Make ProRealTime RSI match ThinkorSwim RSI

Forums ProRealTime English forum ProBuilder support Make ProRealTime RSI match ThinkorSwim RSI

  • This topic has 2 replies, 3 voices, and was last updated 1 year ago by avatarJS.
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  • #219890

    I want to recreate ThinkorSwim’s RSI function using AverageType.WILDERS on ProRealTime that matches ThinkorSwim’s results. As far as I can tell the close prices of both platforms match historically for any instrument.

    Current TOS code:
    input RSI_len = 2;
    input averageType = AverageType.WILDERS;
    def RSI = RSI(length = RSI_len, averageType = averageType);

    I can find pieces of the formula/code in TOS. From what I can tell TOS uses a look back period of 7 days for AverageType.WILDERS with ‘1’ as the dividend for Wilder in place of ‘2’ for a standard EMA.

    Quotes from learning Center: ————————————————————————————–
    “WildersSmoothing
    Description
    The Wilder’s Smoothing study is similar to the Exponential Moving Average with the difference that Wilder’s Smoothing uses a smoothing factor of 1/length which makes it respond more slowly to price changes compared to other moving averages.” ——————–
    “MovAvgExponential
    Description
    The Exponential Moving Average (EMA) is a type of moving average that assigns greater weight to the most recent price data. Unlike the simple moving average where all data points have the same weight, the EMA’s weighting factors to price data decrease exponentially.
    The recursive representation of the EMA formula is the following:
    EMA1 = price1;
    EMA2 = α*price2 + (1 – α)*EMA1;
    EMA3 = α*price3 + (1 – α)*EMA2;
    EMAN = α*priceN + (1 – α)*EMAN-1;
    where:
    • N is the bar number;
    • α is a smoothing coefficient equal to 2/(length + 1).”

    ——————————————————————————————————————-
    The is a simple scripting language from ProRealTime and my code to duplicate TOS:
    ‘[…]’ brackets indicate previous days, increasing numbers increase backwards in days.
    ——————————————————————————————————————-
    price1 = close
    LookBack = 7

    n0 = price1[0] – price1[1] //1st iteration today minus yesterday’s price
    if n0 > 0 then
    u0 = n0
    elsif n0 < 0 then
    d0 = n0 * -1
    else
    u0 = 0
    d0 = 0
    endif

    n1 = price1[1] – price1[2] //2nd iteration yesterday minus day-before-yesterday’s price
    if n1 > 0 then
    u1 = n1
    elsif n1 < 0 then
    d1 = n1 * -1
    else
    u1 = 0
    d1 = 0
    endif

    AvgPD = (u0 + u1) / 2 // simple average two-day gain
    AvgND = (d0 + d1) / 2 // simple average two-day loss

    a = 1/length + 1

    // subtract yesterday from today for positive and negative price changes.
    for i = 0 to LookBack do
    diff = price1[length + i] – price1[length + 1 + i]
    if diff > 0 then
    diffP = diff
    elsif diff < 0 then
    diffN = diff * -1 // absolute value
    else
    diffP = 0
    diffN = 0
    endif
    if i = 0 then // first averaging step
    AvgP = AvgPD
    AvgN = AvgND
    else // subsequent averaging steps
    AvgP = a * diffP + (1 – a) * AvgP
    AvgN = a * diffN + (1 – a) * AvgN
    endif
    next

    RS = AvgP/AvgN
    xRSI = 100-(100/(1+RS))
    return xRSI

    Unfortunately, the above code does not work. Adjusting the ‘LookBack’ period seems to shift the entire calculation in time with zero ‘LookBack’ (meaning no look-back at all) the closet to TSO. I don’t think what I’m doing is near correct. Unsure why it is so difficult for find out the math or code used. Any help is sincerely appreciated.

    #219899

    Without more parenthesis, I would not be able to see through what you want here. PRT’s parser won’t either. Of course it does something according possibly the formal rules (first multiplying and such), but I would never depend on it, already for my own readability.

    #219900
    JS

    Hi @rllw

    The (PRT) internal RSI is calculated with the “Wilders Average” so it should be equal to the “ThinkorSwim RSI”…

    Below is the calculation of the (PRT) internal RSI…

     

    2 users thanked author for this post.
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