RSI(2) based eod short term afl by

R

rvlv

Active Member
#1
#1
Hi friends
you can use ConnorsRsi(3,2,100) with reasonable success on daily charts
Not for intraday-note it please
buy when crsi<10 and sell when crsi>80 or 70

==============================================


Connors RSI
Author of code=Rob Angerer -( rdangerer_at_gmail_do.t_co.m)

Description:

Connors RSI is a composite indicator consisting of the mathematical summation 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: 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.
The final oscillator takes this form (default values):
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.
Formula:

//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);
//====================================================
/* Connors RSI is a composite indicator consisting of the mathematical
summation 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: 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.

The final oscillator takes this form (default values):
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.
/*
 
K

KelvinHand

Well-Known Member
#2
#2
rvlv said:
Hi friends
you can use ConnorsRsi(3,2,100) with reasonable success on daily charts
Not for intraday-note it please
buy when crsi<10 and sell when crsi>80 or 70

==============================================


Connors RSI
Author of code=Rob Angerer -( rdangerer_at_gmail_do.t_co.m)

Description:

Connors RSI is a composite indicator consisting of the mathematical summation 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: 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.
The final oscillator takes this form (default values):
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.
Formula:

//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);
//====================================================
/* Connors RSI is a composite indicator consisting of the mathematical
summation 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: 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.

The final oscillator takes this form (default values):
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.
/*
Click to expand...
All these descriptions are too profound.
how to trade ?
show me on the chart
 
R

rvlv

Active Member
#4
#4
Kelvinhand

The chart marks two extremezones for Connors rsi.
the top area 65 to 75 for selling if crsi makes a inverted v hook there.
The bottom area is 0 to 10 .If crsi makes a v into this area,you can buy.
the timeframe of validity is max 3 weeks. essentially short term method.
attached chart.

rvlv
 
Last edited:
K

KelvinHand

Well-Known Member
#5
#5
rvlv said:
Kelvinhand

The chart marks two extremezones for Connors rsi.
the top area 65 to 75 for selling if crsi makes a inverted v hook there.
The bottom area is 0 to 10 .If crsi makes a v into this area,you can buy.
the timeframe of validity is max 3 weeks. essentially short term method.
attached chart.

rvlv
Click to expand...
Great.

- Entry, Exit, Take Profit, Trailing Stop ?
- Let shown a trade example with price chart.

Trend determination was not mentioned.
I viewed with some charts, not so simple as what you described as based on the indicator.
Need more examples from you.
 
Last edited:
J

johnnypareek

Well-Known Member
#6
#6
rvlv said:
Kelvinhand

The chart marks two extremezones for Connors rsi.
the top area 65 to 75 for selling if crsi makes a inverted v hook there.
The bottom area is 0 to 10 .If crsi makes a v into this area,you can buy.
the timeframe of validity is max 3 weeks. essentially short term method.
attached chart.

rvlv
Click to expand...
Buddy can you post afl whose image u attached??
 
H

Harsha Kumar

Member
#7
#7
rvlv said:
Hi friends
you can use ConnorsRsi(3,2,100) with reasonable success on daily charts
Not for intraday-note it please
buy when crsi<10 and sell when crsi>80 or 70

==============================================


Connors RSI
Author of code=Rob Angerer -( rdangerer_at_gmail_do.t_co.m)

Description:

Connors RSI is a composite indicator consisting of the mathematical summation 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: 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 days 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.
The final oscillator takes this form (default values):
ConnorsRSI(3,2,100) = [RSI(Close,3) + RSI(Streak,2) + PercentRank(100)] / 3
Connors 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.
Formula:

//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);
//====================================================
/* Connors RSI is a composite indicator consisting of the mathematical
summation 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: 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.

The final oscillator takes this form (default values):
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.
/*
Click to expand...
i didn't find this function PercentRank() in the afl help file with amibroker and getting syntex errorwhen i compile the above afl. i am using amibroker 5,3.
 
K

KelvinHand

Well-Known Member
#8
#8
Harsha Kumar said:
i didn't find this function PercentRank() in the afl help file with amibroker and getting syntex errorwhen i compile the above afl. i am using amibroker 5,3.
Click to expand...
Time to Upgrade.

From 5.6
function PercentRank( Data, Periods)
{
Count = 0;
for ( i = 1; i <= Periods ; i++ )
{
Count += Data > Ref( Data, -i );
}
return 100 * Count / Periods;
}
 
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