern. The rules are just reversed, so it should take a minuscule effort:

1) Copy & paste the shorting code from TASC 2008-07 right after the original long-entry code block, and
2) Replace SellAtMarket with ExitAtMarket.

Make sure to also copy all required variables (i.e. peak, peakBar, high). Let me know if there's a problem.

TrendCatcher

#7

2/27/2009 10:33 AM

Hi Eugene,
Could you see what's wrong with the code below. I tried to edit as you said above.

CODE:
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Hi Eugene,
Could you see what's wrong with the code below. I tried to edit as you said above.

[CODE]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 );
						}
					}
					/* 2nd peak: price high not confirmed by the indicator */

if( peak == true ) 
					{
						if( ( High[bar-1] == Highest.Series( High, high )[bar-1] ) 
							& ( High[bar-1] >= High[peakBar] ) 
							& ( leader[bar-1] != Highest.Series( leader, high )[bar-1] ) 
							& ( leader[bar-1] < leader[peakBar] ) &
							TurnDown( bar, High ) & TurnDown( bar, leader ) )
						{
							peak = false; 
							ShortAtClose( bar );
						
							/* Highlight divergence */
						
							for (int b = peakBar; b <= bar; b++)
								SetPaneBackgroundColor( leaderPane, b, Color.FromArgb( 30, Color.LightCoral ) );
							
							DrawLine( PricePane, peakBar, High[peakBar], bar-1, High[bar-1], Color.Red, solid, 2 );
							DrawLine( leaderPane, peakBar, leader[peakBar], bar-1, leader[bar-1], Color.Blue, solid, 2 );
						}
					}
				} 
				} else
				{
			/* Exit after 5 days */
					
			Position p = LastPosition;
			if ( bar+1 - p.EntryBar >= 5 )
				ExitAtMarket( bar+1, p, "Timed" ); 
		}
			}
	}
}
}
[/CODE]

Eugene

#8

2/27/2009 11:21 AM

Looks like a copy/paste error somewhere, plus you didn't copy the variable definitions. Anyway, here's the code that shorts at market:

CODE:
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Looks like a copy/paste error somewhere, plus you didn't copy the variable definitions. Anyway, here's the code that shorts at market:
[CODE]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 peak = false; int peakBar = -1;
			int high = paramHighest.ValueInt;
			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 peak: both price and indicator */
					
					if( peak == false ) 
					{
						if( ( High[bar-1] == Highest.Series( High, high )[bar-1] ) 
							& ( arsi[bar-1] == Highest.Series( arsi, high )[bar-1] ) 
							& TurnDown( bar, High ) & TurnDown( bar, arsi ) )							
						{
							peak = true; peakBar = bar-1; 
						}
					}
					
					if( peak == true )
					{
						if( ( High[bar] != Highest.Series( High, high )[bar] ) 
							& ( arsi[bar] == Highest.Series( arsi, high )[bar] ) )
							peak = false;					
					}

/* 2nd peak: price high not confirmed by the indicator */

if( peak == true ) 
					{
						if( ( High[bar-1] == Highest.Series( High, high )[bar-1] ) 
							& ( High[bar-1] >= High[peakBar] ) 
							& ( arsi[bar-1] != Highest.Series( arsi, high )[bar-1] ) 
							& ( arsi[bar-1] < arsi[peakBar] ) &
							TurnDown( bar, High ) & TurnDown( bar, arsi ) )
						{
							peak = false; 
							ShortAtMarket( bar+1 );
						
							/* Highlight divergence */
						
							for (int b = peakBar; b <= bar; b++)
								SetPaneBackgroundColor( arsiPane, b, Color.FromArgb( 30, Color.LightCoral ) );
							
							DrawLine( PricePane, peakBar, High[peakBar], bar-1, High[bar-1], Color.Red, solid, 2 );
							DrawLine( arsiPane, peakBar, arsi[peakBar], bar-1, arsi[bar-1], Color.Blue, solid, 2 );
						}
					}

/* 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 )
						ExitAtMarket( bar+1, p, "Timed" ); 
				}
			}
		}
	}
}[/CODE]
Don't forget to use the CODE tags, our eyes will last longer ;)