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TSI Formula

June 30, 2010

TSI Calculation
11 Comments leave one →
  1. Raj permalink
    June 30, 2010 7:47 am

    Isn’t this the indicator that was discusses in 1993 S&C article?

  2. david varadi permalink*
    June 30, 2010 12:38 pm

    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.

    best
    dv

  3. John French permalink
    June 30, 2010 3:02 pm

    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.

    John

  4. Aristotle permalink
    June 30, 2010 8:32 pm

    Thanks for adding the spreadsheet. I was having difficulty intepreting the formula.

  5. Pete permalink
    July 1, 2010 12:48 am

    Thanks for sharing, they were some interesting posts but of little value without a way to use it. Something to investigate on the weekend!

  6. andy permalink
    July 1, 2010 8:11 am

    David,
    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?

  7. Vic permalink
    July 1, 2010 4:51 pm

    David,

    Frank uses RSI2 as one of his filters. Have you used any of the DV Indicators as filters with the TSI?

    Vic

  8. justin permalink
    July 4, 2010 9:49 pm

    Hi David.

    In the computation of the 10-day ATR, would it matter whether an exponential or simple average is used?

  9. Pete permalink
    July 21, 2010 11:40 am

    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:/

  10. EmilT permalink
    June 8, 2015 5:52 pm

    The calculation for the true range is missing the absolute function in the spreadsheet.

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