A composite oscillator that incorporates RSI, winning/losing streaks, and percentile gain metrics on scale of 0 to 100. More info and analysis.
// usage
IEnumerable<ConnorsRsiResult> results = Indicator.GetConnorsRsi(history, rsiPeriod, streakPeriod, rankPeriod); | name | type | notes |
|---|---|---|
history |
IEnumerable<Quote> | Historical Quotes data should be at any consistent frequency (day, hour, minute, etc). |
rsiPeriod |
int | Lookback period (R) for the close price RSI. Must be greater than 1. Default is 3. |
streakPeriod |
int | Lookback period (S) for the streak RSI. Must be greater than 1. Default is 2. |
rankPeriod |
int | Lookback period (P) for the Percentile Rank. Must be greater than 1. Default is 100. |
N is the greater of R and S, and P. You must supply at least N+2 periods of history. Since this uses a smoothing technique, we recommend you use at least N+250 data points prior to the intended usage date for maximum precision.
IEnumerable<ConnorsRsiResult>The first N-1 periods will have null values since there's not enough data to calculate. We always return the same number of elements as there are in the historical quotes.
| name | type | notes |
|---|---|---|
Index |
int | Sequence of dates |
Date |
DateTime | Date |
RsiClose |
decimal | RSI(R) of the Close price. |
RsiStreak |
decimal | RSI(S) of the Streak. |
PercentRank |
decimal | Percentile rank of the period gain value. |
ConnorsRsi |
decimal | ConnorsRSI |
// fetch historical quotes from your favorite feed, in Quote format
IEnumerable<Quote> history = GetHistoryFromFeed("SPY");
// calculate ConnorsRsi(3,2.100)
IEnumerable<ConnorsRsiResult> results = Indicator.GetConnorsRsi(history,3,2,100);
// use results as needed
DateTime evalDate = DateTime.Parse("12/31/2018");
ConnorsRsiResult result = results.Where(x=>x.Date==evalDate).FirstOrDefault();
Console.WriteLine("ConnorsRSI on {0} was {1}", result.Date, result.ConnorsRsi);ConnorsRSI on 12/31/2018 was 74.77