RSI based on simple moving average
Author: SimhaD04
Creation Date: 6/6/2012 1:02 PM
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SimhaD04

#1
The RSI function in WL seems to be based on an exponential MA and as such it requires a considerable time to get to "steady state". Is there an RSI in the library based on SMA? Thanks.
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Eugene

#2
Just to make it clear: like everywhere else, not just in WL, the RSI in WL is based on Wilder's moving average.

But what's a "considerable time"? For traditional 14-bar RSI, it's just 40-60 bars. Do you ever load less than a thousand bars?
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SimhaD04

#3
it's not the issue of loading, but of strategy's memory. For intraday trading, tens of bars is a lot of time. As far as I can tell, Wilder used an exp. average. SMA should do as well (or as poor) as EMA in this context.
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Eugene

#4
I still don't catch it. What does it have to do with memory? Provided that everyone has several gigabytes installed, there's virtually no difference between 500 or 50 bars loaded.

For intraday, you'd naturally use a faster RSI: say 7-bar that stabilizes after 20-30 bars. Either way, doesn't make sense.
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SimhaD04

#5
The strategy's not computer memory. If you want to trade based on the day's information. So, if it is 7-bar it will be 7 bars to get started. For a 6.5 h day it makes a difference.
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Eugene

#6
If you want to trade based on the day's information, load more bars and ignore yesterday's data. Skipping 7 (21) bars just to get started is hardly a viable alternative.
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