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Cumulative RSI signal
Source: https://fxcodebase.com/code/viewtopic.php?f=29&t=1341
Forum: 29 · Topic 1341 · 1 post(s)
Cumulative RSI signal
Nikolay.Gekht · Tue Jun 15, 2010 9:17 am
The signal is described in Chapter 9 of Trading Strategies That Work by Larry Connors and Cesar Alvarez.
The signal logic is the following: 1) Trade when the price is over 200 moving average 2) Enter long when Cumulative RSI(2, 2) crosses below 35 3) Exit when RSI(2) crosses above 65.
MA parameters, RSI parameters and levels are customizable.
The books reported that the strategy worked well on indexes in daily time frame. However, the default parameter looks like that must be tuned for the FOREX.
Download:
You must also download and install CummulativeRSI indicator: viewtopic.php?f=17&t=1340
Code: Select all `– strategy profile initialization routine function Init() strategy:name(“Cumulative RSI”); strategy:description(“The strategy described in Chapter 9 of Trading Strategies That Work by Larry Connors and Cesar Alvarez.”);
strategy.parameters:addGroup(“Parameters”); strategy.parameters:addInteger(“MN”, “MVA period”, “”, 200, 1, 1000); strategy.parameters:addInteger(“N”, “RSI period”, “”, 2, 2, 200); strategy.parameters:addInteger(“X”, “RSI accumulation”, “”, 2, 1, 200); strategy.parameters:addDouble(“EL”, “Enter Level”, “”, 35, 0, 200); strategy.parameters:addDouble(“EX”, “Exit Level”, “”, 65, 0, 200); strategy.parameters:addString(“Source”, “Price”, “”, “C”); strategy.parameters:addStringAlternative(“Source”, “Close”, “”, “C”); strategy.parameters:addStringAlternative(“Source”, “Median”, “”, “M2”); strategy.parameters:addStringAlternative(“Source”, “Typical”, “”, “M3”); strategy.parameters:addString(“Method”, “Moving average method”, “The methods marked by an asterisk () require the appropriate indicators to be loaded.”, “MVA”); strategy.parameters:addStringAlternative(“Method”, “MVA”, “”, “MVA”); strategy.parameters:addStringAlternative(“Method”, “EMA”, “”, “EMA”); strategy.parameters:addStringAlternative(“Method”, “LWMA”, “”, “LWMA”); strategy.parameters:addStringAlternative(“Method”, “SMMA”, “”, “SMMA”); strategy.parameters:addStringAlternative(“Method”, “Vidya (1995)”, “”, “VIDYA”); strategy.parameters:addStringAlternative(“Method”, “Vidya (1992)”, “”, “VIDYA92”); strategy.parameters:addStringAlternative(“Method”, “Wilders*”, “”, “WMA”); strategy.parameters:addString(“Period”, “Timeframe”, “”, “m1”); strategy.parameters:setFlag(“Period”, core.FLAG_PERIODS); strategy.parameters:addGroup(“Signals”); strategy.parameters:addBoolean(“ShowAlert”, “Show Alert”, “”, true); strategy.parameters:addBoolean(“PlaySound”, “Play Sound”, “”, false); strategy.parameters:addFile(“SoundFile”, “Sound File”, “”, “”); end
local SoundFile; local gSource = nil; local gTickSource = nil; local gMa = nil; local gRsi = nil; local gRsi1 = nil; local gMaData = nil; local gRsiData = nil; local gRsi1Data = nil; local first; local inPosition = false; local EX, EL;
function Prepare() local ShowAlert = instance.parameters.ShowAlert; if instance.parameters.PlaySound then SoundFile = instance.parameters.SoundFile; else SoundFile = nil; end EX = instance.parameters.EX; EL = instance.parameters.EL; assert(not(PlaySound) or (PlaySound and SoundFile ~= “”), “Sound file must be specified”); assert(instance.parameters.Period ~= “t1”, “Signal cannot be applied on ticks”); ExtSetupSignal(“Cumulative RSI signal:”, ShowAlert); gSource = ExtSubscribe(1, nil, instance.parameters.Period, true, “bar”); if instance.parameters.Source == “C” then gTickSource = gSource.close; elseif instance.parameters.Source == “M2” then gTickSource = gSource.median; elseif instance.parameters.Source == “M3” then gTickSource = gSource.typical; else assert(false, “Unknown price type is chosen”); end
gMa = core.indicators:create(instance.parameters.Method, gTickSource, instance.parameters.MN); gMaData = gMa.DATA; gRsi = core.indicators:create(“CUMULATIVERSI”, gTickSource, instance.parameters.N, instance.parameters.X, instance.parameters.EL, instance.parameters.EX); gRsiData = gRsi.DATA; gRsi1 = core.indicators:create(“RSI”, gTickSource, instance.parameters.N); gRsi1Data = gRsi1.DATA; first = math.max(gRsiData:first() + 1, gMaData:first()); local name = profile:id() .. “(“ .. instance.bid:instrument() .. “(“ .. instance.parameters.Period .. “),” .. instance.parameters.Method .. “,” .. instance.parameters.MN .. “,” .. instance.parameters.N .. “,” .. instance.parameters.X .. “,” .. instance.parameters.EL .. “,” .. instance.parameters.EX .. “)”; instance:name(name); end
function ExtUpdate(id, source, period) if id == 1 and period >= first then gMa:update(core.UpdateLast); gRsi:update(core.UpdateLast); gRsi1:update(core.UpdateLast);
if gTickSource[period] > gMaData[period] and core.crossesUnder(gRsiData, EL, period) then ExtSignal(gSource, period, “Enter”, SoundFile); inPosition = true; elseif inPosition and core.crossesOver(gRsi1Data, EX, period) then ExtSignal(gSource, period, “Exit”, SoundFile); inPosition = false; end end end
dofile(core.app_path() .. “\strategies\standard\include\helper.lua”);`