Market Glitch Youtube Channel!

Author: Glitch

Creation Date: 9/20/2017 10:55 PM

Wealth Lab » General » Market Glitch Youtube Channel!

Glitch

9/20/2017 10:55 PM

I launched a new Youtube channel called "Market Glitch" with Volker, dedicated to technical analysis. Our first video deconstructs the RSI indicator and quantifies its value. Have a look and let us know what you think!

https://www.youtube.com/channel/UCPbpNXExhQjmknAoSheV7sA

Glitch

9/20/2017 11:01 PM

And here's the code used in the video:

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And here's the code used in the video:

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

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		protected override void Execute()
		{
			if (Bars.Symbol == DataSetSymbols[0])
				SetGlobal("Count", 0);
			
			//isolate gains and losses
			DataSeries gains = new DataSeries(Bars, "gains");
			DataSeries losses = new DataSeries(Bars, "losses");
			for(int n = 1; n < Bars.Count; n++)
			{
				double gain = Bars.Close[n] - Bars.Close[n - 1];
				if (gain > 0)
					gains[n] = gain;
				else
					losses[n] = -gain;
			}
			ChartPane pane = CreatePane(75, true, true);
			PlotSeries(pane, gains, Color.Green, LineStyle.Histogram, 10);
			PlotSeries(pane, losses, Color.Red, LineStyle.Histogram, 10);
			
			//get average gains and losses
			DataSeries avgGains = SMA.Series(gains, 20);
			DataSeries avgLosses = SMA.Series(losses, 20);
			PlotSeries(pane, avgGains, Color.Maroon, LineStyle.Solid, 2);
			PlotSeries(pane, avgLosses, Color.Navy, LineStyle.Solid, 2);
			
			//calculate our RSI from scratch
			DataSeries rs = avgGains / avgLosses;
			rs = 100.0 - (100.0 / (1.0 + rs));
			ChartPane rsiPane = CreatePane(75, true, true);
			PlotSeries(rsiPane, rs, Color.DarkGoldenrod, LineStyle.Solid, 3);
			
			//compare with standard RSI
			DataSeries rsi = RSI.Series(Close, 20);
			PlotSeries(rsiPane, rsi, Color.OrangeRed, LineStyle.Solid, 3);
			
			//what is RSI's edge?
			double obs = 0;
			double sumReturns = 0;
			double obsRSI = 0;
			double sumRsiReturns = 0;
			double globalSumReturns = 0;
			double globalRsiReturns = 0;
			int globalObs = 0;
			int globalRsiObs = 0;
			DrawLabel(PricePane, Bars.Symbol + ", " + DataSetSymbols[0]);
			if (Bars.Symbol != DataSetSymbols[0])
			{
				globalSumReturns = (double)GetGlobal("SumReturns");
				globalRsiReturns = (double)GetGlobal("RsiReturns");
				globalObs = (int)GetGlobal("Obs");
				globalRsiObs = (int)GetGlobal("RsiObs");
			}
			else
			{
				ClearDebug();
			}
			for(int bar = 20; bar < Bars.Count - 6; bar++)
			{
				//calculate average N bar return
				double ret = Close[bar + 6] - Close[bar + 1];
				double pctReturn = (ret * 100.0) / Close[bar + 1];
				sumReturns += pctReturn;
				globalSumReturns += pctReturn;
				obs++;
				globalObs++;
				
				//apply RSI filter
				if (rsi[bar] < 30)
				{
					sumRsiReturns += pctReturn;
					globalRsiReturns += pctReturn;
					obsRSI++;
					globalRsiObs++;
				}
			}
			SetGlobal("SumReturns", globalSumReturns);
			SetGlobal("RsiReturns", globalRsiReturns);
			SetGlobal("Obs", globalObs);
			SetGlobal("RsiObs", globalRsiObs);
			double avgReturn = sumReturns / obs;
			DrawLabel(PricePane, "Average Returns: " + avgReturn.ToString("N2"));
			double avgRsiReturn = sumRsiReturns / obsRSI;
			DrawLabel(PricePane, "Average RSI Returns: " + avgRsiReturn.ToString("N2"));
			string s = Bars.Symbol + "\t" + (avgRsiReturn / avgReturn).ToString("N2");
			PrintDebug(s);
			s = "RSI Edge: " + (avgRsiReturn / avgReturn).ToString("N2");
			DrawLabel(PricePane, s);
			Int32 count = (Int32)GetGlobal("Count");
			if (count == null)
				count = 0;
			if (avgRsiReturn > avgReturn)
				count++;
			SetGlobal("Count", count);
			if (Bars.Symbol == DataSetSymbols[DataSetSymbols.Count - 1])
			{
				PrintDebug(count + " Symbols where RSI is better");
				PrintDebug("Global RSI Edge: " + ((globalRsiReturns / globalRsiObs) / (globalSumReturns / globalObs)).ToString("N2"));
			}
		}
	}
}[/code]