ConnorsRSI

Created by Laurence Connors, the ConnorsRSI is a composite oscillator that incorporates RSI, winning/losing streaks, and percentile gain metrics on scale of 0 to 100. See analysis. [Discuss] 💬

// C# usage syntax
IReadOnlyList<ConnorsRsiResult> results =
  bars.ToConnorsRsi(rsiPeriods, streakPeriods, rankPeriods);

Parameters

param	type	description
rsiPeriods	int	Lookback period (R) for the price RSI. Must be greater than 1. Default is 3.
streakPeriods	int	Lookback period (S) for the streak RSI. Must be greater than 1. Default is 2.
rankPeriods	int	Lookback period (P) for the Percentile Rank. Must be greater than 1. Default is 100.

Historical price bars requirements

N is the greater of R+100, S, and P+2. You must have at least N periods of bars to cover the warmup and convergence periods. Since this uses a smoothing technique, we recommend you use at least N+150 data points prior to the intended usage date for better precision.

bars is a collection of generic TBar historical price bars. It should have a consistent frequency (day, hour, minute, etc). See the Guide for more information.

Response

IReadOnlyList<ConnorsRsiResult>

• This method returns a time series of all available indicator values for the bars provided.
• It always returns the same number of elements as there are in the historical price bars.
• It does not return a single incremental indicator value.
• The first MAX(R,S,P)+1 periods will have null ConnorsRsi values since there's not enough data to calculate all three component scores (RSI of close, RSI of streak, percent rank) and combine them.

🚩 ⚞ Convergence warning

The first N periods will have decreasing magnitude, convergence-related precision errors that can be as high as ~5% deviation in indicator values for earlier periods.

ConnorsRsiResult

property	type	description
Timestamp	DateTime	Date from evaluated TBar
Rsi	double	RSI(R) of the price.
RsiStreak	double	RSI(S) of the Streak.
PercentRank	double	Percentile rank of the period gain value.
ConnorsRsi	double	ConnorsRSI

Utilities

• .Condense()
• .Find(lookupDate)
• .RemoveWarmupPeriods()
• .RemoveWarmupPeriods(removePeriods)

See Utilities and helpers for more information.

Chaining

This indicator may be generated from any chain-enabled indicator or method.

// example
var results = bars
    .Use(CandlePart.HL2)
    .ToConnorsRsi(..);

Results can be further processed on ConnorsRsi with additional chain-enabled indicators.

// example
var results = bars
    .ToConnorsRsi(..)
    .ToSma(..);

See Chaining indicators for more.

Streaming

Use the buffer-style List<T> when you need incremental calculations without a hub:

ConnorsRsiList connorsRsiList = new(rsiPeriods, streakPeriods, rankPeriods);

foreach (IBar bar in bars)  // simulating stream
{
  connorsRsiList.Add(bar);
}

// based on `ICollection<ConnorsRsiResult>`
IReadOnlyList<ConnorsRsiResult> results = connorsRsiList;

Subscribe to a BarHub for advanced streaming scenarios:

BarHub barHub = new();
ConnorsRsiHub observer = barHub.ToConnorsRsiHub(rsiPeriods, streakPeriods, rankPeriods);

foreach (IBar bar in bars)  // simulating stream
{
  barHub.Add(bar);
}

IReadOnlyList<ConnorsRsiResult> results = observer.Results;

See Buffer lists and Stream hubs for full usage guides.