The Virtual Close and applications

Discussion in 'Technical Analysis' started by TSOKAKIS, Jun 9, 2003.

  1. Here is my Virtual Close calculation/interpretation based on Siligardos method

    The calculation of the Virtual Close
    The RevEngRsi indicator, as described by Giorgos Siligardos in June 2003 TASC issue,
    returns the price Value required for the RSI to move to a certain level on the next bar.
    When the individual RSI is lower [higher] than the MeanRSI, then the stock underperforms [outperforms] the market.
    If we replace the individual RSI with the MeanRSI, then RevEngRSI will return the Virtual Close,
    as if the stock was Equalweighted to the market.
    Then we may easily calculate the underperformance [outperformance] % for each stock.

    Value=Foreign("~SUMRSI","C")/Foreign("~Count","V");// this is the MeanRSI
    WildPer = 14;ExpPer = 2 * WildPer - 1;
    AUC = EMA( Max( C - Ref( C, -1 ), 0 ), ExpPer );
    ADC = EMA( Max( Ref( C, -1 ) - C, 0 ), ExpPer );
    x = (WildPer - 1) * ( ADC * Value / (100-Value) - AUC);
    RevEngRSI = IIf( x >= 0, C + x, C + x * (100-Value)/Value );

    c. EXAMPLE

    If we try a quantitative description, we will frequently come to absurd results:
    Suppose June6, 2003 when MSFT RSI is 35.53 and the MeanRSI is 62.40.
    This relation would give that MSFT underperforms the market by
    100*(-1+62.40/35.53)=75% which is not that realistic.
    The Virtual MSFT close for the same day is calculated 26.57 and MSFT actual Close [23.67] underperforms the market by
    100*(-1+26.57/23.67)=12% which is much more descriptive and makes sense :
    MSFT needs a +12% rally to catch the market phase.

    Since underperformance [outperformance] is expressed in VirtualClose-Close terms, we may easily get interesting statistical results for the past behavior of each stock.
    a. MSFT last Close underperforms the N100 market by 12.27%
    b. MSFT underperforms the market the last 41 bars
    c. The max underperformance % in MSFT history was 23%
    d. The max MSFT underperformance period was 50 bars, back on June2000
    e. The historical OUTper/UNDERper ratio of outperformance/underperformance
    timing of the stock : MSFT outperformed the N100 market the 43.63% of the last 41 months

    Dimitris Tsokakis

    PS Amibroker users may see details at