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Miha Kralj
db6bb86fe6
Ehlers TASC May 2018 algorithm: Momentum → Super Smoother (2-pole Butterworth IIR) → Ehlers RSI (summation CU/CD) → Fisher Transform. Inputs: smoothLength=10, rsiLength=10, source=close.
63 lines
2.1 KiB
Plaintext
63 lines
2.1 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("Ehlers Rocket RSI (RRSI)", "RRSI", overlay=false)
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//@function Calculates the Rocket RSI (Ehlers, TASC May 2018)
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//@param source Source price series
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//@param smoothLength Super Smoother filter period
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//@param rsiLength RSI accumulation period
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//@returns Rocket RSI value (Fisher-transformed RSI)
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rrsi(series float source, simple int smoothLength, simple int rsiLength) =>
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if smoothLength <= 0
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runtime.error("Smooth length must be greater than 0")
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if rsiLength <= 0
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runtime.error("RSI length must be greater than 0")
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// Super Smoother coefficients (Ehlers 2-pole Butterworth)
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float a1 = math.exp(-1.414 * math.pi / smoothLength)
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float b1 = 2.0 * a1 * math.cos(1.414 * math.pi / smoothLength)
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float c2 = b1
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float c3 = -(a1 * a1)
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float c1 = 1.0 - c2 - c3
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// Momentum: Close - Close[rsiLength-1]
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float mom = source - source[rsiLength - 1]
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// Super Smoother Filter (2-pole IIR)
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var float filt = 0.0
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filt := bar_index < 2 ? mom : c1 * (mom + mom[1]) * 0.5 + c2 * filt[1] + c3 * filt[2]
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// Ehlers RSI (summation-based, not Wilder)
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float cu = 0.0
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float cd = 0.0
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for j = 0 to rsiLength - 1
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float diff = filt[j] - filt[j + 1]
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if diff > 0
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cu += diff
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else if diff < 0
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cd -= diff
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float cuCd = cu + cd
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float myRsi = cuCd > 1e-10 ? (cu - cd) / cuCd : 0.0
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// Clamp to ±0.999
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myRsi := math.max(-0.999, math.min(0.999, myRsi))
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// Fisher Transform (arctanh)
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float rocket = 0.5 * math.log((1.0 + myRsi) / (1.0 - myRsi))
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rocket
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// ---------- Main loop ----------
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i_smooth = input.int(10, "Smooth Length", minval=1, maxval=500)
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i_rsi = input.int(10, "RSI Length", minval=1, maxval=500)
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i_source = input.source(close, "Source")
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rocket_rsi = rrsi(i_source, i_smooth, i_rsi)
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plot(rocket_rsi, "Rocket RSI", color=color.cyan, linewidth=2)
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hline(0, "Zero", color=color.gray, linestyle=hline.style_dotted)
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hline(2, "Overbought", color=color.red, linestyle=hline.style_dashed)
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hline(-2, "Oversold", color=color.green, linestyle=hline.style_dashed)
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