RocketRSI by John Ehlers

RocketRSI by John Ehlers

In “RocketRSI—A Solid Propellant For Your Rocket Science Trading” in the may 2018 issue of Traders tips, author John Ehlers introduces a new take on the classic RSI indicator originally developed by J. Welles Wilder. Ehlers begins by introducing a new version of the RSI based on a simple accumulation of up and down closes rather than averages. To this he applies a Fisher transform. He tells us that the resultant output is statistically significant spikes that indicate cyclic turning points with precision.

 

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  1. criscolci • 291 days ago #

    Thanks a lot!

  2. Bard • 290 days ago #

    Cheers for doing Ehler’s latest indicator Despair, much appreciated.

  3. Etienne • 80 days ago #

    Hi, thanks for proving this code.
    I would like to contribute by adding a computation speedup. figures are unchanged, the indicator computes 5x faster.

  4. Etienne • 80 days ago #

    //Compute Super Smoother coefficients once
    if barindex = 1 then
    a1 = exp( -1.414 * 3.14159/ ( SmoothLength ) )
    b1 = 2 * a1 * Cos( 1.414 * 180/ ( SmoothLength ) )
    c2 = b1
    c3 = -square(a1)
    c1 = 1 – c2 – c3

    drawhline (0)
    drawhline (OBOSLevel) coloured(255,0,0)
    drawhline (-OBOSLevel) coloured(255,0,0)
    endif

    if barindex > RSILength then
    //Create half dominant cycle Momentum
    Mom = Close – Close[RSILength – 1]

    //SuperSmoother Filter
    Filt = c1 * ( Mom + Mom[1] ) / 2 + c2 * Filt[1] + c3 * Filt[2]

    //Accumulate “Closes Up” and “Closes Down”
    CD = 0
    CU = 0

    if Filt[0] > Filt[1] then
    CU = Filt[0] – Filt[1]
    else
    CD = Filt[1] – Filt[0]
    endif

    RCU = summation[RSILength](CU)
    RCD = summation[RSILength](CD)

    if RCU + RCD 0 then
    MyRSI = ( RCU – RCD ) / ( RCU + RCD )
    endif

    //Limit RocketRSI output to
    //+/- 3 Standard Deviations
    MyRSI = min(max(MyRSI,-.999),.999)

    //Apply Fisher Transform to establish
    //Gaussian Probability Distribution
    RocketRSI = .5 * Log( ( 1 + MyRSI ) / ( 1 – MyRSI ) )
    endif

    return RocketRSI coloured(0,0,255) as “RocketRSI”

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