RocketRSI

Description

The RocketRSI is an indicator that combines the approach used in the calculation of the Relative Strength Index (RSI) with some principles of signal processing. By smoothing out noisy price data and singling out a cyclic component within it, the indicator can be used for analysis of cyclic reversals, which could potentially signal trading opportunities.

The calculation of the RocketRSI is as follows:

  • A close price change (momentum) from a past value is found for each bar. The offset between the current and the past price is constant.
  • The values found are run through the SuperSmootherFilter to eliminate the noise.
  • The algebraic sum of one-bar changes in the filtered values is divided by the sum of absolute values of the same changes. The output of this step is limited to be in the range from -0.999 to +0.999.
  • The result is run through the Fisher transform to provide a wave-like output.

If there is a dominant cycle in the input data and the lengths are set correctly, the analysis of peaks and troughs of the output wave may provide valuable sell and buy signals.

Input Parameters

Parameter

Description

length

Defines the period on which the Rocket RSI is calculated.

cutoff length

Defines the length of the SuperSmootherFilter. Data cycles with periods less than this values are eliminated.

Plots

Plot

Description

RocketRSI

The Rocket RSI study plot.

ZeroLine

The zero level.

Example*

*For illustrative purposes only. Not a recommendation of a specific security or investment strategy.

 

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