Isn’t this the indicator that was discusses in 1993 S&C article?
hi raj, im not sure–to the best of my knowledge this calculation is unique, I know offhand that the TSI is the name for a separate indicator by Blau that looks at smoothed momentum, but isnt considering momentum over volatility ie ATR. nonetheless, i can’t claim credit for the name or indicator since it was done by Frank Hassler.
David, thanks for sharing this. I have been looking for a decent alternative to ADX etc. for ages. I will report back with my findings.
Thanks for adding the spreadsheet. I was having difficulty intepreting the formula.
Thanks for sharing, they were some interesting posts but of little value without a way to use it. Something to investigate on the weekend!
Very informative, just one question: in the spreadsheet, the ATR column is not the simple average over the previous 10 days, rather it is 9*(yesterdays ATR) plus todays TR, all divided by 10. I assume the spreadsheet reflects your true intention, but wanted to confirm. Also, could I ask why you calculate this way?
Frank uses RSI2 as one of his filters. Have you used any of the DV Indicators as filters with the TSI?
In the computation of the 10-day ATR, would it matter whether an exponential or simple average is used?
Hey David, would you mind sharing the data source in the spreadsheet? It looks like SPY, but the close values differ slightly from the values available on Yahoo & Google finance
The calculation for the true range is missing the absolute function in the spreadsheet.
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