Stochastic RSI

[DaveSkender]

Community discussion about the Stochastic RSI indicator

[gorazspajzer]

Hi!

I tried StohasticRSI and I compared results with StohasticRSI calculated by the stock market and found out that there are big differences. Did anyone done some comparison with exchanges?

[DaveSkender]

You'll have to provide a lot more information before anyone can analyze what you're experiencing. Differences between platforms can be due to many different factors, including bugs in the systems you're using to compare (see #318 as an example).

[DaveSkender]

Also, keep in mind Stochastic RSI is often confused with Stochastic Oscillator

[gorazspajzer]

The problem was in the data volume. Now when i added more data everything is ok! Sorry for reporting this "non existing error". Keep on with the good work!

[DaveSkender]

Yes, because there are several layered smoothing techniques used here, the warmup period can be as high as 10×rsiPeriods before you get fully converged precision. This one is worse than most since it is using both RSI and Stochastic methods. At a minimum, we recommend that you do not use the first rsiPeriods+100 results. See our RemoveWarmupPeriods() helper function -- it can do this removal for you.

[Salardx]

hi,
how can we get the point where K% and D% cross eachother?

[Salardx]

yeah, but i need to know the exact cross location, i mean time/percentage

[DaveSkender]

I added date to the example. I think I know what you're seeking; however, can you elaborate on the use-case you're seeking? I can probably give a better example.

[Salardx]

Yeah, Thank you
There's a strategy suggested to us that we enter to long position when these D% and K% cross eachother under 20% (and also short above 80%)
so we need to have the exact position and time when these two lines cross,
The example you provided shows the last time only, there's a time between the points, we need it (and also its cross percentage)

[DaveSkender]

Here's my take on what you're asking. This is sorta a simplified backtester. I've added this code to our code samples, so you can download and run it.

// calculate Stochastic RSI
List<StochRsiResult> resultsList =
    quotesList
    .GetStochRsi(14, 14, 3, 1)
    .ToList();

// initialize
decimal trdPrice = 0;
decimal trdQty = 0;
decimal rlzGain = 0;

Console.WriteLine("   Date         Close  StRSI Signal  Cross    Net Gains");
Console.WriteLine("-------------------------------------------------------");

// roll through history
for (int i = 1; i < quotesList.Count; i++)
{
    Quote q = quotesList[i];
    StochRsiResult e = resultsList[i];     // evaluation period
    StochRsiResult l = resultsList[i - 1]; // last (prior) period
    string cross = string.Empty;

    // unrealized gain on open trade
    decimal trdGain = trdQty * (q.Close - trdPrice);

    // check for LONG event
    // condition: Stoch RSI was <= 20 and Stoch RSI crosses over Signal
    if (l.StochRsi <= 20
     && l.StochRsi < l.Signal
     && e.StochRsi >= e.Signal
     && trdQty != 1)
    {
        // emulates BTC + BTO
        rlzGain += trdGain;
        trdQty = 1;
        trdPrice = q.Close;
        cross = "LONG";
    }

    // check for SHORT event
    // condition: Stoch RSI was >= 80 and Stoch RSI crosses under Signal
    if (l.StochRsi >= 80
     && l.StochRsi > l.Signal
     && e.StochRsi <= e.Signal
     && trdQty != -1)
    {
        // emulates STC + STO
        rlzGain += trdGain;
        trdQty = -1;
        trdPrice = q.Close;
        cross = "SHORT";
    }

    if (cross != string.Empty)
    {
        Console.WriteLine(
        $"{q.Date,10:yyyy-MM-dd} " +
        $"{q.Close,10:c2}" +
        $"{e.StochRsi,7:N1}" +
        $"{e.Signal,7:N1}" +
        $"{cross,7}" +
        $"{(rlzGain + trdGain),13:c2}");
    }
}

[Salardx]

Thank you, great tools, carry on!