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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SmoothLength=10 RSILength=10 OBOSLevel=2 //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 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" CU = 0 CD = 0 for count = 0 to RSILength -1 do if Filt[count] - Filt[count + 1] > 0 then CU = CU + Filt[count] - Filt[count + 1] endif if Filt[count] - Filt[count + 1] < 0 then CD = CD + Filt[count + 1] - Filt[count] endif next if CU + CD <> 0 then MyRSI = ( CU - CD ) / ( CU + CD ) 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", 0 as "Zero Line", OBOSLevel coloured(255,0,0) as "OverBought", -OBOSLevel coloured(255,0,0) as "OverSold" |
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Thanks a lot!
Cheers for doing Ehler’s latest indicator Despair, much appreciated.
Hi, thanks for proving this code.
I would like to contribute by adding a computation speedup. figures are unchanged, the indicator computes 5x faster.
Thanks a lot!
//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”