49 lines
1.8 KiB
Markdown
49 lines
1.8 KiB
Markdown
# ConnorsRSI Indicator
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## Overview
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This is an implementation of the ConnorsRSI indicator developed by Larry Connors.
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It was based on a description of the indicator in his book *Buy the Fear, Sell the Greed*.
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The formula given in the book is as follows:
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```
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ConnorsRSI(3, 2, 100) = (RSI(Close, 3) + RSI(Streak, 2) + PercentRank(Close, 100)) / 3
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```
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The first component is a standard RSI calculation on the Close price.
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The Streak "price" is measured in terms of how many bars in a row the closing price has increased / decreased, and the second RSI component is calculated on that.
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Any time the price goes from decreasing to increasing (or vice versa), the streak is set to 1 (or -1) and then incremented (or decremented) from there.
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If there is no change in price, the streak is set to 0.
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The third and final component is a percent rank computed on the Close price.
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The indicator parameters default to the values used in the above formula.
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The only additional parameters introduced in this implementation are for smoothing the RSI calculations, though they both default to 1 (i.e., no smoothing).
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## Parameters
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**RSI Period**: The period used in the first component RSI calculation. (Default: 3)
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**RSI Smoothing** The smoothing period used in the first component RSI calculation. (Default: 1)
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**Streak RSI Period**: The period used in the second component RSI calculation. (Default 2)
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**Streak RSI Smoothing**: The smoothing period used in the second component RSI calculation. (Default: 1)
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**Percent Rank Period**: The period over which to rank prices in the percent rank calculation. (Default: 100)
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## Strategies
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The [ConnorsRSI Bot](https://moshferatu.dev/moshferatu/ninjatrader/src/branch/main/strategies/connors-rsi) utilizes this indicator to enter swing trades.
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