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From: Robert A. S. <ra...@ac...> - 2009-08-06 17:18:51
|
Greg Jessup wrote: > RAS... > That change worked setting my RSI to 1 instead of zero, but not sure that > really solves the problem. The issue is that somewhere within the RSI.pm, it > can not calculate the correct RSI value and sets it to zero and now 1 with > your change. > Looking at Yahoo. > For > 2007-07-05 RSI should be ~88.34 > 2007-07-06 RSI should be ~90.21 > 2007-07-09 RSI should be ~90.46 > > So there is appears to be a bug somewhere within the module > grep i was more interested in having you add just 1; as the very last line in your rsi.pm file, to see if that altered any unexpected results you've been seeing. never-the-less you've probably found a bug that has been lurking around for some time. to paraphrase the china shops store window sign (all in jest) 'you found it, so you fix it.' certainly by forcing rsi to be 1 is of some question. my quick looksee indicated using ./display_indicator.pl --start 20070628 --end 20070905 I:RSI ^NDX '4' the unchanged rsi never even approached 1, it was a sudden departure from the prior value to zero and then just as suddenly reverted to the much higher value. so there must be a problem someplace ... ras > > > On Thu, Aug 6, 2009 at 10:23 AM, Robert A. Schmied <ra...@ac...> wrote: > > >>Greg Jessup wrote: >> >> >>>OH Great! This is going to be a blast to debug. Seem like RSI is broken. >>>Anyone out there an expert on the RSI.pm? >>> >> >>well a quick tkdiff on my and repo RSI.pm shows me i intentionally >>inhibit rsi that go negative -- that may be right or wrong -- anyone??? >> >>my change to set it to 1 might be wrong and instead should be a value >>close to zero? dunno. >> >>but i'd guess the more important change is the addition of the last perl >>statement (e.g, '1;'). >> >>without that proper package termination statement i get occasional hard >>to understand messages ... my local working environment has been fixed but >>i don't know about the repo versions. >> >>if you could just add that last line to your rsi.pm and see if the results >>improve and report back i'll commit it to the trunk version. it's your >>call on whether or not rsi can go negative or not ... >> >>ras >> >> >>--- ../svn_repo/GT/Indicators/RSI.pm 2007-10-24 16:18:10.506374000 -0700 >>+++ ../GT/Indicators/RSI.pm 2008-05-24 12:32:35.259616000 -0700 >>@@ -81,5 +81,11 @@ >> } >> $rsi = 100 - (100 / (1 + $rs)); >>+ >>+ # inhibit a zero value >>+ $rsi = 1 if ( $rsi <= 0 ); >>+ >> $calc->indicators->set($name, $i, $rsi); >>} >>+ >>+1; >> >> << snip >> |
|
From: Thomas W. <we...@ms...> - 2009-08-06 17:03:01
|
<!DOCTYPE html PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN">
<html>
<head>
<meta content="text/html;charset=ISO-8859-1" http-equiv="Content-Type">
</head>
<body bgcolor="#ffffff" text="#000000">
If the sum of the differences of the series points over the last n days
is 0, then the RSI will be 0 according to RSI.pm.<br>
<br>
Th.<br>
<br>
Greg Jessup wrote:
<blockquote
cite="mid:a0c...@ma..."
type="cite">RAS...<br>
That change worked setting my RSI to 1 instead of zero, but not sure
that really solves the problem. The issue is that somewhere within the
RSI.pm, it can not calculate the correct RSI value and sets it to zero
and now 1 with your change. <br>
Looking at Yahoo.<br>
For <br>
2007-07-05 RSI should be ~88.34<br>
2007-07-06 RSI should be ~90.21<br>
2007-07-09 RSI should be ~90.46<br>
<br>
So there is appears to be a bug somewhere within the module<br>
<blockquote style="margin: 1.5em 0pt;"></blockquote>
<br>
<br>
<div class="gmail_quote">On Thu, Aug 6, 2009 at 10:23 AM, Robert A.
Schmied <span dir="ltr"><<a moz-do-not-send="true"
href="mailto:ra...@ac...">ra...@ac...</a>></span> wrote:<br>
<blockquote class="gmail_quote"
style="border-left: 1px solid rgb(204, 204, 204); margin: 0pt 0pt 0pt 0.8ex; padding-left: 1ex;">
<div class="im">Greg Jessup wrote:<br>
<blockquote class="gmail_quote"
style="border-left: 1px solid rgb(204, 204, 204); margin: 0pt 0pt 0pt 0.8ex; padding-left: 1ex;">
OH Great! This is going to be a blast to debug. Seem like RSI is broken.<br>
Anyone out there an expert on the RSI.pm?<br>
</blockquote>
<br>
</div>
well a quick tkdiff on my and repo RSI.pm shows me i intentionally<br>
inhibit rsi that go negative -- that may be right or wrong -- anyone???<br>
<br>
my change to set it to 1 might be wrong and instead should be a value<br>
close to zero? dunno.<br>
<br>
but i'd guess the more important change is the addition of the last perl<br>
statement (e.g, '1;').<br>
<br>
without that proper package termination statement i get occasional hard<br>
to understand messages ... my local working environment has been fixed
but<br>
i don't know about the repo versions.<br>
<br>
if you could just add that last line to your <a moz-do-not-send="true"
href="http://rsi.pm" target="_blank">rsi.pm</a> and see if the results<br>
improve and report back i'll commit it to the trunk version. it's your<br>
call on whether or not rsi can go negative or not ...<br>
<br>
ras<br>
<br>
<br>
--- ../svn_repo/GT/Indicators/RSI.pm 2007-10-24 16:18:10.506374000
-0700<br>
+++ ../GT/Indicators/RSI.pm 2008-05-24 12:32:35.259616000 -0700<br>
@@ -81,5 +81,11 @@
<div class="im"><br>
}<br>
$rsi = 100 - (100 / (1 + $rs));<br>
</div>
+<br>
+ # inhibit a zero value<br>
+ $rsi = 1 if ( $rsi <= 0 );<br>
+<br>
$calc->indicators->set($name, $i, $rsi);<br>
}<br>
+<br>
+1;
<div>
<div class="h5"><br>
<br>
<blockquote class="gmail_quote"
style="border-left: 1px solid rgb(204, 204, 204); margin: 0pt 0pt 0pt 0.8ex; padding-left: 1ex;">
<br>
On Thu, Aug 6, 2009 at 9:58 AM, Robert A. Schmied <<a
moz-do-not-send="true" href="mailto:ra...@ac..." target="_blank">ra...@ac...</a>>
wrote:<br>
<br>
<br>
<blockquote class="gmail_quote"
style="border-left: 1px solid rgb(204, 204, 204); margin: 0pt 0pt 0pt 0.8ex; padding-left: 1ex;">
Greg Jessup wrote:<br>
<br>
<br>
<blockquote class="gmail_quote"
style="border-left: 1px solid rgb(204, 204, 204); margin: 0pt 0pt 0pt 0.8ex; padding-left: 1ex;">
Robert...I need to digest everything you sent..but I may have found the<br>
culprit<br>
<br>
Run this<br>
<br>
./display_indicator.pl --start 20070628 --end 20070905 I:RSI ^NDX '4'<br>
<br>
RSI[4, {I:Prices CLOSE}][2007-06-28] = 62.4393<br>
RSI[4, {I:Prices CLOSE}][2007-06-29] = 82.6154<br>
RSI[4, {I:Prices CLOSE}][2007-07-02] = 97.1198<br>
RSI[4, {I:Prices CLOSE}][2007-07-03] = 96.0195<br>
*RSI[4, {I:Prices CLOSE}][2007-07-05] = 0.0000<br>
RSI[4, {I:Prices CLOSE}][2007-07-06] = 0.0000<br>
RSI[4, {I:Prices CLOSE}][2007-07-09] = 0.0000*<br>
RSI[4, {I:Prices CLOSE}][2007-07-10] = 58.0973<br>
RSI[4, {I:Prices CLOSE}][2007-07-11] = 54.0117<br>
RSI[4, {I:Prices CLOSE}][2007-07-12] = 74.2946<br>
RSI[4, {I:Prices CLOSE}][2007-07-13] = 77.6875<br>
RSI[4, {I:Prices CLOSE}][2007-07-16] = 93.5724<br>
<br>
I am getting and RSI of 0 form many days so we are creating a buy signal<br>
when we should not....are you experiencing this in your output?<br>
<br>
On Thu, Aug 6, 2009 at 9:34 AM, Robert A. Schmied <<a
moz-do-not-send="true" href="mailto:ra...@ac..." target="_blank">ra...@ac...</a>>
wrote:<br>
<br>
<br>
<br>
</blockquote>
<br>
< big snip >><br>
<br>
i'm getting 1.00 for those dates --- something is amiss somewhere<br>
<br>
ras<br>
<br>
<br>
<br>
% ./display_indicator.pl --start 20070628 --end 20070905 I:RSI ^NDX
'4'<br>
<br>
Indicator I:RSI has 1 value ... all values selected<br>
I:RSI/1 <=> RSI[4, { I:Prices CLOSE}]<br>
<br>
timeframe day, time periods 880 .. 927<br>
Calculating indicator ...<br>
display_indicator.pl: interval: 880 .. 927<br>
RSI[4, { I:Prices CLOSE}][2007-06-28] = 62.4393<br>
RSI[4, { I:Prices CLOSE}][2007-06-29] = 82.6154<br>
RSI[4, { I:Prices CLOSE}][2007-07-02] = 97.1198<br>
RSI[4, { I:Prices CLOSE}][2007-07-03] = 96.0195<br>
RSI[4, { I:Prices CLOSE}][2007-07-05] = 1.0000<br>
RSI[4, { I:Prices CLOSE}][2007-07-06] = 1.0000<br>
RSI[4, { I:Prices CLOSE}][2007-07-09] = 1.0000<br>
RSI[4, { I:Prices CLOSE}][2007-07-10] = 58.0973<br>
RSI[4, { I:Prices CLOSE}][2007-07-11] = 54.0117<br>
RSI[4, { I:Prices CLOSE}][2007-07-12] = 74.2946<br>
</blockquote>
</blockquote>
<br>
</div>
</div>
<snip><br>
<br>
</blockquote>
</div>
<br>
</blockquote>
</body>
</html>
|
|
From: Greg J. <gr...@gr...> - 2009-08-06 16:56:14
|
RAS...
That change worked setting my RSI to 1 instead of zero, but not sure that
really solves the problem. The issue is that somewhere within the RSI.pm, it
can not calculate the correct RSI value and sets it to zero and now 1 with
your change.
Looking at Yahoo.
For
2007-07-05 RSI should be ~88.34
2007-07-06 RSI should be ~90.21
2007-07-09 RSI should be ~90.46
So there is appears to be a bug somewhere within the module
On Thu, Aug 6, 2009 at 10:23 AM, Robert A. Schmied <ra...@ac...> wrote:
> Greg Jessup wrote:
>
>> OH Great! This is going to be a blast to debug. Seem like RSI is broken.
>> Anyone out there an expert on the RSI.pm?
>>
>
> well a quick tkdiff on my and repo RSI.pm shows me i intentionally
> inhibit rsi that go negative -- that may be right or wrong -- anyone???
>
> my change to set it to 1 might be wrong and instead should be a value
> close to zero? dunno.
>
> but i'd guess the more important change is the addition of the last perl
> statement (e.g, '1;').
>
> without that proper package termination statement i get occasional hard
> to understand messages ... my local working environment has been fixed but
> i don't know about the repo versions.
>
> if you could just add that last line to your rsi.pm and see if the results
> improve and report back i'll commit it to the trunk version. it's your
> call on whether or not rsi can go negative or not ...
>
> ras
>
>
> --- ../svn_repo/GT/Indicators/RSI.pm 2007-10-24 16:18:10.506374000 -0700
> +++ ../GT/Indicators/RSI.pm 2008-05-24 12:32:35.259616000 -0700
> @@ -81,5 +81,11 @@
> }
> $rsi = 100 - (100 / (1 + $rs));
> +
> + # inhibit a zero value
> + $rsi = 1 if ( $rsi <= 0 );
> +
> $calc->indicators->set($name, $i, $rsi);
> }
> +
> +1;
>
>
>
>> On Thu, Aug 6, 2009 at 9:58 AM, Robert A. Schmied <ra...@ac...> wrote:
>>
>>
>> Greg Jessup wrote:
>>>
>>>
>>> Robert...I need to digest everything you sent..but I may have found the
>>>> culprit
>>>>
>>>> Run this
>>>>
>>>> ./display_indicator.pl --start 20070628 --end 20070905 I:RSI ^NDX '4'
>>>>
>>>> RSI[4, {I:Prices CLOSE}][2007-06-28] = 62.4393
>>>> RSI[4, {I:Prices CLOSE}][2007-06-29] = 82.6154
>>>> RSI[4, {I:Prices CLOSE}][2007-07-02] = 97.1198
>>>> RSI[4, {I:Prices CLOSE}][2007-07-03] = 96.0195
>>>> *RSI[4, {I:Prices CLOSE}][2007-07-05] = 0.0000
>>>> RSI[4, {I:Prices CLOSE}][2007-07-06] = 0.0000
>>>> RSI[4, {I:Prices CLOSE}][2007-07-09] = 0.0000*
>>>> RSI[4, {I:Prices CLOSE}][2007-07-10] = 58.0973
>>>> RSI[4, {I:Prices CLOSE}][2007-07-11] = 54.0117
>>>> RSI[4, {I:Prices CLOSE}][2007-07-12] = 74.2946
>>>> RSI[4, {I:Prices CLOSE}][2007-07-13] = 77.6875
>>>> RSI[4, {I:Prices CLOSE}][2007-07-16] = 93.5724
>>>>
>>>> I am getting and RSI of 0 form many days so we are creating a buy signal
>>>> when we should not....are you experiencing this in your output?
>>>>
>>>> On Thu, Aug 6, 2009 at 9:34 AM, Robert A. Schmied <ra...@ac...> wrote:
>>>>
>>>>
>>>>
>>>>
>>> < big snip >>
>>>
>>> i'm getting 1.00 for those dates --- something is amiss somewhere
>>>
>>> ras
>>>
>>>
>>>
>>> % ./display_indicator.pl --start 20070628 --end 20070905 I:RSI ^NDX
>>> '4'
>>>
>>> Indicator I:RSI has 1 value ... all values selected
>>> I:RSI/1 <=> RSI[4, { I:Prices CLOSE}]
>>>
>>> timeframe day, time periods 880 .. 927
>>> Calculating indicator ...
>>> display_indicator.pl: interval: 880 .. 927
>>> RSI[4, { I:Prices CLOSE}][2007-06-28] = 62.4393
>>> RSI[4, { I:Prices CLOSE}][2007-06-29] = 82.6154
>>> RSI[4, { I:Prices CLOSE}][2007-07-02] = 97.1198
>>> RSI[4, { I:Prices CLOSE}][2007-07-03] = 96.0195
>>> RSI[4, { I:Prices CLOSE}][2007-07-05] = 1.0000
>>> RSI[4, { I:Prices CLOSE}][2007-07-06] = 1.0000
>>> RSI[4, { I:Prices CLOSE}][2007-07-09] = 1.0000
>>> RSI[4, { I:Prices CLOSE}][2007-07-10] = 58.0973
>>> RSI[4, { I:Prices CLOSE}][2007-07-11] = 54.0117
>>> RSI[4, { I:Prices CLOSE}][2007-07-12] = 74.2946
>>>
>>
> <snip>
>
>
|
|
From: Robert A. S. <ra...@ac...> - 2009-08-06 16:24:20
|
Greg Jessup wrote:
> OH Great! This is going to be a blast to debug. Seem like RSI is broken.
> Anyone out there an expert on the RSI.pm?
well a quick tkdiff on my and repo RSI.pm shows me i intentionally
inhibit rsi that go negative -- that may be right or wrong -- anyone???
my change to set it to 1 might be wrong and instead should be a value
close to zero? dunno.
but i'd guess the more important change is the addition of the last perl
statement (e.g, '1;').
without that proper package termination statement i get occasional hard
to understand messages ... my local working environment has been fixed but
i don't know about the repo versions.
if you could just add that last line to your rsi.pm and see if the results
improve and report back i'll commit it to the trunk version. it's your
call on whether or not rsi can go negative or not ...
ras
--- ../svn_repo/GT/Indicators/RSI.pm 2007-10-24 16:18:10.506374000 -0700
+++ ../GT/Indicators/RSI.pm 2008-05-24 12:32:35.259616000 -0700
@@ -81,5 +81,11 @@
}
$rsi = 100 - (100 / (1 + $rs));
+
+ # inhibit a zero value
+ $rsi = 1 if ( $rsi <= 0 );
+
$calc->indicators->set($name, $i, $rsi);
}
+
+1;
>
> On Thu, Aug 6, 2009 at 9:58 AM, Robert A. Schmied <ra...@ac...> wrote:
>
>
>>Greg Jessup wrote:
>>
>>
>>>Robert...I need to digest everything you sent..but I may have found the
>>>culprit
>>>
>>>Run this
>>>
>>>./display_indicator.pl --start 20070628 --end 20070905 I:RSI ^NDX '4'
>>>
>>>RSI[4, {I:Prices CLOSE}][2007-06-28] = 62.4393
>>>RSI[4, {I:Prices CLOSE}][2007-06-29] = 82.6154
>>>RSI[4, {I:Prices CLOSE}][2007-07-02] = 97.1198
>>>RSI[4, {I:Prices CLOSE}][2007-07-03] = 96.0195
>>>*RSI[4, {I:Prices CLOSE}][2007-07-05] = 0.0000
>>>RSI[4, {I:Prices CLOSE}][2007-07-06] = 0.0000
>>>RSI[4, {I:Prices CLOSE}][2007-07-09] = 0.0000*
>>>RSI[4, {I:Prices CLOSE}][2007-07-10] = 58.0973
>>>RSI[4, {I:Prices CLOSE}][2007-07-11] = 54.0117
>>>RSI[4, {I:Prices CLOSE}][2007-07-12] = 74.2946
>>>RSI[4, {I:Prices CLOSE}][2007-07-13] = 77.6875
>>>RSI[4, {I:Prices CLOSE}][2007-07-16] = 93.5724
>>>
>>>I am getting and RSI of 0 form many days so we are creating a buy signal
>>>when we should not....are you experiencing this in your output?
>>>
>>>On Thu, Aug 6, 2009 at 9:34 AM, Robert A. Schmied <ra...@ac...> wrote:
>>>
>>>
>>>
>>
>>< big snip >>
>>
>>i'm getting 1.00 for those dates --- something is amiss somewhere
>>
>>ras
>>
>>
>>
>>% ./display_indicator.pl --start 20070628 --end 20070905 I:RSI ^NDX '4'
>>
>>Indicator I:RSI has 1 value ... all values selected
>> I:RSI/1 <=> RSI[4, { I:Prices CLOSE}]
>>
>> timeframe day, time periods 880 .. 927
>>Calculating indicator ...
>>display_indicator.pl: interval: 880 .. 927
>>RSI[4, { I:Prices CLOSE}][2007-06-28] = 62.4393
>>RSI[4, { I:Prices CLOSE}][2007-06-29] = 82.6154
>>RSI[4, { I:Prices CLOSE}][2007-07-02] = 97.1198
>>RSI[4, { I:Prices CLOSE}][2007-07-03] = 96.0195
>>RSI[4, { I:Prices CLOSE}][2007-07-05] = 1.0000
>>RSI[4, { I:Prices CLOSE}][2007-07-06] = 1.0000
>>RSI[4, { I:Prices CLOSE}][2007-07-09] = 1.0000
>>RSI[4, { I:Prices CLOSE}][2007-07-10] = 58.0973
>>RSI[4, { I:Prices CLOSE}][2007-07-11] = 54.0117
>>RSI[4, { I:Prices CLOSE}][2007-07-12] = 74.2946
<snip>
|
|
From: Thomas W. <we...@ms...> - 2009-08-06 16:16:06
|
<!DOCTYPE html PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN">
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<head>
<meta content="text/html;charset=ISO-8859-1" http-equiv="Content-Type">
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RSI is very trivial. You should be able to compare the code easily with
a definition.<br>
<br>
$self->{'args'}->get_arg_values($calc, $n, 2) is the value of the
input data series (by default close of the equity) at day $n<br>
$self->{'args'}->get_arg_values($calc, $i, 1) is the length of
the RSI<br>
$calc->indicators->set($name, $i, $rsi) stores the value of the
RSI at day $i<br>
<br>
<br>
sub calculate {<br>
my ($self, $calc, $i) = @_;<br>
my $name = $self->get_name;<br>
my $sum_of_won_points = 0;<br>
my $sum_of_lost_points = 0;<br>
my $rs = 0;<br>
my $rsi = 0;<br>
<br>
if (! $self->{'args'}->is_constant(1)) {<br>
$self->remove_volatile_dependencies();<br>
$self->add_volatile_prices_dependency($self->{'args'}->get_arg_values($calc,
$i, 1));<br>
}<br>
<br>
return if ($calc->indicators->is_available($name, $i));<br>
return if (! $self->check_dependencies($calc, $i));<br>
<br>
my $nb = $self->{'args'}->get_arg_values($calc, $i, 1);<br>
my $prices = $calc->prices;<br>
my $diff = 0;<br>
for(my $n = $i - $nb + 1; $n <= $i; $n++) <br>
{<br>
$diff = $self->{'args'}->get_arg_values($calc, $n, 2) - <br>
$self->{'args'}->get_arg_values($calc, $n-1, 2);<br>
# Add the won points<br>
if ($diff > 0) {<br>
$sum_of_won_points += $diff;<br>
}<br>
# Add the lost points<br>
if ($diff < 0) {<br>
$sum_of_lost_points -= $diff;<br>
}<br>
}<br>
<br>
if ($sum_of_lost_points != 0) {<br>
$rs = $sum_of_won_points / $sum_of_lost_points;<br>
}<br>
<br>
$rsi = 100 - (100 / (1 + $rs));<br>
$calc->indicators->set($name, $i, $rsi);<br>
}<br>
<br>
<br>
Greg Jessup wrote:
<blockquote
cite="mid:a0c...@ma..."
type="cite">OH Great! This is going to be a blast to debug. Seem like
RSI is broken. Anyone out there an expert on the RSI.pm?<br>
<br>
<div class="gmail_quote">On Thu, Aug 6, 2009 at 9:58 AM, Robert A.
Schmied <span dir="ltr"><<a moz-do-not-send="true"
href="mailto:ra...@ac...">ra...@ac...</a>></span> wrote:<br>
<blockquote class="gmail_quote"
style="border-left: 1px solid rgb(204, 204, 204); margin: 0pt 0pt 0pt 0.8ex; padding-left: 1ex;">
<div class="im">Greg Jessup wrote:<br>
<blockquote class="gmail_quote"
style="border-left: 1px solid rgb(204, 204, 204); margin: 0pt 0pt 0pt 0.8ex; padding-left: 1ex;">
Robert...I need to digest everything you sent..but I may have found the<br>
culprit<br>
<br>
Run this<br>
<br>
./display_indicator.pl --start 20070628 --end 20070905 I:RSI ^NDX '4'<br>
<br>
RSI[4, {I:Prices CLOSE}][2007-06-28] = 62.4393<br>
RSI[4, {I:Prices CLOSE}][2007-06-29] = 82.6154<br>
RSI[4, {I:Prices CLOSE}][2007-07-02] = 97.1198<br>
RSI[4, {I:Prices CLOSE}][2007-07-03] = 96.0195<br>
*RSI[4, {I:Prices CLOSE}][2007-07-05] = 0.0000<br>
RSI[4, {I:Prices CLOSE}][2007-07-06] = 0.0000<br>
RSI[4, {I:Prices CLOSE}][2007-07-09] = 0.0000*<br>
RSI[4, {I:Prices CLOSE}][2007-07-10] = 58.0973<br>
RSI[4, {I:Prices CLOSE}][2007-07-11] = 54.0117<br>
RSI[4, {I:Prices CLOSE}][2007-07-12] = 74.2946<br>
RSI[4, {I:Prices CLOSE}][2007-07-13] = 77.6875<br>
RSI[4, {I:Prices CLOSE}][2007-07-16] = 93.5724<br>
<br>
I am getting and RSI of 0 form many days so we are creating a buy signal<br>
when we should not....are you experiencing this in your output?<br>
<br>
On Thu, Aug 6, 2009 at 9:34 AM, Robert A. Schmied <<a
moz-do-not-send="true" href="mailto:ra...@ac..." target="_blank">ra...@ac...</a>>
wrote:<br>
<br>
<br>
</blockquote>
<br>
<br>
</div>
< big snip >><br>
<br>
i'm getting 1.00 for those dates --- something is amiss somewhere<br>
<br>
ras<br>
<br>
<br>
<br>
% ./display_indicator.pl --start 20070628 --end 20070905 I:RSI ^NDX
'4'
<div class="im"><br>
<br>
Indicator I:RSI has 1 value ... all values selected<br>
</div>
I:RSI/1 <=> RSI[4, { I:Prices CLOSE}]<br>
<br>
timeframe day, time periods 880 .. 927<br>
Calculating indicator ...<br>
display_indicator.pl: interval: 880 .. 927
<div class="im"><br>
RSI[4, { I:Prices CLOSE}][2007-06-28] = 62.4393<br>
RSI[4, { I:Prices CLOSE}][2007-06-29] = 82.6154<br>
RSI[4, { I:Prices CLOSE}][2007-07-02] = 97.1198<br>
RSI[4, { I:Prices CLOSE}][2007-07-03] = 96.0195<br>
</div>
RSI[4, { I:Prices CLOSE}][2007-07-05] = 1.0000<br>
RSI[4, { I:Prices CLOSE}][2007-07-06] = 1.0000<br>
RSI[4, { I:Prices CLOSE}][2007-07-09] = 1.0000
<div class="im"><br>
RSI[4, { I:Prices CLOSE}][2007-07-10] = 58.0973<br>
RSI[4, { I:Prices CLOSE}][2007-07-11] = 54.0117<br>
RSI[4, { I:Prices CLOSE}][2007-07-12] = 74.2946<br>
RSI[4, { I:Prices CLOSE}][2007-07-13] = 77.6875<br>
RSI[4, { I:Prices CLOSE}][2007-07-16] = 93.5724<br>
</div>
RSI[4, { I:Prices CLOSE}][2007-07-17] = 93.7254<br>
RSI[4, { I:Prices CLOSE}][2007-07-18] = 75.8148<br>
RSI[4, { I:Prices CLOSE}][2007-07-19] = 78.3710<br>
RSI[4, { I:Prices CLOSE}][2007-07-20] = 57.9106<br>
RSI[4, { I:Prices CLOSE}][2007-07-23] = 42.5076<br>
RSI[4, { I:Prices CLOSE}][2007-07-24] = 22.6189<br>
RSI[4, { I:Prices CLOSE}][2007-07-25] = 17.2689<br>
RSI[4, { I:Prices CLOSE}][2007-07-26] = 15.4709<br>
RSI[4, { I:Prices CLOSE}][2007-07-27] = 10.4520<br>
RSI[4, { I:Prices CLOSE}][2007-07-30] = 34.0178<br>
RSI[4, { I:Prices CLOSE}][2007-07-31] = 15.4853<br>
RSI[4, { I:Prices CLOSE}][2007-08-01] = 29.8525<br>
RSI[4, { I:Prices CLOSE}][2007-08-02] = 55.5284<br>
RSI[4, { I:Prices CLOSE}][2007-08-03] = 27.7541<br>
RSI[4, { I:Prices CLOSE}][2007-08-06] = 59.4222<br>
RSI[4, { I:Prices CLOSE}][2007-08-07] = 57.3509<br>
RSI[4, { I:Prices CLOSE}][2007-08-08] = 58.8769<br>
RSI[4, { I:Prices CLOSE}][2007-08-09] = 57.6240<br>
RSI[4, { I:Prices CLOSE}][2007-08-10] = 34.6433<br>
RSI[4, { I:Prices CLOSE}][2007-08-13] = 35.9885<br>
RSI[4, { I:Prices CLOSE}][2007-08-14] = 8.8657<br>
RSI[4, { I:Prices CLOSE}][2007-08-15] = 10.2567<br>
RSI[4, { I:Prices CLOSE}][2007-08-16] = 9.4989<br>
RSI[4, { I:Prices CLOSE}][2007-08-17] = 32.5853<br>
RSI[4, { I:Prices CLOSE}][2007-08-20] = 45.9536<br>
RSI[4, { I:Prices CLOSE}][2007-08-21] = 77.5110<br>
RSI[4, { I:Prices CLOSE}][2007-08-22] = 1.0000<br>
RSI[4, { I:Prices CLOSE}][2007-08-23] = 90.7526<br>
RSI[4, { I:Prices CLOSE}][2007-08-24] = 93.7396<br>
RSI[4, { I:Prices CLOSE}][2007-08-27] = 74.6422<br>
RSI[4, { I:Prices CLOSE}][2007-08-28] = 30.5604<br>
RSI[4, { I:Prices CLOSE}][2007-08-29] = 57.7997<br>
RSI[4, { I:Prices CLOSE}][2007-08-30] = 50.9356<br>
RSI[4, { I:Prices CLOSE}][2007-08-31] = 64.9702<br>
RSI[4, { I:Prices CLOSE}][2007-09-04] = 1.0000<br>
RSI[4, { I:Prices CLOSE}][2007-09-05] = 71.5328<br>
<br>
<br>
<br>
</blockquote>
</div>
<br>
</blockquote>
</body>
</html>
|
|
From: Greg J. <gr...@gr...> - 2009-08-06 16:04:59
|
OH Great! This is going to be a blast to debug. Seem like RSI is broken.
Anyone out there an expert on the RSI.pm?
On Thu, Aug 6, 2009 at 9:58 AM, Robert A. Schmied <ra...@ac...> wrote:
> Greg Jessup wrote:
>
>> Robert...I need to digest everything you sent..but I may have found the
>> culprit
>>
>> Run this
>>
>> ./display_indicator.pl --start 20070628 --end 20070905 I:RSI ^NDX '4'
>>
>> RSI[4, {I:Prices CLOSE}][2007-06-28] = 62.4393
>> RSI[4, {I:Prices CLOSE}][2007-06-29] = 82.6154
>> RSI[4, {I:Prices CLOSE}][2007-07-02] = 97.1198
>> RSI[4, {I:Prices CLOSE}][2007-07-03] = 96.0195
>> *RSI[4, {I:Prices CLOSE}][2007-07-05] = 0.0000
>> RSI[4, {I:Prices CLOSE}][2007-07-06] = 0.0000
>> RSI[4, {I:Prices CLOSE}][2007-07-09] = 0.0000*
>> RSI[4, {I:Prices CLOSE}][2007-07-10] = 58.0973
>> RSI[4, {I:Prices CLOSE}][2007-07-11] = 54.0117
>> RSI[4, {I:Prices CLOSE}][2007-07-12] = 74.2946
>> RSI[4, {I:Prices CLOSE}][2007-07-13] = 77.6875
>> RSI[4, {I:Prices CLOSE}][2007-07-16] = 93.5724
>>
>> I am getting and RSI of 0 form many days so we are creating a buy signal
>> when we should not....are you experiencing this in your output?
>>
>> On Thu, Aug 6, 2009 at 9:34 AM, Robert A. Schmied <ra...@ac...> wrote:
>>
>>
>>
>
> < big snip >>
>
> i'm getting 1.00 for those dates --- something is amiss somewhere
>
> ras
>
>
>
> % ./display_indicator.pl --start 20070628 --end 20070905 I:RSI ^NDX '4'
>
> Indicator I:RSI has 1 value ... all values selected
> I:RSI/1 <=> RSI[4, { I:Prices CLOSE}]
>
> timeframe day, time periods 880 .. 927
> Calculating indicator ...
> display_indicator.pl: interval: 880 .. 927
> RSI[4, { I:Prices CLOSE}][2007-06-28] = 62.4393
> RSI[4, { I:Prices CLOSE}][2007-06-29] = 82.6154
> RSI[4, { I:Prices CLOSE}][2007-07-02] = 97.1198
> RSI[4, { I:Prices CLOSE}][2007-07-03] = 96.0195
> RSI[4, { I:Prices CLOSE}][2007-07-05] = 1.0000
> RSI[4, { I:Prices CLOSE}][2007-07-06] = 1.0000
> RSI[4, { I:Prices CLOSE}][2007-07-09] = 1.0000
> RSI[4, { I:Prices CLOSE}][2007-07-10] = 58.0973
> RSI[4, { I:Prices CLOSE}][2007-07-11] = 54.0117
> RSI[4, { I:Prices CLOSE}][2007-07-12] = 74.2946
> RSI[4, { I:Prices CLOSE}][2007-07-13] = 77.6875
> RSI[4, { I:Prices CLOSE}][2007-07-16] = 93.5724
> RSI[4, { I:Prices CLOSE}][2007-07-17] = 93.7254
> RSI[4, { I:Prices CLOSE}][2007-07-18] = 75.8148
> RSI[4, { I:Prices CLOSE}][2007-07-19] = 78.3710
> RSI[4, { I:Prices CLOSE}][2007-07-20] = 57.9106
> RSI[4, { I:Prices CLOSE}][2007-07-23] = 42.5076
> RSI[4, { I:Prices CLOSE}][2007-07-24] = 22.6189
> RSI[4, { I:Prices CLOSE}][2007-07-25] = 17.2689
> RSI[4, { I:Prices CLOSE}][2007-07-26] = 15.4709
> RSI[4, { I:Prices CLOSE}][2007-07-27] = 10.4520
> RSI[4, { I:Prices CLOSE}][2007-07-30] = 34.0178
> RSI[4, { I:Prices CLOSE}][2007-07-31] = 15.4853
> RSI[4, { I:Prices CLOSE}][2007-08-01] = 29.8525
> RSI[4, { I:Prices CLOSE}][2007-08-02] = 55.5284
> RSI[4, { I:Prices CLOSE}][2007-08-03] = 27.7541
> RSI[4, { I:Prices CLOSE}][2007-08-06] = 59.4222
> RSI[4, { I:Prices CLOSE}][2007-08-07] = 57.3509
> RSI[4, { I:Prices CLOSE}][2007-08-08] = 58.8769
> RSI[4, { I:Prices CLOSE}][2007-08-09] = 57.6240
> RSI[4, { I:Prices CLOSE}][2007-08-10] = 34.6433
> RSI[4, { I:Prices CLOSE}][2007-08-13] = 35.9885
> RSI[4, { I:Prices CLOSE}][2007-08-14] = 8.8657
> RSI[4, { I:Prices CLOSE}][2007-08-15] = 10.2567
> RSI[4, { I:Prices CLOSE}][2007-08-16] = 9.4989
> RSI[4, { I:Prices CLOSE}][2007-08-17] = 32.5853
> RSI[4, { I:Prices CLOSE}][2007-08-20] = 45.9536
> RSI[4, { I:Prices CLOSE}][2007-08-21] = 77.5110
> RSI[4, { I:Prices CLOSE}][2007-08-22] = 1.0000
> RSI[4, { I:Prices CLOSE}][2007-08-23] = 90.7526
> RSI[4, { I:Prices CLOSE}][2007-08-24] = 93.7396
> RSI[4, { I:Prices CLOSE}][2007-08-27] = 74.6422
> RSI[4, { I:Prices CLOSE}][2007-08-28] = 30.5604
> RSI[4, { I:Prices CLOSE}][2007-08-29] = 57.7997
> RSI[4, { I:Prices CLOSE}][2007-08-30] = 50.9356
> RSI[4, { I:Prices CLOSE}][2007-08-31] = 64.9702
> RSI[4, { I:Prices CLOSE}][2007-09-04] = 1.0000
> RSI[4, { I:Prices CLOSE}][2007-09-05] = 71.5328
>
>
>
>
|
|
From: Robert A. S. <ra...@ac...> - 2009-08-06 16:00:01
|
Greg Jessup wrote:
> Robert...I need to digest everything you sent..but I may have found the
> culprit
>
> Run this
>
> ./display_indicator.pl --start 20070628 --end 20070905 I:RSI ^NDX '4'
>
> RSI[4, {I:Prices CLOSE}][2007-06-28] = 62.4393
> RSI[4, {I:Prices CLOSE}][2007-06-29] = 82.6154
> RSI[4, {I:Prices CLOSE}][2007-07-02] = 97.1198
> RSI[4, {I:Prices CLOSE}][2007-07-03] = 96.0195
> *RSI[4, {I:Prices CLOSE}][2007-07-05] = 0.0000
> RSI[4, {I:Prices CLOSE}][2007-07-06] = 0.0000
> RSI[4, {I:Prices CLOSE}][2007-07-09] = 0.0000*
> RSI[4, {I:Prices CLOSE}][2007-07-10] = 58.0973
> RSI[4, {I:Prices CLOSE}][2007-07-11] = 54.0117
> RSI[4, {I:Prices CLOSE}][2007-07-12] = 74.2946
> RSI[4, {I:Prices CLOSE}][2007-07-13] = 77.6875
> RSI[4, {I:Prices CLOSE}][2007-07-16] = 93.5724
>
> I am getting and RSI of 0 form many days so we are creating a buy signal
> when we should not....are you experiencing this in your output?
>
> On Thu, Aug 6, 2009 at 9:34 AM, Robert A. Schmied <ra...@ac...> wrote:
>
>
< big snip >>
i'm getting 1.00 for those dates --- something is amiss somewhere
ras
% ./display_indicator.pl --start 20070628 --end 20070905 I:RSI ^NDX '4'
Indicator I:RSI has 1 value ... all values selected
I:RSI/1 <=> RSI[4, { I:Prices CLOSE}]
timeframe day, time periods 880 .. 927
Calculating indicator ...
display_indicator.pl: interval: 880 .. 927
RSI[4, { I:Prices CLOSE}][2007-06-28] = 62.4393
RSI[4, { I:Prices CLOSE}][2007-06-29] = 82.6154
RSI[4, { I:Prices CLOSE}][2007-07-02] = 97.1198
RSI[4, { I:Prices CLOSE}][2007-07-03] = 96.0195
RSI[4, { I:Prices CLOSE}][2007-07-05] = 1.0000
RSI[4, { I:Prices CLOSE}][2007-07-06] = 1.0000
RSI[4, { I:Prices CLOSE}][2007-07-09] = 1.0000
RSI[4, { I:Prices CLOSE}][2007-07-10] = 58.0973
RSI[4, { I:Prices CLOSE}][2007-07-11] = 54.0117
RSI[4, { I:Prices CLOSE}][2007-07-12] = 74.2946
RSI[4, { I:Prices CLOSE}][2007-07-13] = 77.6875
RSI[4, { I:Prices CLOSE}][2007-07-16] = 93.5724
RSI[4, { I:Prices CLOSE}][2007-07-17] = 93.7254
RSI[4, { I:Prices CLOSE}][2007-07-18] = 75.8148
RSI[4, { I:Prices CLOSE}][2007-07-19] = 78.3710
RSI[4, { I:Prices CLOSE}][2007-07-20] = 57.9106
RSI[4, { I:Prices CLOSE}][2007-07-23] = 42.5076
RSI[4, { I:Prices CLOSE}][2007-07-24] = 22.6189
RSI[4, { I:Prices CLOSE}][2007-07-25] = 17.2689
RSI[4, { I:Prices CLOSE}][2007-07-26] = 15.4709
RSI[4, { I:Prices CLOSE}][2007-07-27] = 10.4520
RSI[4, { I:Prices CLOSE}][2007-07-30] = 34.0178
RSI[4, { I:Prices CLOSE}][2007-07-31] = 15.4853
RSI[4, { I:Prices CLOSE}][2007-08-01] = 29.8525
RSI[4, { I:Prices CLOSE}][2007-08-02] = 55.5284
RSI[4, { I:Prices CLOSE}][2007-08-03] = 27.7541
RSI[4, { I:Prices CLOSE}][2007-08-06] = 59.4222
RSI[4, { I:Prices CLOSE}][2007-08-07] = 57.3509
RSI[4, { I:Prices CLOSE}][2007-08-08] = 58.8769
RSI[4, { I:Prices CLOSE}][2007-08-09] = 57.6240
RSI[4, { I:Prices CLOSE}][2007-08-10] = 34.6433
RSI[4, { I:Prices CLOSE}][2007-08-13] = 35.9885
RSI[4, { I:Prices CLOSE}][2007-08-14] = 8.8657
RSI[4, { I:Prices CLOSE}][2007-08-15] = 10.2567
RSI[4, { I:Prices CLOSE}][2007-08-16] = 9.4989
RSI[4, { I:Prices CLOSE}][2007-08-17] = 32.5853
RSI[4, { I:Prices CLOSE}][2007-08-20] = 45.9536
RSI[4, { I:Prices CLOSE}][2007-08-21] = 77.5110
RSI[4, { I:Prices CLOSE}][2007-08-22] = 1.0000
RSI[4, { I:Prices CLOSE}][2007-08-23] = 90.7526
RSI[4, { I:Prices CLOSE}][2007-08-24] = 93.7396
RSI[4, { I:Prices CLOSE}][2007-08-27] = 74.6422
RSI[4, { I:Prices CLOSE}][2007-08-28] = 30.5604
RSI[4, { I:Prices CLOSE}][2007-08-29] = 57.7997
RSI[4, { I:Prices CLOSE}][2007-08-30] = 50.9356
RSI[4, { I:Prices CLOSE}][2007-08-31] = 64.9702
RSI[4, { I:Prices CLOSE}][2007-09-04] = 1.0000
RSI[4, { I:Prices CLOSE}][2007-09-05] = 71.5328
|
|
From: Greg J. <gr...@gr...> - 2009-08-06 15:42:47
|
Robert...I need to digest everything you sent..but I may have found the
culprit
Run this
./display_indicator.pl --start 20070628 --end 20070905 I:RSI ^NDX '4'
RSI[4, {I:Prices CLOSE}][2007-06-28] = 62.4393
RSI[4, {I:Prices CLOSE}][2007-06-29] = 82.6154
RSI[4, {I:Prices CLOSE}][2007-07-02] = 97.1198
RSI[4, {I:Prices CLOSE}][2007-07-03] = 96.0195
*RSI[4, {I:Prices CLOSE}][2007-07-05] = 0.0000
RSI[4, {I:Prices CLOSE}][2007-07-06] = 0.0000
RSI[4, {I:Prices CLOSE}][2007-07-09] = 0.0000*
RSI[4, {I:Prices CLOSE}][2007-07-10] = 58.0973
RSI[4, {I:Prices CLOSE}][2007-07-11] = 54.0117
RSI[4, {I:Prices CLOSE}][2007-07-12] = 74.2946
RSI[4, {I:Prices CLOSE}][2007-07-13] = 77.6875
RSI[4, {I:Prices CLOSE}][2007-07-16] = 93.5724
I am getting and RSI of 0 form many days so we are creating a buy signal
when we should not....are you experiencing this in your output?
On Thu, Aug 6, 2009 at 9:34 AM, Robert A. Schmied <ra...@ac...> wrote:
> Greg Jessup wrote:
>
>> I have continued to Look into the problem with RSI(4).
>>
>> Futher Testing of RSI(4) is giving buys on days that do not qualify for my
>> system....
>> I am running the following
>>
>> * ./display_system.pl SY:Generic SPY {S:G:And {S:Generic:Below {I:RSI
>> 4}
>> 25} {S:G:Above {I:Prices CLOSE} {I:SMA 200} } }*
>> **
>> *
>> output*
>> Testing system Generic[{S:G:And {S:G:Below {I:RSI 4 {I:Prices CLOSE}} 25}
>> {S:G:Above {I:Prices CLOSE} {I:SMA 200 {I:Prices CLOSE}}}}] ...
>> [Date] = Generic[{S:G:And {S:G:Below {I:RSI 4 {I:Prices CLOSE}} 25}
>> {S:G:Above {I:Prices CLOSE} {I:SMA 200 {I:Prices CLOSE}}}}]
>> [2007-09-10] = long
>> [2007-09-25] = long
>> [2007-10-16] = long
>> [2007-10-18] = long
>> [2007-10-19] = long
>> [2007-10-22] = long
>> [2007-11-30] = long
>> [2007-12-21] = long
>> [2007-12-24] = long
>> [2007-12-26] = long
>> [2008-05-15] = long
>> [2008-05-16] = long
>> [2008-05-19] = long
>> *[2009-06-02] = long (example)*
>> [2009-06-15] = long
>> [2009-06-16] = long
>> [2009-06-17] = long
>> [2009-06-18] = long
>> [2009-07-06] = long
>> [2009-07-07] = long
>> [2009-07-08] = long
>> [2009-07-09] = long
>> [2009-07-10] = long
>> [2009-08-04] = long
>> Taking June 3rd as an example....You can clearly see from the Yahoo
>> Finance
>> Chart Attached that RSI is well above 25 at 61.03, however GT still
>> creates
>> a long position.
>> Can anyone point a finger as to why?
>>
>> Thanks in Advance....
>>
>> -Greg
>>
>>
>>
>>
>>
>>
>>
>> On Thu, Aug 6, 2009 at 2:14 AM, Greg Jessup <gr...@gr...> wrote:
>>
>>
>> Either I am doing something wrong or RSI Indicators are way off.
>>> I was testing for RSI(4) < 25.
>>>
>>> ./display_system.pl SY:Generic SPY { S:G:Below {I:RSI 4} 25 }
>>>
>>> If any of you have time, can you run this, and then bring up a chart in
>>> finance.yahoo.com and set the rsi(4).
>>> For me, SPY is printing tons of dates where RSI is well above 25....
>>>
>>> Thanks,
>>>
>>> Greg
>>>
>>> example output from display_system
>>>
>>> [2009-04-03] = long
>>> [2009-04-15] = long 1833
>>> [2009-04-27] = long 1841
>>> [2009-05-08] = long 1850
>>> [2009-05-22] = long 1860
>>> [2009-06-10] = long 1872
>>> [2009-06-11] = long 1873
>>> [2009-06-17] = long 1877
>>> [2009-06-18] = long 1878
>>> [2009-06-19] = long 1879
>>> [2009-06-22] = long 1880
>>> [2009-06-23] = long 1881
>>> [2009-06-24] = long 1882
>>> [2009-07-01] = long 1887
>>> [2009-07-02] = long 1888
>>> [2009-07-06] = long 1889
>>> [2009-07-07] = long 1890
>>> [2009-07-08] = long 1891
>>> [2009-07-20] = long 1899
>>> [2009-07-21] = long 1900
>>>
>>>
>>>
>>
>>
>> ------------------------------------------------------------------------
>>
>>
>
> you want a graphic directive to chart the rsi indicator curve {I:RSI 4}
> like in the attached image
>
> graphic.pl ^NDX --start '2009-05-04' --end '2009-08-01' -out
> graphs/^NDXx.png \
> --add=New-Zone'(50)' \
> --add=curve'( I:RSI 4, red )' \
> --add=Switch-Zone'(0)' \
> --add=Curve'( I:SMA 5, red )' \
> --add=Curve'( I:SMA 200, darkgreen )'
>
>
> you want display_indicator.pl to ouput the rsi indicator curve
> {I:RSI 4} values for other purposes ...
>
> you want display_signal.pl to output the signal state of { S:G:Below {I:RSI
> 4} 25 }
>
>
> ras
>
> ps -- your tested system with ^ndx. if there are only one or two signals
> that seem to violate
> the constraints it is likely due to rounding and slight data differences.
> especially when
> using 'composite' data like RSI. the major source of differences are due to
> the initial
> values used. lots of discussion on the devel list ... on the other hand if
> there are lots
> of discrepancies then there's a problem with the sys-sig-indic.
>
> % ./display_system.pl SY:Generic ^NDX \
> '{ S:G:And { S:G:Below {I:RSI 4} 25 } \
> { S:G:Above {I:Prices CLOSE} {I:SMA 200} } \
> }' \
>
> Testing system Generic[{ S:G:And { S:G:Below { I:RSI 4 { I:Prices CLOSE}}
> 25} { S:G:Above { I:Prices CLOSE} { I:SMA 200 { I:Prices CLOSE}}}}] ...
> [Date] = Generic[{ S:G:And { S:G:Below { I:RSI 4 { I:Prices CLOSE}} 25} {
> S:G:Above { I:Prices CLOSE} { I:SMA 200 { I:Prices CLOSE}}}}]
> [2007-07-24] = long
> [2007-07-25] = long
> [2007-07-26] = long
> [2007-07-27] = long
> [2007-07-31] = long
> .
> .
> .
> [2009-05-04] = long
> [2009-05-08] = long
> [2009-05-11] = long
> [2009-05-12] = long
> [2009-05-22] = long
> [2009-06-02] = long
> [2009-06-15] = long
> [2009-06-16] = long
> [2009-06-17] = long
> [2009-06-18] = long
> [2009-06-29] = long
> [2009-07-02] = long
> [2009-07-06] = long
> [2009-07-07] = long
> [2009-07-08] = long
> [2009-07-09] = long
> [2009-07-13] = long
> [2009-07-14] = long
> [2009-07-15] = long
> [2009-07-16] = long
> [2009-07-17] = long
> [2009-07-20] = long
> [2009-07-21] = long
> [2009-07-22] = long
> [2009-07-23] = long
>
> -- ras
>
|
|
From: Robert A. S. <ra...@ac...> - 2009-08-06 15:36:10
|
Greg Jessup wrote:
> I have continued to Look into the problem with RSI(4).
>
> Futher Testing of RSI(4) is giving buys on days that do not qualify for my
> system....
> I am running the following
>
> * ./display_system.pl SY:Generic SPY {S:G:And {S:Generic:Below {I:RSI 4}
> 25} {S:G:Above {I:Prices CLOSE} {I:SMA 200} } }*
> **
> *
> output*
> Testing system Generic[{S:G:And {S:G:Below {I:RSI 4 {I:Prices CLOSE}} 25}
> {S:G:Above {I:Prices CLOSE} {I:SMA 200 {I:Prices CLOSE}}}}] ...
> [Date] = Generic[{S:G:And {S:G:Below {I:RSI 4 {I:Prices CLOSE}} 25}
> {S:G:Above {I:Prices CLOSE} {I:SMA 200 {I:Prices CLOSE}}}}]
> [2007-09-10] = long
> [2007-09-25] = long
> [2007-10-16] = long
> [2007-10-18] = long
> [2007-10-19] = long
> [2007-10-22] = long
> [2007-11-30] = long
> [2007-12-21] = long
> [2007-12-24] = long
> [2007-12-26] = long
> [2008-05-15] = long
> [2008-05-16] = long
> [2008-05-19] = long
> *[2009-06-02] = long (example)*
> [2009-06-15] = long
> [2009-06-16] = long
> [2009-06-17] = long
> [2009-06-18] = long
> [2009-07-06] = long
> [2009-07-07] = long
> [2009-07-08] = long
> [2009-07-09] = long
> [2009-07-10] = long
> [2009-08-04] = long
> Taking June 3rd as an example....You can clearly see from the Yahoo Finance
> Chart Attached that RSI is well above 25 at 61.03, however GT still creates
> a long position.
> Can anyone point a finger as to why?
>
> Thanks in Advance....
>
> -Greg
>
>
>
>
>
>
>
> On Thu, Aug 6, 2009 at 2:14 AM, Greg Jessup <gr...@gr...> wrote:
>
>
>>Either I am doing something wrong or RSI Indicators are way off.
>>I was testing for RSI(4) < 25.
>>
>>./display_system.pl SY:Generic SPY { S:G:Below {I:RSI 4} 25 }
>>
>>If any of you have time, can you run this, and then bring up a chart in
>>finance.yahoo.com and set the rsi(4).
>>For me, SPY is printing tons of dates where RSI is well above 25....
>>
>>Thanks,
>>
>>Greg
>>
>>example output from display_system
>>
>>[2009-04-03] = long
>>[2009-04-15] = long 1833
>>[2009-04-27] = long 1841
>>[2009-05-08] = long 1850
>>[2009-05-22] = long 1860
>>[2009-06-10] = long 1872
>>[2009-06-11] = long 1873
>>[2009-06-17] = long 1877
>>[2009-06-18] = long 1878
>>[2009-06-19] = long 1879
>>[2009-06-22] = long 1880
>>[2009-06-23] = long 1881
>>[2009-06-24] = long 1882
>>[2009-07-01] = long 1887
>>[2009-07-02] = long 1888
>>[2009-07-06] = long 1889
>>[2009-07-07] = long 1890
>>[2009-07-08] = long 1891
>>[2009-07-20] = long 1899
>>[2009-07-21] = long 1900
>>
>>
>
>
>
> ------------------------------------------------------------------------
>
you want a graphic directive to chart the rsi indicator curve {I:RSI 4}
like in the attached image
graphic.pl ^NDX --start '2009-05-04' --end '2009-08-01' -out graphs/^NDXx.png \
--add=New-Zone'(50)' \
--add=curve'( I:RSI 4, red )' \
--add=Switch-Zone'(0)' \
--add=Curve'( I:SMA 5, red )' \
--add=Curve'( I:SMA 200, darkgreen )'
you want display_indicator.pl to ouput the rsi indicator curve
{I:RSI 4} values for other purposes ...
you want display_signal.pl to output the signal state of { S:G:Below {I:RSI 4} 25 }
ras
ps -- your tested system with ^ndx. if there are only one or two signals that seem to violate
the constraints it is likely due to rounding and slight data differences. especially when
using 'composite' data like RSI. the major source of differences are due to the initial
values used. lots of discussion on the devel list ... on the other hand if there are lots
of discrepancies then there's a problem with the sys-sig-indic.
% ./display_system.pl SY:Generic ^NDX \
'{ S:G:And { S:G:Below {I:RSI 4} 25 } \
{ S:G:Above {I:Prices CLOSE} {I:SMA 200} } \
}' \
Testing system Generic[{ S:G:And { S:G:Below { I:RSI 4 { I:Prices CLOSE}} 25} { S:G:Above { I:Prices CLOSE} { I:SMA 200 { I:Prices CLOSE}}}}] ...
[Date] = Generic[{ S:G:And { S:G:Below { I:RSI 4 { I:Prices CLOSE}} 25} { S:G:Above { I:Prices CLOSE} { I:SMA 200 { I:Prices CLOSE}}}}]
[2007-07-24] = long
[2007-07-25] = long
[2007-07-26] = long
[2007-07-27] = long
[2007-07-31] = long
.
.
.
[2009-05-04] = long
[2009-05-08] = long
[2009-05-11] = long
[2009-05-12] = long
[2009-05-22] = long
[2009-06-02] = long
[2009-06-15] = long
[2009-06-16] = long
[2009-06-17] = long
[2009-06-18] = long
[2009-06-29] = long
[2009-07-02] = long
[2009-07-06] = long
[2009-07-07] = long
[2009-07-08] = long
[2009-07-09] = long
[2009-07-13] = long
[2009-07-14] = long
[2009-07-15] = long
[2009-07-16] = long
[2009-07-17] = long
[2009-07-20] = long
[2009-07-21] = long
[2009-07-22] = long
[2009-07-23] = long
-- ras
|
|
From: Robert A. S. <ra...@ac...> - 2009-08-06 15:05:05
|
Greg Jessup wrote:
> Either I am doing something wrong or RSI Indicators are way off.
> I was testing for RSI(4) < 25.
>
> ./display_system.pl SY:Generic SPY { S:G:Below {I:RSI 4} 25 }
>
> If any of you have time, can you run this, and then bring up a chart in
> finance.yahoo.com and set the rsi(4).
> For me, SPY is printing tons of dates where RSI is well above 25....
>
> Thanks,
>
> Greg
>
> example output from display_system
>
> [2009-04-03] = long
> [2009-04-15] = long 1833
> [2009-04-27] = long 1841
> [2009-05-08] = long 1850
> [2009-05-22] = long 1860
> [2009-06-10] = long 1872
> [2009-06-11] = long 1873
> [2009-06-17] = long 1877
> [2009-06-18] = long 1878
> [2009-06-19] = long 1879
> [2009-06-22] = long 1880
> [2009-06-23] = long 1881
> [2009-06-24] = long 1882
> [2009-07-01] = long 1887
> [2009-07-02] = long 1888
> [2009-07-06] = long 1889
> [2009-07-07] = long 1890
> [2009-07-08] = long 1891
> [2009-07-20] = long 1899
> [2009-07-21] = long 1900
>
methinks ./display_system.pl SY:Generic SPY { S:G:Below {I:RSI 4} 25 }
1) needs another signal for the 'go short signal'
2) outputs the number of shares ???
3) might better be ./display_signal.pl S:G:Below SPY '{I:RSI 4} 25'
4) and variations of ./display_indicator.pl I:RSI SPY '4'
but here's what i find here (don't have spy will use ^NDX)
./display_system.pl SY:Generic ^NDX '{ S:G:Below {I:RSI 4} 25 }'
Testing system Generic[{ S:G:Below { I:RSI 4 { I:Prices CLOSE}} 25}] ...
[Date] = Generic[{ S:G:Below { I:RSI 4 { I:Prices CLOSE}} 25}]
[2007-07-24] = long
[2007-07-25] = long
[2007-07-26] = long
[2007-07-27] = long
[2007-07-31] = long
[2007-08-14] = long
[2007-08-15] = long
[2007-08-16] = long
[2007-08-22] = long
[2007-09-04] = long
% ./display_system.pl SY:Generic ^NDX '{ S:G:Below {I:RSI 4} 25 } { S:G:False }'
Testing system Generic[{ S:G:Below { I:RSI 4 { I:Prices CLOSE}} 25}, { S:G:False}] ...
[Date] = Generic[{ S:G:Below { I:RSI 4 { I:Prices CLOSE}} 25}, { S:G:False}]
[2007-07-24] = long
[2007-07-25] = long
[2007-07-26] = long
[2007-07-27] = long
[2007-07-31] = long
[2007-08-14] = long
[2007-08-15] = long
[2007-08-16] = long
[2007-08-22] = long
[2007-09-04] = long
[2007-09-10] = long
i'm not seeing the numeric values you show ...
also with only a valid short signal ...
% ./display_system.pl SY:Generic ^NDX '{ S:G:False } { S:G:Below {I:RSI 4} 25 }'
Testing system Generic[{ S:G:False}, { S:G:Below { I:RSI 4 { I:Prices CLOSE}} 25}] ...
[Date] = Generic[{ S:G:False}, { S:G:Below { I:RSI 4 { I:Prices CLOSE}} 25}]
[2007-07-24] = short
[2007-07-25] = short
[2007-07-26] = short
[2007-07-27] = short
[2007-07-31] = short
[2007-08-14] = short
[2007-08-15] = short
[2007-08-16] = short
[2007-08-22] = short
[2007-09-04] = short
[2007-09-10] = short
now using ./display_signal.pl
% ./display_signal.pl S:G:Below ^NDX '{I:RSI 4} 25 }'
warn: Bad number of arguments given to S:Generic:Below!
got 3 expected 2 at ../GT/Signals/Generic/Below.pm line 40.
Signal 'S:G:Below' has 1 value ... all values selected
S:G:Below/1 <=> Below[{ I:RSI 4 { I:Prices CLOSE}}, 25, }]
timeframe day, time periods 1210 .. 1410
Calculating signal ...
display_signal.pl: interval: 1210 .. 1410
Below[{ I:RSI 4 { I:Prices CLOSE}}, 25, }][2008-10-17] = no
Below[{ I:RSI 4 { I:Prices CLOSE}}, 25, }][2008-10-20] = no
Below[{ I:RSI 4 { I:Prices CLOSE}}, 25, }][2008-10-21] = no
Below[{ I:RSI 4 { I:Prices CLOSE}}, 25, }][2008-10-22] = no
Below[{ I:RSI 4 { I:Prices CLOSE}}, 25, }][2008-10-23] = no
Below[{ I:RSI 4 { I:Prices CLOSE}}, 25, }][2008-10-24] = yes
Below[{ I:RSI 4 { I:Prices CLOSE}}, 25, }][2008-10-27] = yes
Below[{ I:RSI 4 { I:Prices CLOSE}}, 25, }][2008-10-28] = no
Below[{ I:RSI 4 { I:Prices CLOSE}}, 25, }][2008-10-29] = no
Below[{ I:RSI 4 { I:Prices CLOSE}}, 25, }][2008-10-30] = no
Below[{ I:RSI 4 { I:Prices CLOSE}}, 25, }][2008-10-31] = yes
Below[{ I:RSI 4 { I:Prices CLOSE}}, 25, }][2008-11-03] = no
Below[{ I:RSI 4 { I:Prices CLOSE}}, 25, }][2008-11-04] = no
Below[{ I:RSI 4 { I:Prices CLOSE}}, 25, }][2008-11-05] = no
Below[{ I:RSI 4 { I:Prices CLOSE}}, 25, }][2008-11-06] = yes
Below[{ I:RSI 4 { I:Prices CLOSE}}, 25, }][2008-11-07] = no
Below[{ I:RSI 4 { I:Prices CLOSE}}, 25, }][2008-11-10] = yes
Below[{ I:RSI 4 { I:Prices CLOSE}}, 25, }][2008-11-11] = yes
Below[{ I:RSI 4 { I:Prices CLOSE}}, 25, }][2008-11-12] = yes
% ./display_indicator.pl I:RSI ^NDX '4'
Indicator I:RSI has 1 value ... all values selected
I:RSI/1 <=> RSI[4, { I:Prices CLOSE}]
timeframe day, time periods 1210 .. 1410
Calculating indicator ...
display_indicator.pl: interval: 1210 .. 1410
RSI[4, { I:Prices CLOSE}][2008-10-17] = 26.9252
RSI[4, { I:Prices CLOSE}][2008-10-20] = 47.4437
RSI[4, { I:Prices CLOSE}][2008-10-21] = 60.8672
RSI[4, { I:Prices CLOSE}][2008-10-22] = 25.9813
RSI[4, { I:Prices CLOSE}][2008-10-23] = 27.1508
RSI[4, { I:Prices CLOSE}][2008-10-24] = 1.3387
RSI[4, { I:Prices CLOSE}][2008-10-27] = 1.7574
RSI[4, { I:Prices CLOSE}][2008-10-28] = 65.1777
RSI[4, { I:Prices CLOSE}][2008-10-29] = 65.6058
RSI[4, { I:Prices CLOSE}][2008-10-30] = 83.4783
RSI[4, { I:Prices CLOSE}][2008-10-31] = 1.0000
RSI[4, { I:Prices CLOSE}][2008-11-03] = 99.9194
RSI[4, { I:Prices CLOSE}][2008-11-04] = 99.9607
RSI[4, { I:Prices CLOSE}][2008-11-05] = 36.1884
RSI[4, { I:Prices CLOSE}][2008-11-06] = 24.2352
RSI[4, { I:Prices CLOSE}][2008-11-07] = 34.9497
RSI[4, { I:Prices CLOSE}][2008-11-10] = 15.8811
RSI[4, { I:Prices CLOSE}][2008-11-11] = 22.1782
ras
ps -- will look at and digest your message 5:45am momentarily -- ras
|
|
From: Greg J. <gr...@gr...> - 2009-08-06 08:15:52
|
Either I am doing something wrong or RSI Indicators are way off.
I was testing for RSI(4) < 25.
./display_system.pl SY:Generic SPY { S:G:Below {I:RSI 4} 25 }
If any of you have time, can you run this, and then bring up a chart in
finance.yahoo.com and set the rsi(4).
For me, SPY is printing tons of dates where RSI is well above 25....
Thanks,
Greg
example output from display_system
[2009-04-03] = long
[2009-04-15] = long 1833
[2009-04-27] = long 1841
[2009-05-08] = long 1850
[2009-05-22] = long 1860
[2009-06-10] = long 1872
[2009-06-11] = long 1873
[2009-06-17] = long 1877
[2009-06-18] = long 1878
[2009-06-19] = long 1879
[2009-06-22] = long 1880
[2009-06-23] = long 1881
[2009-06-24] = long 1882
[2009-07-01] = long 1887
[2009-07-02] = long 1888
[2009-07-06] = long 1889
[2009-07-07] = long 1890
[2009-07-08] = long 1891
[2009-07-20] = long 1899
[2009-07-21] = long 1900
|
|
From: Robert A. S. <ra...@ac...> - 2009-08-06 02:30:53
|
Gregory Margo wrote: > Navigating through the web site gets me to a place where there are no > archives available (http://www.geniustrader.org/wws/info/devel). > (Note the "Archive" side menu entry does not have a link.) > > So, where are the mailing list archives? > interesting -- i don't use that mechanism to access the archives, maybe because it never worked? i don't recall now the last time i visited it and what i found when i got there, but i seem to recall it was uninspiring. be aware that recently the server was upgraded and this (these) services may have been removed intentionally. fwiw i use this url for the devel archives, but there's no search capability ... http://geniustrader.org/lists/devel/index.html and http://geniustrader.org/lists/system-traders/index.html for the traders archive these urls are embedded links in the para 'Mailing lists' on the main gt web page. aloha ras |
|
From: Gregory M. <gm...@pa...> - 2009-08-06 02:14:48
|
Navigating through the web site gets me to a place where there are no archives available (http://www.geniustrader.org/wws/info/devel). (Note the "Archive" side menu entry does not have a link.) So, where are the mailing list archives? -- +++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++ Gregory H. Margo gmargo at yahoo/com, gmail/com, pacbell/net; greg at margofamily/org |
|
From: Robert A. S. <ra...@ac...> - 2009-08-04 06:40:26
|
Greg Jessup wrote:
> RAS,
> As always, thanks for the assistance.
>
> After reading the documents....I think I am still struggling with the use of
> close strategy. In this case, I want to exit if the 200 day SMA is less than
> the pervious day 200 day SMA. I have modified my script to look like
>
> ./backtest.new --system="Generic {S:G:And \
> {S:G:Above {I:Prices CLOSE} {I:SMA 200}} \
> {S:G:Above {I:SMA 200} {I:G:PeriodAgo 1 {I:SMA 200} }} } \
> * * {S:G:Below {I:SMA 200} {I:G:PeriodAgo 1 {I:SMA 200}}}"
> \ *<--- exit*
> --close-strategy="Generic" --money-management="Basic"
> --broker="NoCosts" --trade-filter="LongOnly" --full SPY
>
> Have I defined the close strategy correctly here?
aloha greg
likely a bit more than you expected, hopefully it will be helpful...
ok here's the way i like to look at these sys-sig-indic desc:
1) first off i use an editor that balances brackets not this damned email thingy
2) and i use logical indentation so i can better visualize the stanzas
--system="Generic \
{S:G:And \
{S:G:Above {I:Prices CLOSE} {I:SMA 200}} \
{S:G:Above {I:SMA 200} {I:G:PeriodAgo 1 {I:SMA 200} }} \
} \
humm i don't grok (understand) the * in your sys-sig-indic is that something
thomas has introduced that i've missed or ??? -- gonna assume you're just
trying to hi-lite something ...
my backtest help (is that your ./backtest.new ??) spits out:
% backtest.pl
./backtest.pl [ options ] <code>
./backtest.pl [ options ] <system_alias> <code>
./backtest.pl [ options ] "<full_system_name>" <code>
options: -full -verbose -html -display-trades
opt w arg: -te fn, -mm s, -tf s, -of s, -cs s, -b s, -sy s, -sto fn, -gr fn
typical opts: -start date, -end date, -timeframe tfname
how i do dislike the backtest interface! it should really be able to read
a trading system from a file like scan.pl.
-- well just use a file and cut+paste into terminal ...
greg -- the attached text file has my thinking and workout effort in
chron order -- so the final 'command line' that 'works' is at the bottom.
(the one just before is same, but in 'trading system' format)
the one leading up to it shows my analysis of the sys-sig-indics and
includes my observations and commentary
the attached graph (results from options -dis -gr graphs/gj_btsys-AAPL)
is just for interest (my backtest graph and the repo one are a bit different)
without a stop-loss close strategy the position is just buy and hold at least
for this security and this time span (1 year). and without money in the
account there's nothing to buy shares with when aapl starts up in mar-apr09.
you could 'graphic.pl' the 'systems' signals with buysellarrows or the
votingline.
--add=VotingLine( Systems::Generic \
{ put the 'go long' signal here } \
{ put the 'go short' signal here }, \
20 )
--add=BuySellArrows(Systems::Generic \
{ put the 'go long' signal here } \
{ put the 'go short' signal here )
you could also (maybe untried) mark closestrat signals the same way
--add=BuySellArrows(Systems::Generic \ <<<<==== must be called a Systems::Generic
{ put the 'close long' signal here } \ <<<---- but use the closestrats signals
{ put the 'close short' signal here ) <<<---- in these sys-sig-indic desc.
but the arrow color and apex direction will be backasswards ...
> In my opinion, more info on the close strategy would be bennificial. Real
> examples are always best, rather than hypothetical. The documentation shows
> some nice snippets, but what would be great if there were more real examles
if you can provide some text that might help you please pass it along.
(but you might find bits of this message there in the future ... ;-)
> converted from English, to code, like what we've been doing in this thead.
the devel archive is a good place to see discussions like this and similar
but one does have to work to get the info ...
you can also look at object_aliases.pod, although it is primarily discussing
object aliases the examples also show 'systems' and closestrats.
lastly -- and i'm reading between the lines here's so i might have it wrong
but i'll reiterate just in case ...
a systems (eg SY:Generic ...) and a closestrategy each define two signals.
this means two signals per systems and closestrategy -- each signal is enclosed
in its own set of curly brackets. so a very simple and useless system is:
SY:Generic { S:G:False } { S:G:True }
and an equally useless closestrat is very similar:
CS:Generic { S:G:False } { S:G:True }
a 'trading system' can only have one systems (plural intended), but a
'trading system' may have multiple closestrategy and must have at least
one closestrategy or it will operate like buy+hold.
each of the two signals in a systems and a closestrategy can get progressively
more complex using generic signal logic (and or not) to combine multiple signals.
ras
>
> -Greg
> On Mon, Aug 3, 2009 at 7:33 PM, Robert A. Schmied <ra...@ac...> wrote:
>
>
>> Greg Jessup wrote:
>>
>>
>>>Seeing a descrpency in the output from diplay_system and backtest.
>>>
>>>Trying to show this: Buy if the close is above the 200 Day SMA
>>> and
>>> 200 Day SMA is Above the the day before 200
>>>Day SMA.
>>>
>>>I have this
>>>{S:G:And {S:G:Above {I:Prices CLOSE} {I:SMA 200}}{S:G:Above{I:SMA 200}
>>>{I:G:PeriodAgo 1 {I:SMA 200}}}}
>>>
>>>If I throw this in display_system...
>>>
>>>./display_system.pl SY:Generic SPY {S:G:And {S:G:Above {I:Prices CLOSE}
>>>{I:SMA 200}}{S:G:Above{I:SMA 200} {I:G:PeriodAgo 1 {I:SMA 200}}}}
>>>.
>>>
>>>Works fine and gives me a bunch of longs..
>>>
>>>
>>>But in backtest.pl
>>>./backtest.pl --system="Generic {S:G:And {S:G:Above {I:Prices CLOSE}
>>>{I:SMA
>>>200}}{S:G:Above{I:SMA 200} {I:G:PeriodAgo 1 {I:SMA 200}}}}"
>>>--close-strategy="OppositeSignal" --money-management="Basic"
>>>--broker="NoCosts" --trade-filter="OneTrade" --full SPY
>>>
>>>It only gives me 1 trade a buy in 2003 and a sell today.
>>>
>>>Can anyones eyes see what I may be doing wrong?
>>>
>>>Thanks
>>>
>>>Greg
>>>
>>>
>>
>>systems (e.g. SY:whatever) should define two signals:
>>the first triggers orders that potentially open a new long position,
>>the second the same but for short position.
>>
>>closestrats also should define two signals, but will create orders
>>that potentially close existing positions (or might add to existing
>>positions, or partially close existing positions). the first signal
>>operates on existing long positions, the second on short positions.
>>
>>by creating your trading system (for backtest.pl) and specifying
>>cs of opposite signal you will always close any open positions
>>every bar because the short signal is always true (least that what
>>appears to be happening).
>>
>>try adding a short signal to the system.
>>
>>try reading how_to_spec+debug_a_system.pod and gt_sig-sys-desc.pod.
>>if these concepts are covered or are unclear or whatever please provide
>>feedback so they can be improved.
>>
>>
>>ras
>>
>>
>
>
|
|
From: Greg J. <gr...@gr...> - 2009-08-04 04:22:33
|
RAS,
As always, thanks for the assistance.
After reading the documents....I think I am still struggling with the use of
close strategy. In this case, I want to exit if the 200 day SMA is less than
the pervious day 200 day SMA. I have modified my script to look like
./backtest.new --system="Generic {S:G:And \
{S:G:Above {I:Prices CLOSE} {I:SMA 200}} \
{S:G:Above {I:SMA 200} {I:G:PeriodAgo 1 {I:SMA 200} }} } \
* * {S:G:Below {I:SMA 200} {I:G:PeriodAgo 1 {I:SMA 200}}}"
\ *<--- exit*
--close-strategy="Generic" --money-management="Basic"
--broker="NoCosts" --trade-filter="LongOnly" --full SPY
Have I defined the close strategy correctly here?
In my opinion, more info on the close strategy would be bennificial. Real
examples are always best, rather than hypothetical. The documentation shows
some nice snippets, but what would be great if there were more real examles
converted from English, to code, like what we've been doing in this thead.
-Greg
On Mon, Aug 3, 2009 at 7:33 PM, Robert A. Schmied <ra...@ac...> wrote:
> Greg Jessup wrote:
>
>> Seeing a descrpency in the output from diplay_system and backtest.
>>
>> Trying to show this: Buy if the close is above the 200 Day SMA
>> and
>> 200 Day SMA is Above the the day before 200
>> Day SMA.
>>
>> I have this
>> {S:G:And {S:G:Above {I:Prices CLOSE} {I:SMA 200}}{S:G:Above{I:SMA 200}
>> {I:G:PeriodAgo 1 {I:SMA 200}}}}
>>
>> If I throw this in display_system...
>>
>> ./display_system.pl SY:Generic SPY {S:G:And {S:G:Above {I:Prices CLOSE}
>> {I:SMA 200}}{S:G:Above{I:SMA 200} {I:G:PeriodAgo 1 {I:SMA 200}}}}
>> .
>>
>> Works fine and gives me a bunch of longs..
>>
>>
>> But in backtest.pl
>> ./backtest.pl --system="Generic {S:G:And {S:G:Above {I:Prices CLOSE}
>> {I:SMA
>> 200}}{S:G:Above{I:SMA 200} {I:G:PeriodAgo 1 {I:SMA 200}}}}"
>> --close-strategy="OppositeSignal" --money-management="Basic"
>> --broker="NoCosts" --trade-filter="OneTrade" --full SPY
>>
>> It only gives me 1 trade a buy in 2003 and a sell today.
>>
>> Can anyones eyes see what I may be doing wrong?
>>
>> Thanks
>>
>> Greg
>>
>>
>
> systems (e.g. SY:whatever) should define two signals:
> the first triggers orders that potentially open a new long position,
> the second the same but for short position.
>
> closestrats also should define two signals, but will create orders
> that potentially close existing positions (or might add to existing
> positions, or partially close existing positions). the first signal
> operates on existing long positions, the second on short positions.
>
> by creating your trading system (for backtest.pl) and specifying
> cs of opposite signal you will always close any open positions
> every bar because the short signal is always true (least that what
> appears to be happening).
>
> try adding a short signal to the system.
>
> try reading how_to_spec+debug_a_system.pod and gt_sig-sys-desc.pod.
> if these concepts are covered or are unclear or whatever please provide
> feedback so they can be improved.
>
>
> ras
>
>
|
|
From: GeniusTrader S. <ra...@ge...> - 2009-08-04 01:54:10
|
Author: ras
Date: 2009-08-04 01:54:04 +0200 (Tue, 04 Aug 2009)
New Revision: 691
Added:
trunk/Scripts/display_system.pl
Log:
version from exp branch
Added: trunk/Scripts/display_system.pl
===================================================================
--- trunk/Scripts/display_system.pl (rev 0)
+++ trunk/Scripts/display_system.pl 2009-08-03 23:54:04 UTC (rev 691)
@@ -0,0 +1,209 @@
+#!/usr/bin/perl -w
+
+# Copyright 2000-2002 RaphaHertzog, Fabien Fulhaber
+# This file is distributed under the terms of the General Public License
+# version 2 or (at your option) any later version.
+
+# baseline Mar 17 2006 2293 bytes
+# $Id: display_signal.pl 616 2008-04-22 01:05:45Z thomas $
+
+use lib '..';
+
+use strict;
+use vars qw($db);
+
+use GT::Prices;
+use GT::Calculator;
+use GT::Conf;
+use GT::Eval;
+use Getopt::Long;
+use GT::Tools qw(:timeframe);
+use Pod::Usage;
+
+GT::Conf::load();
+
+=head1 ./display_system.pl [ options ] <systemname> <code> [args...]
+
+=head2 Description
+
+Displays the signals generated for the system <systemname> for market
+<code> over the selected interval. A system is comprised of a long and
+a short signal which are each displayed when they trigger (printing
+'long' and 'short', respectively).
+
+=head2 Options
+
+=over 4
+
+=item --full, --start=<date>, --end=<date>, --nb-item=<nr>
+
+Determines the time interval to consider for analysis. In detail:
+
+=over
+
+=item --start=2001-1-10, --end=2002-11-17
+
+The start and end dates considered for analysis. The date needs to be in the
+format configured in ~/.gt/options and must match the timeframe selected.
+
+=item --nb-items=100
+
+The number of periods to use in the analysis.
+
+=item --full
+
+Consider all available periods.
+
+=back
+
+The periods considered are relative to the selected time frame (i.e., if timeframe
+is "day", these indicate a date; if timeframe is "week", these indicate a week;
+etc.). In GT format, use "YYYY-MM-DD" or "YYYY-MM-DD hh:mm:ss" for days (the
+latter giving intraday data), "YYYY-WW" for weeks, "YYYY/MM" for months, and
+"YYYY" for years.
+
+The interval of periods examined is determined as follows:
+
+=over
+
+=item 1 if present, use --start and --end (otherwise default to last price)
+
+=item 1 use --nb-item (from first or last, whichever has been determined),
+if present
+
+=item 1 if --full is present, use first or last price, whichever has not yet been determined
+
+=item 1 otherwise, consider a two year interval.
+
+=back
+
+The first period determined following this procedure is chosen. If additional
+options are given, these are ignored (e.g., if --start, --end, --full are given,
+--full is ignored).
+
+=item --timeframe=1min|5min|10min|15min|30min|hour|3hour|day|week|month|year
+
+The timeframe can be any of the available modules in GT/DateTime.
+
+=item --last-record
+
+Display results for the last period only. Overrides any other options given
+to determine the interval.
+
+=item --max-loaded-items
+
+Determines the number of periods (back from the last period) that are loaded
+for a given market from the data base. Care should be taken to ensure that
+these are consistent with the performed analysis. If not enough data is
+loaded to satisfy dependencies, for example, correct results cannot be obtained.
+This option is effective only for certain data base modules and ignored otherwise.
+
+=item --options=<key>=<value>
+
+A configuration option (typically given in the options file) in the
+form of a key=value pair. For example, C<< --option=DB::Text::format=0 >>
+sets the format used to parse markets via the DB::Text module to 0.
+
+=back
+
+=head2 Arguments
+
+=over 4
+
+=item <systemname>
+
+The name of the system you want to test. This can be any module under GT/Systems.
+
+=item <code>
+
+The symbol for which you wish to display the signal.
+Use whatever symbols are available in your database.
+
+=item [args...]
+
+Args are passed to the new call that will create the system.
+args is a string that specifies the signal in gt terms, spaces and other
+chars that the shell interprets will need to be quoted in some way.
+
+=back
+
+=head2 Examples
+
+ ./display_system.pl SY:G IBM {S:G:CrossOverUp {I:Prices CLOSE} {I:EMA}} {S:G:CrossOverDown {I:Prices CLOSE} {I:EMA}}
+
+A long signal is generated when Prices cross up over the EMA, while a
+short signal is generated when Prices cross down over the EMA.
+
+=cut
+
+# Get all options
+my ($change, $last_record, $tight)
+ = (0, 0, 0);
+my ($full, $nb_item, $start, $end, $timeframe, $max_loaded_items) =
+ (0, 0, '', '', 'day', -1);
+my $man = 0;
+my @options;
+Getopt::Long::Configure('require_order');
+GetOptions('full!' => \$full, 'nb-item=i' => \$nb_item,
+ "start=s" => \$start, "end=s" => \$end,
+ "max-loaded-items" => \$max_loaded_items,
+ "timeframe=s" => \$timeframe,
+ "change!" => \$change, "last-record" => \$last_record, "tight!" => \$tight,
+ "option=s" => \@options, "help!" => \$man);
+$timeframe = GT::DateTime::name_to_timeframe($timeframe);
+
+foreach (@options) {
+ my ($key, $value) = split (/=/, $_);
+ GT::Conf::set($key, $value);
+}
+
+pod2usage( -verbose => 2) if ($man);
+
+if ($last_record) {
+ $full = 0;
+ $start = '';
+ $end = '';
+ $nb_item = 1;
+}
+
+# Verify dates and adjust to timeframe, comment out if not desired
+check_dates($timeframe, $start, $end);
+
+# Create the signal according to the arguments
+my $system_module = shift || pod2usage(verbose => 1);
+my $code = shift || pod2usage(verbose => 1);
+
+if ( $code =~ /{|}|:/ ) {
+ print STDERR "$0: warning: humm i read stock code as \"$code\"\n";
+ print STDERR "that looks a bit like signal description text to me\n";
+ print STDERR "\ncommand line order is\n$0 <signal_module_name> <code> <signal_description>\n\n";
+ print STDERR "$0 [ options ] <signal_module_name> <code> <signal_description_text>\n\n";
+}
+
+my $system = create_standard_object($system_module, @ARGV);
+my $system_name = $system->get_name;
+
+my $db = create_db_object();
+
+my ($calc, $first, $last) = find_calculator($db, $code, $timeframe, $full, $start, $end, $nb_item, $max_loaded_items);
+
+# Launching the signal
+print "Testing system $system_name ...\n";
+$system->precalculate_interval($calc, $first, $last);
+
+printf "[%s] = %s\n", "Date", $system->get_name;
+
+my $prior_state = undef;
+for(my $i = $first; $i <= $last; $i++)
+{
+ my $name = $system->get_name;
+
+ if ($system->long_signal($calc, $i)) {
+ printf "[%s] = %s\n", $calc->prices->at($i)->[$DATE], 'long';
+ } elsif ($system->short_signal($calc, $i)) {
+ printf "[%s] = %s\n", $calc->prices->at($i)->[$DATE], 'short';
+ }
+}
+
+$db->disconnect;
+
|
|
From: Robert A. S. <ra...@ac...> - 2009-08-04 01:34:27
|
Greg Jessup wrote:
> Seeing a descrpency in the output from diplay_system and backtest.
>
> Trying to show this: Buy if the close is above the 200 Day SMA
> and
> 200 Day SMA is Above the the day before 200
> Day SMA.
>
> I have this
> {S:G:And {S:G:Above {I:Prices CLOSE} {I:SMA 200}}{S:G:Above{I:SMA 200}
> {I:G:PeriodAgo 1 {I:SMA 200}}}}
>
> If I throw this in display_system...
>
> ./display_system.pl SY:Generic SPY {S:G:And {S:G:Above {I:Prices CLOSE}
> {I:SMA 200}}{S:G:Above{I:SMA 200} {I:G:PeriodAgo 1 {I:SMA 200}}}}
> .
>
> Works fine and gives me a bunch of longs..
>
>
> But in backtest.pl
> ./backtest.pl --system="Generic {S:G:And {S:G:Above {I:Prices CLOSE} {I:SMA
> 200}}{S:G:Above{I:SMA 200} {I:G:PeriodAgo 1 {I:SMA 200}}}}"
> --close-strategy="OppositeSignal" --money-management="Basic"
> --broker="NoCosts" --trade-filter="OneTrade" --full SPY
>
> It only gives me 1 trade a buy in 2003 and a sell today.
>
> Can anyones eyes see what I may be doing wrong?
>
> Thanks
>
> Greg
>
systems (e.g. SY:whatever) should define two signals:
the first triggers orders that potentially open a new long position,
the second the same but for short position.
closestrats also should define two signals, but will create orders
that potentially close existing positions (or might add to existing
positions, or partially close existing positions). the first signal
operates on existing long positions, the second on short positions.
by creating your trading system (for backtest.pl) and specifying
cs of opposite signal you will always close any open positions
every bar because the short signal is always true (least that what
appears to be happening).
try adding a short signal to the system.
try reading how_to_spec+debug_a_system.pod and gt_sig-sys-desc.pod.
if these concepts are covered or are unclear or whatever please provide
feedback so they can be improved.
ras
|
|
From: Greg J. <gr...@gr...> - 2009-08-04 00:27:37
|
Seeing a descrpency in the output from diplay_system and backtest.
Trying to show this: Buy if the close is above the 200 Day SMA
and
200 Day SMA is Above the the day before 200
Day SMA.
I have this
{S:G:And {S:G:Above {I:Prices CLOSE} {I:SMA 200}}{S:G:Above{I:SMA 200}
{I:G:PeriodAgo 1 {I:SMA 200}}}}
If I throw this in display_system...
./display_system.pl SY:Generic SPY {S:G:And {S:G:Above {I:Prices CLOSE}
{I:SMA 200}}{S:G:Above{I:SMA 200} {I:G:PeriodAgo 1 {I:SMA 200}}}}
.
Works fine and gives me a bunch of longs..
But in backtest.pl
./backtest.pl --system="Generic {S:G:And {S:G:Above {I:Prices CLOSE} {I:SMA
200}}{S:G:Above{I:SMA 200} {I:G:PeriodAgo 1 {I:SMA 200}}}}"
--close-strategy="OppositeSignal" --money-management="Basic"
--broker="NoCosts" --trade-filter="OneTrade" --full SPY
It only gives me 1 trade a buy in 2003 and a sell today.
Can anyones eyes see what I may be doing wrong?
Thanks
Greg
|
|
From: Gregory M. <gm...@pa...> - 2009-08-03 21:55:01
|
On Mon, Aug 03, 2009 at 12:15:42PM -0400, Greg Jessup wrote:
> As I'm beginning to get my arms around GT...I am trying a simple backtest
> with the following.
>
> Buy when 2 day RSI < 20 and sell when Above 80
>
> I have this in my alias file.
> {S:G:Below {I:RSI 2} 20} {S:G:Above {I:RSI 2} 80 }
>
> It generates some buys and sells, but only 2 for IBM since 1/1/2002.
> Obviously...not correct.
>
> Do I have this line of code correct?
>
> Thanks,
> Greg
I came up with a backtest run with your system.
This simple setup generates 10 round trip trades in the last 100 days.
Check it over; I may be doing something incorrectly.
Here's the script I ran:
# RSI Test:
Scripts/backtest.pl \
--system="Generic {S:G:Below {I:RSI 2} 20} {S:G:Above {I:RSI 2} 80}" \
--close-strategy="OppositeSignal" \
--money-management="Basic" \
--broker="NoCosts" \
--trade-filter="LongOnly" --trade-filter="OneTrade" \
--nb-item=100 \
IBM
Here's the output I got:
## Analysis of SY:Generic {S:G:Below {I:RSI 2 {I:Prices CLOSE}} 20} {S:G:Above {I:RSI 2 {I:Prices CLOSE}} 80}|TF:LongOnly |TF:OneTrade |CS:OppositeSignal |MM:Basic
History of the portfolio :
--------------------------
Long position (0) on IBM
20090312 Buy 112 at 88.5900
20090316 Sell 112 at 91.6500
Long position (1) on IBM
20090318 Buy 111 at 89.4600
20090323 Sell 111 at 93.7000
Long position (2) on IBM
20090326 Buy 110 at 98.4700
20090417 Sell 110 at 101.1800
Long position (3) on IBM
20090421 Buy 110 at 98.4100
20090429 Sell 110 at 101.9800
Long position (4) on IBM
20090430 Buy 110 at 104.5500
20090506 Sell 110 at 105.2300
Long position (5) on IBM
20090507 Buy 110 at 104.6500
20090608 Sell 110 at 106.6400
Long position (6) on IBM
20090609 Buy 109 at 108.1500
20090626 Sell 109 at 106.5000
Long position (7) on IBM
20090701 Buy 111 at 105.0000
20090715 Sell 111 at 104.7500
Long position (8) on IBM
20090717 Buy 104 at 113.4100
20090728 Sell 104 at 116.6300
Long position (9) on IBM
20090729 Buy 101 at 116.3600
20090731 Sell 101 at 117.5600
## Global analysis (full portfolio always invested)
Analysis of the portfolio (20090311 / 20090731) :
-----------------------------------------------------
Performance : 20.5% ( 59.3%) Buy & Hold : 33.1% (104.3%) () => by year
MaxDrawDown : 1.8% B&H MaxDrawDown : 44.8%
Best performance : 20.5% Worst performance : 0.0%
Net gain : 2046.34 Gross gain : 2046.34
Trades statistics :
Number of trades : 10 Trades/Year : 25.72
Number of gains : 8 Number of losses : 2 Win. ratio : 80.0%
Max consec. win : 6 Max consec. loss : 2 Expectancy : 0.02
Average gain : 2.62% Average loss : -0.88% Avg. perf : 1.88%
Biggest gain : 4.74% Biggest loss : -1.53% Profit fac : 2.96
Sum of gains : 2253.94 Sum of losses : -207.60 Risk of ruin : 0.0%
--
+++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++
Gregory H. Margo
gmargo at yahoo/com, gmail/com, pacbell/net; greg at margofamily/org
|
|
From: Gregory M. <gm...@pa...> - 2009-08-03 20:14:05
|
On Mon, Aug 03, 2009 at 01:47:25PM -0400, Greg Jessup wrote: > Gregory, I will provide full list of parameters shortly...but can you calify > "display_system.pl"? > My version of GT does not have that file...is that something custom? display_system is only present on the exp branch at the moment. It was commited in subversion revision r634. http://www.geniustrader.org/cgi-bin/viewvc.cgi/branches/exp/Scripts/display_system.pl?view=log Off topic: what happened to the mailing list archives? -- +++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++ Gregory H. Margo gmargo at yahoo/com, gmail/com, pacbell/net; greg at margofamily/org |
|
From: Greg J. <gr...@gr...> - 2009-08-03 19:48:40
|
Gregory, I will provide full list of parameters shortly...but can you calify
"display_system.pl"?
My version of GT does not have that file...is that something custom?
On Mon, Aug 3, 2009 at 1:37 PM, Gregory Margo <gm...@pa...> wrote:
> On Mon, Aug 03, 2009 at 12:15:42PM -0400, Greg Jessup wrote:
> > As I'm beginning to get my arms around GT...I am trying a simple backtest
> > with the following.
> >
> > Buy when 2 day RSI < 20 and sell when Above 80
> >
> > I have this in my alias file.
> > {S:G:Below {I:RSI 2} 20} {S:G:Above {I:RSI 2} 80 }
> >
> > It generates some buys and sells, but only 2 for IBM since 1/1/2002.
> > Obviously...not correct.
> >
> > Do I have this line of code correct?
> >
> > Thanks,
> > Greg
> >
>
> In order to duplicate what you're trying, can you
> provide the full set of parameters that you're using?
> (backtest command line?)
>
> I tried running display_system (copied from exp branch) on this
> and it generates lots of long/short indications for the past year.
> But I'm not entirely sure how to interpret that.
>
> This the command I ran:
> Scripts/display_system.pl SY:Generic IBM {S:G:Below {I:RSI 2} 20}
> {S:G:Above {I:RSI 2} 80 }
>
> Also, why an RSI length of 2? It's very volatile.
>
> --
> +++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++
> Gregory H. Margo
> gmargo at yahoo/com, gmail/com, pacbell/net; greg at margofamily/org
>
>
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From: Gregory M. <gm...@pa...> - 2009-08-03 19:38:59
|
On Mon, Aug 03, 2009 at 12:15:42PM -0400, Greg Jessup wrote:
> As I'm beginning to get my arms around GT...I am trying a simple backtest
> with the following.
>
> Buy when 2 day RSI < 20 and sell when Above 80
>
> I have this in my alias file.
> {S:G:Below {I:RSI 2} 20} {S:G:Above {I:RSI 2} 80 }
>
> It generates some buys and sells, but only 2 for IBM since 1/1/2002.
> Obviously...not correct.
>
> Do I have this line of code correct?
>
> Thanks,
> Greg
>
In order to duplicate what you're trying, can you
provide the full set of parameters that you're using?
(backtest command line?)
I tried running display_system (copied from exp branch) on this
and it generates lots of long/short indications for the past year.
But I'm not entirely sure how to interpret that.
This the command I ran:
Scripts/display_system.pl SY:Generic IBM {S:G:Below {I:RSI 2} 20} {S:G:Above {I:RSI 2} 80 }
Also, why an RSI length of 2? It's very volatile.
--
+++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++
Gregory H. Margo
gmargo at yahoo/com, gmail/com, pacbell/net; greg at margofamily/org
|
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From: Greg J. <gr...@gr...> - 2009-08-03 18:16:57
|
As I'm beginning to get my arms around GT...I am trying a simple backtest
with the following.
Buy when 2 day RSI < 20 and sell when Above 80
I have this in my alias file.
{S:G:Below {I:RSI 2} 20} {S:G:Above {I:RSI 2} 80 }
It generates some buys and sells, but only 2 for IBM since 1/1/2002.
Obviously...not correct.
Do I have this line of code correct?
Thanks,
Greg
|
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From: Erik C. <ec...@ec...> - 2009-08-01 18:10:35
|
On 26 Jul 2009, at 02:42, Erik Colson wrote: > > On 26 Jul 2009, at 02:06, Weigert, Thomas wrote: > >> I completely forgot about this. I do now remember that you have to >> get a checkin login from Raphaël Hertzog, I believe. If I remember >> right, Robert was involved in setting this up. > > Robert or Raphaël, > > Can you sent me login info to the repo ? hmmm... I still not received info. Any chance I'll get access to the 'CPAN' branch ? -- erik |
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From: Erik C. <ec...@ec...> - 2009-08-01 18:05:48
|
On 01 Aug 2009, at 04:14, Greg Jessup wrote: > What is the current status of the CPAN branch? Is it something we > all should be testing? > Hi, I just returned from holiday at the seaside ;) The CPAN branch is not yet testable. We need some work to be finished before thinking of testing by users. These have to be done: - include the patch of PerlTrader (which is based on the trunk version). That will need some rewrite of the patch. - although this is not really needed, we should have our test template set up. This will make bug reports easier to handle as users will only have to write a failing test, keeping the developers on doing their work: solving the bugs ;) I have some time left for this week and will start with the second point (test templates). I'd be glad if anyone wants to take over the first item ;) After these I'll publish a first alpha version to cpan ;) So that should be no later than next weekend. -- erik |
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