mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-03 19:57:44 +00:00
Miha Kralj
128 lines
4.4 KiB
Plaintext
128 lines
4.4 KiB
Plaintext
// Licensed under the Apache License, Version 2.0
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// © mihakralj
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//@version=6
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indicator("Connors RSI (CRSI)", "CRSI", overlay=false)
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//@function Calculates RSI using Wilder's smoothing with warmup compensation
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//@param source Series to calculate RSI from
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//@param period RSI lookback period
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//@returns RSI value (0-100) with valid output from bar 1
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rsi_calc(series float source, simple int period) =>
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if period <= 0
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runtime.error("Period must be greater than 0")
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float alpha = 1.0 / period
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float beta = 1.0 - alpha
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var float prevVal = na
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var float avgGain = 0.0
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var float avgLoss = 0.0
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var float e = 1.0
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var bool warmup = true
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float result = 50.0
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if not na(source)
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if na(prevVal)
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prevVal := source
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else
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float change = source - prevVal
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float gain = change > 0.0 ? change : 0.0
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float loss = change < 0.0 ? -change : 0.0
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prevVal := source
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avgGain := alpha * gain + beta * avgGain
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avgLoss := alpha * loss + beta * avgLoss
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if warmup
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e *= beta
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float c = e > 1e-10 ? 1.0 / (1.0 - e) : 1.0
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float aG = avgGain * c
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float aL = avgLoss * c
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float total = aG + aL
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result := total != 0.0 ? 100.0 * aG / total : 50.0
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if e <= 1e-10
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warmup := false
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else
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float total = avgGain + avgLoss
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result := total != 0.0 ? 100.0 * avgGain / total : 50.0
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result
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//@function Calculates Connors RSI as average of price RSI, streak RSI, and percent rank
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//@param source Series to calculate from
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//@param rsiPeriod Period for price RSI component
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//@param streakPeriod Period for streak RSI component
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//@param rankPeriod Lookback period for percent rank of ROC
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//@returns Connors RSI value (0-100)
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crsi(series float source, simple int rsiPeriod, simple int streakPeriod, simple int rankPeriod) =>
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if rsiPeriod <= 0 or streakPeriod <= 0 or rankPeriod <= 0
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runtime.error("All periods must be greater than 0")
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// Component 1: RSI of price
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float priceRsi = rsi_calc(source, rsiPeriod)
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// Component 2: Streak calculation + RSI of streak
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var float prevClose = na
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var float streak = 0.0
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if not na(source)
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if na(prevClose)
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streak := 0.0
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else if source > prevClose
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streak := streak >= 0.0 ? streak + 1.0 : 1.0
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else if source < prevClose
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streak := streak <= 0.0 ? streak - 1.0 : -1.0
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else
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streak := 0.0
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prevClose := source
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float streakRsi = rsi_calc(streak, streakPeriod)
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// Component 3: Percent rank of 1-bar ROC
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var float prevSrc = na
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var array<float> rocBuf = array.new_float(rankPeriod, na)
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var int rocHead = 0
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var int rocCount = 0
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float roc = 0.0
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if not na(source) and not na(prevSrc) and prevSrc != 0.0
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roc := (source - prevSrc) / prevSrc * 100.0
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if not na(source)
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prevSrc := source
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// Count how many HISTORICAL ROC values are strictly < current ROC
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// BEFORE storing current roc (Connors/Alvarez: "percentage of values the current return is greater than")
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int lessCount = 0
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for i = 0 to rocCount - 1
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float val = array.get(rocBuf, i)
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if not na(val) and val < roc
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lessCount += 1
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float pctRank = rocCount > 0 ? (float(lessCount) / float(rocCount)) * 100.0 : 50.0
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// Store current ROC after rank scan
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if na(array.get(rocBuf, rocHead))
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rocCount := math.min(rocCount + 1, rankPeriod)
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array.set(rocBuf, rocHead, roc)
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rocHead := (rocHead + 1) % rankPeriod
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// Connors RSI = average of three components
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float result = (priceRsi + streakRsi + pctRank) / 3.0
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math.max(0.0, math.min(100.0, result))
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// ---------- Main loop ----------
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// Inputs
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i_source = input.source(close, "Source")
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i_rsiPeriod = input.int(3, "RSI Period", minval=1, maxval=500)
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i_streakPeriod = input.int(2, "Streak RSI Period", minval=1, maxval=500)
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i_rankPeriod = input.int(100, "Percent Rank Period", minval=1, maxval=1000)
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// Calculation
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crsi_value = crsi(i_source, i_rsiPeriod, i_streakPeriod, i_rankPeriod)
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// Plot
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plot(crsi_value, "CRSI", color.new(color.yellow, 0), 2)
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hline(70, "Overbought", color=color.gray, linestyle=hline.style_dotted)
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hline(30, "Oversold", color=color.gray, linestyle=hline.style_dotted)
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