Composite index (C.Brown)

• 08/07/2018 at 12:28 PM #77714
  didi059

  REFERENCE : Technical Analysis for the Trading Professional-Constance
  Brown-McGraw-Hill ISBN 0-07-012062-5

  The author demonstrates how imbedding a Momentum formula within the Relative
  Strength Index will significantly improve the trend reversal signal and timing characteristics of
  this oscillator. She named it THE COMPOSITE INDEX and it was made public in oct 2015.See http://www.aeroinvest.com
  THE COMPOSITE INDEX: A DIVERGENCE ANALYSIS STUDY
  A thesis submitted in fulfillment of the requirements for the certification
  MASTER OF FINANCIAL ANALYSIS (MFTA)
  By
  CONSTANCE M. BROWN, CMT
  OCTOBER 2015

  The Composite Index formula is as follows in Omega TradeStation format:
  Plot1(RSIMO9+RSI3,”Plot1″);
  Plot2(average((plot1),13),”Plot2″);
  Plot3(average((plot1),33),”Plot3″);
  The function RSIMO9 is written; RSIMO9 = MOMENTUM(RSI(CLOSE,14),9)
  The second function is written RSI3=AVERAGE(RSI(CLOSE,3),3)

  The use of the indicator can be found in the publication mentioned above.

  Can anybody check the equivalent PRT program? I have some doubts about the bar numbering …

  In attachment.

  Composite index example

  Setting composite index

  composite index

  A=RSI[14] + Average [3](RSI[3])-RSI[14](close)[9] Return A COLOURED (0,0,0)

  1 2	A=RSI[14] + Average [3](RSI[3])-RSI[14](close)[9] Return A COLOURED (0,0,0)

   

  

  didi059

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  08/10/2018 at 10:03 AM #77937
  Nicolas

  Sorry but your code is wrong 🙂 

  Considering your description, I coded this version of the Composite Index:

  RSIMO9 = MOMENTUM[9](RSI[14]) RSI3=AVERAGE[3](RSI[3]) Plot1 = RSIMO9+RSI3 Plot2 = average[13](plot1) Plot3 = average[33](plot1) return plot1,plot2,plot3

  1 2 3 4 5 6 7 8

  RSIMO9 = MOMENTUM[9](RSI[14]) RSI3=AVERAGE[3](RSI[3])   Plot1 = RSIMO9+RSI3 Plot2 = average[13](plot1) Plot3 = average[33](plot1)   return plot1,plot2,plot3

   

  

  Nicolas

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  08/10/2018 at 1:58 PM #77965
  didi059

  Hi Nicolas

  The formula is correct! I just decomposed the momentum formula to increase the processing speed. 

  Please see both formulae in attachment. I adjusted the layout of the averages in your formula for clarity purposes

  All ways …

  Best regards and thank you for the review

  J-P

   

   

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  Nicolas

  

  didi059

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  08/10/2018 at 2:19 PM #77968
  didi059

  CI Nicolas

  RSIMO9 = MOMENTUM[9](RSI[14]) RSI3=AVERAGE[3](RSI[3]) Plot1 = RSIMO9+RSI3 Plot2 = average[13](plot1) Plot3 = average[33](plot1) return plot1,plot2 coloured (0,200,100),plot3 coloured (255,0,0)    

  1 2 3 4 5 6 7 8

  RSIMO9 = MOMENTUM[9](RSI[14]) RSI3=AVERAGE[3](RSI[3]) Plot1 = RSIMO9+RSI3 Plot2 = average[13](plot1) Plot3 = average[33](plot1) return plot1,plot2 coloured (0,200,100),plot3 coloured (255,0,0)

   

  

  didi059

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