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RE: [TOS_thinkscript] Coding the "Derivative Oscillator" in thinkScript

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  • Richard Houser
    I ll leave it to you to verify that this is doing what you expect and to spruce it up. declare lower; input rsi_slow_len = 14; input rsi_fast_len = 3; input
    Message 1 of 10 , Nov 23, 2010
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      I'll leave it to you to verify that this is doing what you expect and to spruce it up.

      declare lower;

      input rsi_slow_len = 14;
      input rsi_fast_len = 3;
      input momentum_len = 9;

      def RSIDelta = Momentum( momentum_len, RSIWilder( length = rsi_slow_len, price = close ).RSI ).Momentum;
      def RSIsma = Average( RSIWilder( length = rsi_fast_len, price = close ), rsi_fast_len );

      plot CompositeIndex = RSIDelta + RSIsma;

      plot Plot2 = Average( CompositeIndex, 13 );
      plot Plot3 = Average( Plot2, 33 );






      From: TOS_thinkscript@yahoogroups.com [mailto:TOS_thinkscript@yahoogroups.com] On Behalf Of Joe Agrusa
      Sent: Tuesday, November 23, 2010 6:46 AM
      To: TOS_thinkscript@yahoogroups.com
      Subject: [TOS_thinkscript] Coding the "Derivative Oscillator" in thinkScript

       
      Constance Brown has developed the "Derivative Oscillator" that I stumbled upon as a built-in indicator at FreeStockCharts.com and have not observed anywhere else.

      Here is what she says about it "...
      It was the start of a final formula called the Composite Indicator. Please read Breakthroughs in Technical Analysis… editor David Keller. My chapter is 5 and gives the formula."


      The Formula in that chapter is as follows (it appears to be for TradeStation easyLanguage)...


      Pages 80-81...

      Using the Composite Index to Detect RSI Divergence Failures
      In Figure 5.6 (a chart that she inserted for demonstration), the two Fs over the RSI momentum extremes highlight one of the weaknesses of RSI. The indicator is prone to fail to develop divergence to the price data at key market reversals. The cause of this failure is in the normalization of the indicator formula. A solution is to couple an indicator with the RSI that has not been normalized. The Composite Index is a formula I developed to identify divergence failures within the RSI. The formula is protected by copyright by the Library of Congress, but the time has come to release the formula because it has unique properties that traders value. The formula warns when RSI is failing to detect market reversals so that the trader is not caught by the change in trend. It has been used in all financial markets and time horizons for more than twelve years. (emphasis mine)

      The Composite Index was developed to solve the divergence failure problem in the RSI, but its ability to provide specific horizontal levels of support within the indicator adds to its value. The Composite Index takes the normalized formula of RSI and removes the normalization range restrictions. In Figure 5.7, the divergence to RSI in the Composite Index is seen at points N and P. The formula for the Composite Index uses an embedded momentum calculation with a short-term RSI smoothed. The concept of embedding a momentum study can be used within MACD (moving average convergence/divergence), but
      stochastics should not use this concept in fast formulas. If slow %D is used, this concept can be applied, but extensive testing is recommended, as this is not how I used the formula to gain confidence under fire in all financial markets in a real-time environment.

      THE COMPOSITE INDEX

      Create two functions in Easy language first:

      The first is a 9 period momentum study of RSI.

      RSIDelta=MOMENTUM(RSI(CLOSE,14),9)

      Then a smoothed short period RSI is created,

      RSIsma=AVERAGE(RSI(CLOSE,3),3)

      The indicator can then be created:

      INDICATOR: COMPOSITE INDEX

      Plot1(RSIdelta+RSIsma,”Plot1”);
      Plot2(average((plot1),13)”Plot2”);
      Plot3(average((plot1,33,”Plot3”);


      Is anyone able to convert the code above into a useable thinkScript?

      Thanks in advance!

      Joe



    • Joe Agrusa
      WOW...thank you Richard! I will apply and report back...although possible not today... Thanks again! Joe ________________________________ From: Richard Houser
      Message 2 of 10 , Nov 23, 2010
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        WOW...thank you Richard!

        I will apply and report back...although possible not today...

        Thanks again!

        Joe



        From: Richard Houser <rhouser@...>
        To: TOS_thinkscript@yahoogroups.com
        Sent: Tue, November 23, 2010 8:35:21 AM
        Subject: RE: [TOS_thinkscript] Coding the "Derivative Oscillator" in thinkScript

         

        I'll leave it to you to verify that this is doing what you expect and to spruce it up.

        declare lower;

        input rsi_slow_len = 14;
        input rsi_fast_len = 3;
        input momentum_len = 9;

        def RSIDelta = Momentum( momentum_len, RSIWilder( length = rsi_slow_len, price = close ).RSI ).Momentum;
        def RSIsma = Average( RSIWilder( length = rsi_fast_len, price = close ), rsi_fast_len );

        plot CompositeIndex = RSIDelta + RSIsma;

        plot Plot2 = Average( CompositeIndex, 13 );
        plot Plot3 = Average( Plot2, 33 );






        From: TOS_thinkscript@yahoogroups.com [mailto:TOS_thinkscript@yahoogroups.com] On Behalf Of Joe Agrusa
        Sent: Tuesday, November 23, 2010 6:46 AM
        To: TOS_thinkscript@yahoogroups.com
        Subject: [TOS_thinkscript] Coding the "Derivative Oscillator" in thinkScript

         
        Constance Brown has developed the "Derivative Oscillator" that I stumbled upon as a built-in indicator at FreeStockCharts.com and have not observed anywhere else.

        Here is what she says about it "...
        It was the start of a final formula called the Composite Indicator. Please read Breakthroughs in Technical Analysis… editor David Keller. My chapter is 5 and gives the formula."


        The Formula in that chapter is as follows (it appears to be for TradeStation easyLanguage)...


        Pages 80-81...

        Using the Composite Index to Detect RSI Divergence Failures
        In Figure 5.6 (a chart that she inserted for demonstration), the two Fs over the RSI momentum extremes highlight one of the weaknesses of RSI. The indicator is prone to fail to develop divergence to the price data at key market reversals. The cause of this failure is in the normalization of the indicator formula. A solution is to couple an indicator with the RSI that has not been normalized. The Composite Index is a formula I developed to identify divergence failures within the RSI. The formula is protected by copyright by the Library of Congress, but the time has come to release the formula because it has unique properties that traders value. The formula warns when RSI is failing to detect market reversals so that the trader is not caught by the change in trend. It has been used in all financial markets and time horizons for more than twelve years. (emphasis mine)

        The Composite Index was developed to solve the divergence failure problem in the RSI, but its ability to provide specific horizontal levels of support within the indicator adds to its value. The Composite Index takes the normalized formula of RSI and removes the normalization range restrictions. In Figure 5.7, the divergence to RSI in the Composite Index is seen at points N and P. The formula for the Composite Index uses an embedded momentum calculation with a short-term RSI smoothed. The concept of embedding a momentum study can be used within MACD (moving average convergence/divergence), but
        stochastics should not use this concept in fast formulas. If slow %D is used, this concept can be applied, but extensive testing is recommended, as this is not how I used the formula to gain confidence under fire in all financial markets in a real-time environment.

        THE COMPOSITE INDEX

        Create two functions in Easy language first:

        The first is a 9 period momentum study of RSI.

        RSIDelta=MOMENTUM(RSI(CLOSE,14),9)

        Then a smoothed short period RSI is created,

        RSIsma=AVERAGE(RSI(CLOSE,3),3)

        The indicator can then be created:

        INDICATOR: COMPOSITE INDEX

        Plot1(RSIdelta+RSIsma,�Plot1�);
        Plot2(average((plot1),13)�Plot2�);
        Plot3(average((plot1,33,�Plot3�);


        Is anyone able to convert the code above into a useable thinkScript?

        Thanks in advance!

        Joe



      • thomsonkneeland
        Thanks for this, Richard, very much appreciated! Been looking for this script for a while! -Thomson
        Message 3 of 10 , Feb 5
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          Thanks for this, Richard, very much appreciated! Been looking for this script for a while!


          -Thomson

        • j.gillman55
          Richard, Could you post the Derivative Oscillator in thinkScript please? Thank you for your incredible contributions. Best, Jeff from Maine
          Message 4 of 10 , Feb 6
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            Richard,


            Could you post the "Derivative Oscillator" in thinkScript please?


            Thank you for your incredible contributions.


            Best,


            Jeff from Maine

          • nohandle75
            Jeff: See post # 59898 for RH s code post.
            Message 5 of 10 , Feb 6
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              Jeff: See post # 59898 for RH's code post.

            • nohandle75
              Correction # 5989
              Message 6 of 10 , Feb 6
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                Correction # 5989
              • j.gillman tds.net
                Thank you!!
                Message 7 of 10 , Feb 6
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                  Thank you!!


                  On Thu, Feb 6, 2014 at 4:40 PM, <nohandle75@...> wrote:


                  Correction # 5989


                • Richard Houser
                  Wow that was digging deep into the archives, I posted that on 11/23/2010! I didn t realize that you were referring to me until I did a search on Derivative
                  Message 8 of 10 , Feb 7
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                    Wow that was digging deep into the archives, I posted that on 11/23/2010! I didn't realize that you were referring to me until I did a search on "Derivative Oscillator". Hope you found what you were looking for.

                     

                    Rich Houser

                     

                    From: TOS_thinkscript@yahoogroups.com [mailto:TOS_thinkscript@yahoogroups.com] On Behalf Of j.gillman tds.net
                    Sent: Thursday, February 06, 2014 4:18 PM
                    To: TOS_thinkscript@yahoogroups.com
                    Subject: Re: [TOS_thinkscript] Coding the "Derivative Oscillator" in thinkScript

                     

                     

                    Thank you!!

                     

                    On Thu, Feb 6, 2014 at 4:40 PM, <nohandle75@...> wrote:



                    Correction # 5989

                     

                     

                  • j.gillman tds.net
                    Yes, thank you.
                    Message 9 of 10 , Feb 8
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                      Yes, thank you.


                      On Sat, Feb 8, 2014 at 12:23 AM, Richard Houser <rhouser@...> wrote:


                      Wow that was digging deep into the archives, I posted that on 11/23/2010! I didn't realize that you were referring to me until I did a search on "Derivative Oscillator". Hope you found what you were looking for.

                       

                      Rich Houser

                       

                      From: TOS_thinkscript@yahoogroups.com [mailto:TOS_thinkscript@yahoogroups.com] On Behalf Of j.gillman tds.net
                      Sent: Thursday, February 06, 2014 4:18 PM
                      To: TOS_thinkscript@yahoogroups.com
                      Subject: Re: [TOS_thinkscript] Coding the "Derivative Oscillator" in thinkScript

                       

                       

                      Thank you!!

                       

                      On Thu, Feb 6, 2014 at 4:40 PM, <nohandle75@...> wrote:



                      Correction # 5989

                       

                       




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