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October 2010 Stocks and Commodities Traders Tips


A Smoothed RSI Inverse Fisher Transform

Original article by Sylvain Vervoort
AIQ Code by Richard Denning
Traders Studio Code by Richard Denning

AIQ Version:

The AIQ code for Sylvain Vervoort’s October 2010 article, “A Smoothed RSI Inverse Fisher Transform”, is shown below.

In Figure 1, I show the 4 bar RSI compared to the author’s inverse fisher transformation of the RSI on a chart of Adobe Systems.

Captions:

Figure 1: The four bar RSI indicator compared to the four bar SVE_IFT_RSI indicator on a chart of Adobe Systems.

AIQ EDS Code for Smoothed RSI Inverse Fisher Transform:
Smo IFT RSI.EDS
(RIGHT CLICK AND CHOOSE "SAVE AS." DO NOT LEFT CLICK OR YOUR BROWSER WILL TRY TO OPEN THE FILE.)


Traders Studio Version:

The TradersStudio code for the Smoothed RSI Inverse Fisher Transform (SVE_IFT_RSI) indicator, function and sample system, from the article, “A Smoothed RSI Inverse Fisher Transform” by Sylvain Vervoort, is shown below. The coded version that I have supplied also includes a system that can be used to test the indicator. The system only uses the SVE_IFT_RSI (or RSI) indicator. The system I set up to test the indicator in comparison to the original RSI indicator from Wells Wilder is based on crossovers of over-bought/over-sold levels. The rules for the system are:

1) Go long when the SVE_IFT_RSI (or RSI) goes below the over-sold level.
2) Go short when the SVE_IFT_RSI (or RSI) goes above the over-bought level.
3) All trades are placed next day market on open.

The system is always in the market either long or short. To test the indicator, I created a portfolio of 38 of the more actively traded, full sized, futures contracts. I used Pinnacle back-adjusted data (day session only) for the following symbols: AD, BO, BP, C, CC, CD, CL, CT, DJ, DX, ED, FA, FC, FX, GC, HG, HO, HU, JO, JY, KC, KW, LC, LH, NG, NK, PB, RB, S, SB, SF, SI, SM, SP, TA, TD, UA, W.

The comparative test of the indicator versus the original Wells Wilder RSI indicator is shown on a year by year basis in Table 1. The test runs from 1997 to August 11, 2010. The years and metrics where the SVE_IFT_RSI outperformed the RSI indicator are highlighted in light green. Over the entire test period and also within the last 8 years the SVE_IFT_RSI indicator shows a better performance than Wilders original RSI indicator when tested on this portfolio of futures markets with the 4 day parameter.

Captions:

Table 1: A year by year comparison of the SVE_IFT_RSI indicator versus the RSI indicator on a portfolio of 38 futures contracts trading one contract per trade. Light green shaded areas highlight which indicator had the better performance.

Traders Studio Code for Smoothed RSI Inverse Fisher Transform :
SVE_IFT_RSI.zip
(RIGHT CLICK AND CHOOSE "SAVE AS.")

 

 

 

 

 

 

 

 

 

 

 

 

 

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