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Hello,
I am new to quantconnect, I would like to know if its possible to run a custom rsi indicator on the 233 minute or 4hr time frame on the spy
the code for the custom rsi
declare lower;
# Inputs:
input p = close;
input gamma = .236;
# Variables:
def L0;
def L1;
def L2;
def L3;
def CU;
def CD;
plot RSI;
plot OB;
plot OS;
plot ArrowUp;
plot ArrowDn;
# Script
script Laguerre{
input a = close;
input gamma = .5;
def L0 = ((1 - gamma) * a) + (gamma * L0[1]);
def L1 = (-gamma * L0) + L0[1] + (gamma * L1[1]);
def L2 = (-gamma * L1) + L1[1] + (gamma * L2[1]);
def L3 = (-gamma * L2) + L2[1] + (gamma * L3[1]);
plot Laguerre = (L0 + (2 * L1) + L2) / 4;
}
L0 = (1 – gamma) * p + gamma * L0[1];
L1 = - gamma * L0 + L0[1] + gamma * L1[1];
L2 = - gamma * L1 + L1[1] + gamma * L2[1];
L3 = - gamma * L2 + L2[1] + gamma * L3[1];
CU =
If L0 >= L1 then L0 - L1
Else If L1 >= L2 then CU[1] + L1 - L2
Else If L2 >= L3 then CU[1] + L2 - L3
Else 0;
CD =
If L0 <= L1 then L1 - L0
Else If L1 <= L2 then CD[1] + L2 - L1
Else If L2 <= L3 then CD[1] + L3 - L2
Else 0;
RSI =
Laguerre(a = if CU + CD <> 0 then CU / (CU + CD) else 0, gamma = 0);
OB =
if isNaN(RSI) then Double.NaN else .8;
OS =
if isNaN(RSI) then Double.NaN else .2;
RSI.SetDefaultColor(Color.Cyan);
OB.SetDefaultColor(Color.Yellow);
OS.SetDefaultColor(Color.Yellow);
AddCloud(OB,1,Color.Light_Red);
AddCloud(OS,0,Color.Light_Green);
ArrowUp = if RSI crosses above OS then OS else Double.Nan;
ArrowUp.SetPaintingStrategy(PaintingStrategy.Arrow_UP);
ArrowUP.SetLineWeight(3);
ArrowUp.SetDefaultColor(Color.Green);
ArrowDn = if RSI crosses below OB then OB else Double.NaN;
ArrowDn.SetPaintingStrategy(PaintingStrategy.Arrow_Down);
ArrowDn.SetLineWeight(3);
ArrowDn.SetDefaultColor(Color.Red);
Alert(!isNaN(ArrowUp), "", Alert.Bar, Sound.Ring);
Alert(!isNaN(ArrowDn), "", Alert.Bar, Sound.Ring);
Thanks
Best Regards
Roger
Michael Handschuh
var close = Identity("SPY", TimeSpan.FromMinutes(barSizeInMinutes)); var rsi = new RelativeStrengthIndex(14).Of(close);If you require the full trade bar you can use consolidators:var consolidator = new TradeBarConsolidator(TimeSpan.FromMinutes(barSizeInMinutes)); SubscriptionManager.AddConsolidator("SPY", consolidator); consolidator.DataConsolidated += OnCustomBarSize; // later in file public void OnCustomBarSize(TradeBar customBarSizeTradeBar) { // do special logic on time frame }Roger M. Benites
Michael Handschuh
Roger M. Benites
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