RSI intraday - anyone please help

Questions about MultiCharts and user contributed studies.
getting
Posts: 21
Joined: 18 Jul 2007

RSI intraday - anyone please help

Postby getting » 19 Feb 2008

does intraday order generation IOG working properly in version 3.0.1137.3363 ?

if i let the chart and feed run for half hour for an example, trades signal about 15 trades, then i go to into "format signal" and click on status button twice to off and on the signal...then apparently all the signals with that half hour range changes, not just shifted within the bar, but trades signal wwould shifted couple bar to the left or to the right.

what's the proper setting for ESH8?
my setting:
price scale 1/100
daily limit 1
min movement 1 - is this suppose to be 12.5?
big point value 50

range bar = 50
RSI LE = close 12 50
RSI SE = close 14 50
trade time 8:45-9:15 CST

could it be opentick feeds? that cause the signal to shift?

getting
Posts: 21
Joined: 18 Jul 2007

Postby getting » 19 Feb 2008

also, after i click the status botton to off and on the RSI signal, the same half hour time frame would double in trade signal ...from from previous of 15 to 30

getting
Posts: 21
Joined: 18 Jul 2007

Postby getting » 19 Feb 2008

Before and after pic
left is before and right picture is after i enable the rsi signal status
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itai007
Posts: 69
Joined: 14 Jun 2007

Rsi intrabar

Postby itai007 » 19 Feb 2008

First I think that while in the intrabar mode , MC monitors the strategy for the conditions and then triggers the signal but if you turn status off / on or refresh the chart you might get other "trades" because the RT data monitored is not necessary filed in the history or data base so the "past" doesn't always match the present.

also , regarding your code , you need to use I think intrabarpersist to trigger the signals in realtime based on the tick and not the end of bar unless you don't want to and so dont use this function ....

If for example you want to sell each time a bar closes bellow Rsi 50 and was >= rsi 50 in the previous bar then while in the IOG mode any fluctuation will trigger the signal but will show @ the end of the bar based on the price you specified ..

on the other hand if you choose to use intrabarperssit then you would trigger the signal not only based on the criteria but also could get the RT price/ tick when it happened intrabar.

So it depends on what you want to do ..

getting
Posts: 21
Joined: 18 Jul 2007

Postby getting » 19 Feb 2008

another before and after picture
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getting
Posts: 21
Joined: 18 Jul 2007

Postby getting » 19 Feb 2008

Thank You itai

would u please guide me on which part of the script i need to change, and add intrabarpersist, script for RSI LE:

[IntrabarOrderGeneration = true]
inputs: Price( Close ), Length( 12 ), OverSold( 50 ) ;
variables: MyRSI( 0 ) ;

MyRSI = RSI( Price, Length ) ;

if Currentbar > 1 and MyRSI crosses over OverSold then
{ CB > 1 check used to avoid spurious cross confirmation at CB = 1 }
Buy ( "RsiLE" ) next Bar at market ;
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itai007
Posts: 69
Joined: 14 Jun 2007

Postby itai007 » 19 Feb 2008

Thank You itai

would u please guide me on which part of the script i need to change, and add intrabarpersist, script for RSI LE:

[IntrabarOrderGeneration = true]
inputs: Price( Close ), Length( 12 ), OverSold( 50 ) ;
variables: MyRSI( 0 ) ;

MyRSI = RSI( Price, Length ) ;

if Currentbar > 1 and MyRSI crosses over OverSold then
{ CB > 1 check used to avoid spurious cross confirmation at CB = 1 }
Buy ( "RsiLE" ) next Bar at market ;


Intrabarpersist is a function that can be used on vars or arrays I think. type intrabarpersist in the PLeditor and press F1 youll see the help bellow in the output bar

Any var you would like to be calculated and recalculated on every tick you just add intrabarpersist before

in your case above ,

you only have myrsi so you just add
var:
intrabarpersist myrsi(0);

also I can suggest you try playing with the following ...

if the tick that causes the rsi to hit you threshold is important or any other price there after within that bar , then you can add something like this ...

if myrsi > OB and myrsi[1] <= OB then mylimit = last;

if you add mylimit to the vars with intrabarpersist then you can change the entry code to

buy next bar (which in the IOG and intrabarpersist combined is , "next tick") mylimit limit.

then you can optimize more easily as you can have an exit order stating

if market position > 0 then sell next bar entryprice + (minmove/pricescale*4) for a fast 4 tick exit

etc'

you can play with this ...




hope this helps

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Andrew Kirillov
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Postby Andrew Kirillov » 20 Feb 2008

Getting,
Itai is correct.
You shouldn't expect to have the same results on history and real-time, because strategy uses OHLC only. The results would be the same if we support something similar to look-inside-bar where all ticks are downloaded for precision backtesting.


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