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Indicator Spotlight - RSI

The Relative Strength Index is a technical oscillator created by J. Welles Wilder in his 1978 book, New Concepts in Technical Trading Systems. It ranges from 0 to 100, with values below 30 typically considered oversold and above 70 overbought.

Quantacula Code

RSI myRSI14 = new RSI(bars.Close, 14);
RSI myRSI20 = RSI.Series(bars.Close, 20);

Parameters

  • source (TimeSeries)
  • period (int)

Calculation

For each trading period, an upward change (U) or downward change (D) is calculated. Up periods are characterized by the close being higher than the previous close:

U = closing price - previous closing price 
D = 0

The down period is characterized by the close being lower than the previous period's close (note that D is nonetheless a positive number):

U = 0
D = previous closing price - closing price 

If the last close is the same as the previous, both U and D are zero. The average U and D are calculated using an n-period exponentially smoothed Moving Average with a = 1 / period. The ratio of these averages is the relative strength or relative strength factor:

RS = SMMA(U, period) / SMMA(D, period)

The relative strength factor is then converted to a relative strength index between 0 and 100:

RSI = 100 - (100 / (1 + RS))

Interpretation

  • RSI below 30 is typically considered an oversold condition.
  • RSI above 70 is typically considered an overbought condition
  • A Bearish Divergence occurs when prices make a new high, but RSI makes a lower high
  • A Bullish Divergence occurs when prices make a lower low, but RSI makes a higher low

Indicator Lab

Use the slider to change the RSI period. The RSI pane is colored redder as prices get more overbought, and greener as prices get more oversold.


Symbol
Period
14
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Models Using RSI
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published on 4/7/2019
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APR: 11.78% • Win Rate: 71.63% • Sharpe: 0.56
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published on 2/14/2019
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APR: 19.07% • Win Rate: 62.25% • Sharpe: 0.88
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APR: 11.62% • Win Rate: 61.01% • Sharpe: 0.74
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published on 1/6/2019
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APR: 2.08% • Win Rate: 67.68% • Sharpe: 0.10
!MKT
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published on 10/23/2018
758
6
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APR: 17.81% • Win Rate: 66.69% • Sharpe: 1.07
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published on 9/27/2018
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APR: 11.40% • Win Rate: 63.28% • Sharpe: 0.79
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ATRP
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LRSlope
ROC
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StdError
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published on 9/24/2018
407
1

APR: 7.82% • Win Rate: 73.05% • Sharpe: 0.81
ATRP
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LRSlope
ROC
RSI SMA
StdDev
StdError
created by Q Glitch on 9/24/2018
published on 9/24/2018
436
2

APR: 11.91% • Win Rate: 68.61% • Sharpe: 1.09
SB
ConsecDown
ConsecUp
RSI


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