There's something new on my WINS indicator development page!
webbindustries.com
I wasn't having a whole lot of luck with using Three Line Break
charts to discover trends in %b and RSI, and map those to WINS
cycles. I starting thinking about other ways to do it, and here's
what I came up with:
%b and RSI both give buy/sell signals when they're near the edges
of their ranges. When they agree, that gives a stronger signal than
when they disagree. But, they don't always give their signals at
the same time; sometimes one signals first, and sometimes the
other one does. That makes it hard for a computer to pick out
the strong signals.
I'm now looking for the buy/sell signals for three indicators:
%b: Buy if %b < 5%, Sell if %b > 95%
RSI: Buy if RSI < 30, Sell if RSI > 70
RSIv: Buy if RSIv < 30, Sell if RSIv > 70
RSIv is a volume-weighted RSI chart. If RSI is the relative strength
of price movements, RSIv is the relative strength of price momentum.
Earlier this week I went to Barnes and Noble looking for good
descriptions of the RSI formula, and found this volume-weighted
formula as well. I'd been thinking about doing something volume
related, so this was handy. I'll be putting up a plot of RSIv soon,
so you can see how it looks.
Anyway, for each day I determine what signals each indicator is
giving, if any. I then add up the number of buy signals over the
past three days, and the number of sell signals over the past
five days, and convert them each to a percentage. For example:
19981124: RSI: ----, RSIv: ----, %b: ---- ###
19981125: RSI: ----, RSIv: ----, %b: ---- ###
19981127: RSI: ----, RSIv: ----, %b: ---- ###
19981130: RSI: ----, RSIv: ----, %b: ---- ###
19981201: RSI: ----, RSIv: Sell, %b: ---- ### Buy: 0.0%, Sell: 6.7%
19981202: RSI: ----, RSIv: Sell, %b: ---- ### Buy: 0.0%, Sell: 13.3%
19981203: RSI: ----, RSIv: Sell, %b: Buy ### Buy: 6.7%, Sell: 20.0%
19981204: RSI: ----, RSIv: Sell, %b: Buy ### Buy: 13.3%, Sell: 26.7%
19981207: RSI: ----, RSIv: ----, %b: Buy ### Buy: 20.0%, Sell: 26.7%
19981208: RSI: ----, RSIv: Sell, %b: Buy ### Buy: 26.7%, Sell: 26.7%
On 12/01, there was just a single Sell signal in the past
five days, so Buy=0/15 = 0%, and Sell=1/15 = 6.7%.
On 12/08, there were 4 Buy signals and 4 Sell signals, so
Buy and Sell are both 4/15 = 26.7%.
At the moment, I'm counting a signal as being 'strong' if
it's over 35%. On the indicator page, I've made strong signal
days light green instead of yellow, and I show the closing
price. For the stocks I've looked at, this method seems
pretty good at getting most of the tops and bottoms. It could
also be extended to use more indicators, maybe.
I probably won't have time this weekend to work on this,
since I'm heading down to Atlantic City. When I do get a chance,
I'll add controls so that you can play with the indicator signal
levels, and the number of days that are looked at for the final
indication.
Doug. |
