Reverse Engineered Composite Index

• 02/20/2024 at 8:50 AM #228427
  nils_k

  Hi !

  I have a question relating to the reverse engineering of a momentum oscillator. I hope you can help me with that. Thank you in advance.

   

  Goal

  I want to reverse engineer Constance Brown’s Composite Index. That is, I don’t want to know the value of the Composite Index given the current price of the last bar, but I want to know where the price of the current bar would need to go to reach a specific value in the Composite Index (e.g.: Where would the price on the current (i.e., ongoing) bar would need to go so that the Composite Index would reach >= 100 for the current bar).

   

  Background Information

  Constance Brown’s Composite Index is calculated in the following way:

  Code for Composite Index

  // Step 1: Create a 9-period momentum indicator of a 14-period RSI. RSIMO9 = Momentum[9](RSI[14](close)) // Step 2: Create a 3-priod simple moving average of a 3-period RSI. RSI3 = Average[3](RSI[3](close)) // Step 3: Add the value of the indicators created in Step 1 and 2 together to create the Composite Index. Composite = RSIMO9 + RSI3

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  // Step 1: Create a 9-period momentum indicator of a 14-period RSI.   RSIMO9 = Momentum[9](RSI[14](close))   // Step 2: Create a 3-priod simple moving average of a 3-period RSI.   RSI3 = Average[3](RSI[3](close))   // Step 3: Add the value of the indicators created in Step 1 and 2 together to create the Composite Index.   Composite = RSIMO9 + RSI3

   

  Sketch of a Solution

  I have already found the code for reverse engineering the RSI in the indicator library (Link). I just cannot come up with a solution for applying a similar process for the Composite Index.

   

  Thank you so much for your help.

   

  Regards, Nils

  

  nils_k

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