US 30 Y Bonds RSI

[Jim_CarryQuote]

I got a question. I downloaded the US 30 Y bonds data and RSI(10c). However, based on the formula, I could not get the same results as the ones from eSignal.

Please see the attachment, it is an zipped excel file.

Any comments will be welcomed.

Thank you in advance.


http://dev.carryquote.com/download/US30YBondsRSI.xls

[ACM]

Jim_CarryQuote
FYI your attachment appears to be corrupted.
Irrespective you can see the logic used in eSignal's RSI in the RSIEnhanced.efs which is installed in the Library subfolder of Formulas
Alex

[Jim_CarryQuote]

thank you, Alexis

Maybe something is wrong with the winzip. Please try the new link, you can get the xls file directly.

My question is how the value 55.68 (the first RSI) is calculated? Because I used the data and the formula but can¡¯t figure it out.

Thanks again.

[ACM]

Jim_CarryQuote
The issue I am seeing in your Excel sheet is that when you are converting the original values in column A to the adjusted values in colum C you are not actually converting them to the proper decimal value.
The US Bonds quotes are reported in 32nds so for example 9807 (which is 98 7/32) is not 98.07 when converted to decimals but 98.21875
Alex

[Jim_CarryQuote]

Originally posted by Alexis C. Montenegro
Jim_CarryQuote
The issue I am seeing in your Excel sheet is that when you are converting the original values in column A to the adjusted values in colum C you are not actually converting them to the proper decimal value.
The US Bonds quotes are reported in 32nds so for example 9807 (which is 98 7/32) is not 98.07 when converted to decimals but 98.21875
Alex

Alex

I did not see a value for (98 7/32) in the excel file. Meanwhile, I am using the column A (Original value) to calculate the change, the advance, decline etc. Column C is only for reference.

Thanks.

Jim

[ACM]

Jim
I am not sure what you mean when you say "I did not see a value for (98 7/32) in the excel file"
The values in column A of your Excel sheet are expressed in points [the first 2 digits in a 4 digit number or 3 digits in a 5 digit number] and 32nds of a point [the last 2 digits]. So for example in row 2 of that column you have a value of 9807 ie 98 and 7 32nds or 98 7/32 which converted to decimals corresponds to 98.21875. In row 3 you have 9720 ie 97 and 20 32nds or 97 20/32 which converted to decimals is 97.625, etc
Consequently the values in column E (and subsequent columns) are going to be considerably different from what you are currently showing. In row 3 of column E the change is actually -0.59375 and not -87, in row 4 it is -0.375 and not -12, and so on for the rest of that column
Hope this helps
Alex

Originally posted by Jim_CarryQuote
Alex

I did not see a value for (98 7/32) in the excel file. Meanwhile, I am using the column A (Original value) to calculate the change, the advance, decline etc. Column C is only for reference.

Thanks.

Jim

[Jim_CarryQuote]

Alex

Thank you very much. I got the point and tried the conversion. It worked for US 30 Y Bonds. However, I have the same problem with US 2 Y Bonds, US 5 Y Bonds and US 10 Y Bonds and it seems that I cannot apply the same conversion rules to the data.

Please advise.

Thanks again.

Jim

[ACM]

Jim
That is because those instruments trade with different fractions. The 5yr and 10yr Notes trade in points and a half of a 32nd of a point while the 2yr Notes trade in points and a quarter of a 32nd of a point.
You can find the complete contract specifications and formats for the quotes for each of these contracts at the corresponding links to the CBOT pages
Alex

Originally posted by Jim_CarryQuote
Alex

Thank you very much. I got the point and tried the conversion. It worked for US 30 Y Bonds. However, I have the same problem with US 2 Y Bonds, US 5 Y Bonds and US 10 Y Bonds and it seems that I cannot apply the same conversion rules to the data.

Please advise.

Thanks again.

Jim

[Jim_CarryQuote]

Alex

Thank you very much. The problem is solved.

Regards.

Jim

[ACM]

Jim
You are most welcome
Alex