optionplayer333
801 posts
msg #112538
- Ignore optionplayer333 |
3/31/2013 10:55:13 AM
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
//Connor's RSI (Larry Connors). Code for function provided by Connors Research
paramLenRSI = Param("RSI Closes Length", 3, 2, 100, 1);
paramLenUD = Param("RSI UpClose Length", 2, 2, 100, 1);
paramLenRank = Param("PerecentRank Length", 100, 10, 200, 1);
function ConnorsRSI(lenRSI, lenUD, lenROC)
{
can any body make connors indicator>formula below
What is Connors RSI?
Connors RSI is a composite indicator consist of 3 components:
1. Price Momentum: By default, ConnorsRSI uses a standard 3 period Wilder RSI for the 1st component.
2. Duration of Up Trend vs. Down Trend streak days. And applies a default 2 day Wilder RSI to this integer series.Connors research shows that the longer the number of consecutive days up or down, the more likely the security is likely to bounce when it reverts to the mean. Likewise, the *magnitude* of the mean reversion snap-back is correlated with the streak length. The 2nd indicator uses integer values to quantify the number of streak days, and applies a default 2 day Wilder RSI to this integer series.
3. Relative Magnitude of Price Change: This 3rd component uses the PercentRank function over a default value of 100 days (approx. 5 months) to measure price change as a percentage of the previous day’s price, and rank the current value over the lookback period. Large positive returns will have a rank closer to 100, large negative returns will have a percent rank closer to 0.
Connors RSI Formula
ConnorsRSI(3,2,100) = [RSI(Close,3) + RSI(Streak,2) + PercentRank(100)] / 3
Connor’s Research purports this robust indicator is more effective than any of the three components use individually, and in fact the blended effect of the mathematical summation allows the strong value from one indicator to compensate for a slightly weaker value from another, in a way yielding superior results than a voting system between the 3.
Connor's RSI (Larry Connors). Code for function provided by Connors Research
paramLenRSI = Param("RSI Closes Length", 3, 2, 100, 1);
paramLenUD = Param("RSI UpClose Length", 2, 2, 100, 1);
paramLenRank = Param("PerecentRank Length", 100, 10, 200, 1);
function ConnorsRSI(lenRSI, lenUD, lenROC)
{
upDays = BarsSince(C <= Ref(C,-1));
downDays = BarsSince(C >= Ref(C,-1));
updownDays = IIf(upDays > 0, upDays, IIf(downDays > 0, -downDays, 0));
crsi = ( PercentRank(ROC(C,1), lenROC) + RSIa(updownDays,lenUD) +RSI(lenRSI))/3;
return crsi;
}
Plot( ConnorsRSI(paramLenRSI,paramLenUD,paramLenRank)
, "ConnorsRSI("+paramLenRSI+","+paramLenUD+","+paramLenRank+")"
, colorBlue, styleLine, 0, 100);
|