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Does anyone have the "Connors RSI" calculation already coded up?
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Alexandre Catarino
At the moment, Lean does not provide Connor's RSI.
I have created a GitHub issue: Implement Connor's RSI #2678 and hopefully, it will be part of the supported indicators soon.
Mark hatlan
Thanks Alexandre.
It's not extremely complicated, but it is out of my skill set right now, The logic is simple, and I have the thinkorswim script for it if that helps anyone here to code it.
ConnorsRSI consists of three components:
a. Short term Relative Strength, i.e., RSI(3).
b. Counting consecutive up and down days (streaks) and “normalizing” the data using RSI(streak,2). The result is a bounded, 0-100 indicator.
c. Magnitude of the move (percentage-wise) in relation to previous moves. This is measured using the percentRank() function.
The formula given is:
ConnorsRSI(3,2,100) = [ RSI(Close,3) + RSI(Streak,2) + PercentRank(percentMove,100) ] / 3
I'm not that good of a programmer to port this to python yet, although I'm trying to learn.
Alexandre Catarino
Thanks, mark hatlan.
In Lean, indicators are implemented in C#. However, users can implement custom indicator in C# and python.
I am closing this thread as you can follow the indicator implementation status in GitHub,
Mark hatlan
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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