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Strategies & Market Trends : TA-Quotes Plus
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To: Jeff Grover who wrote (2814)1/2/1998 1:54:00 PM
From: Bob Jagow  Read Replies (2) of 11149
 
Jeff,
I haven't gone thru your calcs, but you probably got tripped up by
Wilder's wierd MA calc method.

Perry Kaufmann, "The New Commodity Trading Systems and Methods", 1987
explains that Wilder calculates 'his MA' for DMI and RSI by seeding
his 14-day avgs with the SMA then continued by "averaging off":
new = (13*old + new)/14.
I have always assumed that Wilder did it that way not knowing
the correct EMA smoothing factor of 2/(N+1) since Perry cites it as
JK Hutson (TASC May/June 1984).
Therefore the real period of his DMI and RSI indicators are not 14
but 27 days!

Re CSI, Perry (p 398) shows
CSI = 100*ADXR*ATR14(V/M/(150+C) where
ADXR is the avg of today's ADX with that of 14 days ago,
ATR14 is the 14-day ATR,
V = value of 1 cent move (in dollars),
M = margin (in dollars),
C = commission (in dollars).

Bob
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