un connorsRSI qui marche

• 01/28/2017 at 4:07 PM #22845
  charles dereeper

  bonjour, j’ai copié le code ci dessous trouvé sur ce site pour créer le connorsRSI sauf qu’on obtient des valeurs négatives sur l’indicateur. sur des dizaines d’actions. Là, sous les yeux, j’ai AZPN le 17 oct 2008 avec une valeur de -7. je me demandais si qqn était parvenu à coder sous prorealtime le connorsRSI en état de marche, sans bug ?

  PeriodRSI<span class="token operator">=</span><span class="token number">3</span> PeriodUpdownlength<span class="token operator">=</span><span class="token number">2</span> PeriodROC<span class="token operator">=</span><span class="token number">100</span> <span class="token keyword">Once</span> UpLenght<span class="token operator">=</span><span class="token number">0</span> <span class="token keyword">Once</span> DownLenght<span class="token operator">=</span><span class="token number">0</span> <span class="token keyword">Once</span> updownDays<span class="token operator">=</span><span class="token number">0</span> MyRSI<span class="token operator">=</span><span class="token indicators">RSI</span><span class="token punctuation">[</span>PeriodRSI<span class="token punctuation">]</span><span class="token punctuation">(</span><span class="token keyword">close</span><span class="token punctuation">)</span> MyROC<span class="token operator">=</span><span class="token indicators">ROC</span><span class="token punctuation">[</span>PeriodROC<span class="token punctuation">]</span><span class="token punctuation">(</span><span class="token keyword">close</span><span class="token punctuation">)</span> <span class="token keyword">if</span> <span class="token keyword">barindex</span> <span class="token operator">></span> <span class="token number">0</span> <span class="token keyword">then</span> <span class="token keyword">if</span> <span class="token keyword">close</span> <span class="token operator">></span> <span class="token keyword">close</span><span class="token punctuation">[</span><span class="token number">1</span><span class="token punctuation">]</span> <span class="token keyword">then</span> upDay<span class="token operator">=</span><span class="token number">1</span> downDay<span class="token operator">=</span><span class="token number">0</span> <span class="token keyword">elsif</span> <span class="token keyword">close</span> <span class="token operator"><</span> <span class="token keyword">close</span><span class="token punctuation">[</span><span class="token number">1</span><span class="token punctuation">]</span> <span class="token keyword">then</span> downDay<span class="token operator">=</span><span class="token number">1</span> upDay<span class="token operator">=</span><span class="token number">0</span> <span class="token keyword">else</span> downDay<span class="token operator">=</span><span class="token number">0</span> upDay<span class="token operator">=</span><span class="token number">0</span> <span class="token keyword">endif</span> <span class="token keyword">if</span> upDay <span class="token operator"><</span><span class="token operator">></span> <span class="token number">0</span> <span class="token keyword">then</span> UpLenght<span class="token operator">=</span>UpLenght<span class="token punctuation">[</span><span class="token number">1</span><span class="token punctuation">]</span> <span class="token operator">+</span> upDay <span class="token keyword">else</span> UpLenght<span class="token operator">=</span><span class="token number">0</span> <span class="token keyword">endif</span> <span class="token keyword">if</span> downDay <span class="token operator"><</span><span class="token operator">></span> <span class="token number">0</span> <span class="token keyword">then</span> DownLenght<span class="token operator">=</span>DownLenght<span class="token punctuation">[</span><span class="token number">1</span><span class="token punctuation">]</span> <span class="token operator">+</span> downDay <span class="token keyword">else</span> DownLenght<span class="token operator">=</span><span class="token number">0</span> <span class="token keyword">endif</span> updownDays <span class="token operator">=</span> UpLenght <span class="token operator">+</span> DownLenght <span class="token keyword">endif</span> MyRSILenght<span class="token operator">=</span><span class="token indicators">RSI</span><span class="token punctuation">[</span>PeriodUpdownlength<span class="token punctuation">]</span><span class="token punctuation">(</span>updownDays<span class="token punctuation">)</span> ConnorsRSI<span class="token operator">=</span><span class="token punctuation">(</span>MyRSI<span class="token operator">+</span>MyROC<span class="token operator">+</span>MyRSILenght <span class="token punctuation">)</span><span class="token operator">/</span><span class="token number">3</span> <span class="token keyword">return</span> ConnorsRSI

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  PeriodRSI<span class="token operator">=</span><span class="token number">3</span> PeriodUpdownlength<span class="token operator">=</span><span class="token number">2</span> PeriodROC<span class="token operator">=</span><span class="token number">100</span>   <span class="token keyword">Once</span> UpLenght<span class="token operator">=</span><span class="token number">0</span> <span class="token keyword">Once</span> DownLenght<span class="token operator">=</span><span class="token number">0</span> <span class="token keyword">Once</span> updownDays<span class="token operator">=</span><span class="token number">0</span>   MyRSI<span class="token operator">=</span><span class="token indicators">RSI</span><span class="token punctuation">[</span>PeriodRSI<span class="token punctuation">]</span><span class="token punctuation">(</span><span class="token keyword">close</span><span class="token punctuation">)</span> MyROC<span class="token operator">=</span><span class="token indicators">ROC</span><span class="token punctuation">[</span>PeriodROC<span class="token punctuation">]</span><span class="token punctuation">(</span><span class="token keyword">close</span><span class="token punctuation">)</span>   <span class="token keyword">if</span> <span class="token keyword">barindex</span> <span class="token operator">></span> <span class="token number">0</span> <span class="token keyword">then</span> <span class="token keyword">if</span> <span class="token keyword">close</span> <span class="token operator">></span> <span class="token keyword">close</span><span class="token punctuation">[</span><span class="token number">1</span><span class="token punctuation">]</span> <span class="token keyword">then</span> upDay<span class="token operator">=</span><span class="token number">1</span> downDay<span class="token operator">=</span><span class="token number">0</span> <span class="token keyword">elsif</span> <span class="token keyword">close</span> <span class="token operator"><</span> <span class="token keyword">close</span><span class="token punctuation">[</span><span class="token number">1</span><span class="token punctuation">]</span> <span class="token keyword">then</span> downDay<span class="token operator">=</span><span class="token number">1</span> upDay<span class="token operator">=</span><span class="token number">0</span> <span class="token keyword">else</span> downDay<span class="token operator">=</span><span class="token number">0</span> upDay<span class="token operator">=</span><span class="token number">0</span> <span class="token keyword">endif</span> <span class="token keyword">if</span> upDay <span class="token operator"><</span><span class="token operator">></span> <span class="token number">0</span> <span class="token keyword">then</span> UpLenght<span class="token operator">=</span>UpLenght<span class="token punctuation">[</span><span class="token number">1</span><span class="token punctuation">]</span> <span class="token operator">+</span> upDay <span class="token keyword">else</span> UpLenght<span class="token operator">=</span><span class="token number">0</span> <span class="token keyword">endif</span>   <span class="token keyword">if</span> downDay <span class="token operator"><</span><span class="token operator">></span> <span class="token number">0</span> <span class="token keyword">then</span> DownLenght<span class="token operator">=</span>DownLenght<span class="token punctuation">[</span><span class="token number">1</span><span class="token punctuation">]</span> <span class="token operator">+</span> downDay <span class="token keyword">else</span> DownLenght<span class="token operator">=</span><span class="token number">0</span> <span class="token keyword">endif</span> updownDays <span class="token operator">=</span> UpLenght <span class="token operator">+</span> DownLenght <span class="token keyword">endif</span>   MyRSILenght<span class="token operator">=</span><span class="token indicators">RSI</span><span class="token punctuation">[</span>PeriodUpdownlength<span class="token punctuation">]</span><span class="token punctuation">(</span>updownDays<span class="token punctuation">)</span>   ConnorsRSI<span class="token operator">=</span><span class="token punctuation">(</span>MyRSI<span class="token operator">+</span>MyROC<span class="token operator">+</span>MyRSILenght <span class="token punctuation">)</span><span class="token operator">/</span><span class="token number">3</span>   <span class="token keyword">return</span> ConnorsRSI

  

  charles dereeper

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  01/29/2017 at 11:18 AM #22904
  Nicolas

  Je n’ai pas d’historique assez long pour cette action chez PRT-CFD premium, le test est-il sur PRT Software ?
  Dans le code de l’indicateur, le Rate of Change (ROC) nécessite à minima 100 périodes pour se calculer correctement, le problème proviendrait peut être de cela. Cette valeur négative s’affiche-t’elle en début de graphique ?

  Ci-joint mon test sur PRT-CFD, les valeurs semblent correctes, mais je n’ai pas de comparaison avec un autre Connors RSI sous la main. Ce qui me fait penser à une autre demande dans le forum Anglais, je crois que je n’y ai pas encore répondu ..

  

  Nicolas

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  01/30/2017 at 7:47 AM #23012
  charles dereeper

  version PRT complete. il suffit de prendre n’importe quelle action au format daily du marché américain et de remonter à la période 2008 / 2010 pendant la baisse pour obtenir des valeurs négatives sur le connorsRSI. il semblerait sur l’indicateur PRT couille quand la baisse dure trop longtemps. si vous voulez mieux vous en rendre compte, il suffit de prendre le VXX qui est structurellement orienté à la baisse avec des séquences longues consécutivement. du coup, on voit tout de suite que la formule PRT du CONNORS RSI a un souci

  

  charles dereeper

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  01/30/2017 at 9:59 AM #23032
  Nicolas

  Très bien, je reproduis le problème en effet 🙂
  De où provient ce code exactement (formule PRT) ?
  Je vais recoder le Connors RSI, je le posterai ici et dans la librairie de codes prorealtime pour les futures demandes.

  

  Nicolas

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  01/30/2017 at 11:59 AM #23064
  Nicolas

  Voilà, je pense que le code ci-joint est correct, dans l’image en haut la version que tu as posté, en dessous la version corrigée. J’ai volontairement ajouté une ligne sur la valeur 0 pour constater que le problème n’existe plus.

  Le code que tu as fourni n’utilise pas le ‘percentile rank’ du ‘rate of change’ des 100 dernières périodes (soit le rang percentile du ROC actuel comparé au pourcentage des 100 dernières variations de l’indicateur), ce qui semble être le cas dans la formule originelle du Connor’s RSI que j’ai trouvé sur internet.

  J’ai trouvé et testé de nombreuses versions différentes sur internet, certains codes me paraissent erronés, je poste ici la version qui me paraît être la plus réaliste et adapté … A vérifier 🙂

  

  Nicolas

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  01/30/2017 at 1:36 PM #23088
  charles dereeper

  ok je vais tester. le code, je l’ai trouvé sur 2 pages de ce site https://www.prorealcode.com/topic/connorsrsi/

  et cette page https://www.prorealcode.com/topic/connorsrsi-in-probuilder/

  faudrait alerter les autres avec le bon code

  

  charles dereeper

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