RSIH Professional (RSI with Hann Windowing & NET)

1. Summary (Introduction)

The RSIH, or "RSI with Hann Windowing," is John Ehlers' innovative take on the classic Relative Strength Index. It introduces two fundamental improvements: a zero-mean (-1 to +1) scale for clearer momentum analysis, and a Hann windowing function for intrinsic smoothing.

This version is further enhanced with Ehlers' Noise Elimination Technology (NET), a non-lagging filter based on Kendall correlation. The indicator plots two lines:

RSIH Line (dotted gray): The base, Hann-smoothed RSI. It is faster but can be noisy.
NET Line (solid blue): The NET-filtered version of the RSIH. This line is significantly smoother, clarifying the underlying momentum state without adding the lag of traditional moving averages.

The result is a comprehensive, two-line oscillator system that provides both a fast signal and a smoothed, reliable confirmation.

2. Mathematical Foundations and Calculation Logic

The indicator uses a multi-stage process, first calculating the RSIH and then optionally applying the NET filter.

Required Components

RSI Period (N): The lookback period for the RSIH calculation.
NET Period (M): The lookback period for the NET calculation.
Source Price (P): The price series used for the calculation.

Calculation Steps (Algorithm)

Calculate Weighted CU and CD: For each bar, the indicator calculates the "Closes Up" (CU) and "Closes Down" (CD) over the last N periods. Each price difference is weighted using a Hann windowing function, which gives more importance to the data in the middle of the period.
Calculate RSIH Value: Apply Ehlers' zero-mean transformation: \text{RSIH} = \frac{\text{CU} - \text{CD}}{\text{CU} + \text{CD}}
Apply NET Filter (Optional): The calculated RSIH values are then processed by the NET algorithm.
- The NET calculates the Kendall rank correlation between the last M values of the RSIH and a perfectly linear trend.
- It essentially measures the "directional consistency" of the RSIH. If the RSIH is moving smoothly up or down, the correlation is high (near +1 or -1). If it's choppy, the correlation is low (near 0).
- The result is a smoothed version of the RSIH where the "noise" (inconsistent movements) has been stripped out.

3. MQL5 Implementation Details

Unified Calculator (RSIH_Calculator.mqh): The entire calculation for both RSIH and NET is encapsulated within a single, dedicated calculator class.
Heikin Ashi Integration: An inherited _HA class allows all calculations to be performed seamlessly on smoothed Heikin Ashi data.
FIR-based Logic: The RSIH calculation is a non-recursive (FIR) filter. The NET calculation is a statistical correlation, also non-recursive. This gives the indicator a finite "memory."
Stability via Full Recalculation: The indicator employs a full recalculation on every OnCalculate call to ensure stability and accuracy.

4. Parameters

RSI Period (InpPeriodRSI): The lookback period (N) for the base RSIH calculation.
NET Period (InpPeriodNET): The lookback period (M) for the Noise Elimination Technology filter.
Apply NET (InpApplyNET): Toggles the visibility and calculation of the NET line. If false, only the base RSIH line will be shown as a solid line.
Applied Price (InpSourcePrice): The source price for the calculation.

Note on Period Sensitivity: Due to the FIR-based nature of the calculations, this indicator is highly sensitive to period length. A small change in InpPeriodRSI or InpPeriodNET can significantly alter the shape of the output. Users are encouraged to experiment to find the optimal "tuning" for their specific instrument and timeframe. Ehlers uses 14 as a starting point in his articles.

5. Usage and Interpretation

The RSIH indicator with NET is a two-line system designed for signal confirmation. Use the blue NET line to determine the overall momentum bias and the gray RSIH line for timing signals.

1. NET Line as a Momentum Filter (Primary Strategy)

The blue NET line provides a very clear, smoothed view of the market's momentum state.

Bullish Bias (NET > 0): When the blue NET line is above the zero line, the underlying momentum is bullish. In this state, primarily look for buy signals on the gray RSIH line.
Bearish Bias (NET < 0): When the blue NET line is below the zero line, the underlying momentum is bearish. In this state, primarily look for sell signals on the gray RSIH line.

2. RSIH for Entry Signals

Once the bias is determined by the NET line, use the faster, gray RSIH line for timing entries.

Buy Signal: While the blue NET line is above 0, wait for the gray RSIH line to dip into the oversold zone (e.g., below -0.5) and then cross back up. This signals a pullback entry in an ongoing uptrend.
Sell Signal: While the blue NET line is below 0, wait for the gray RSIH line to rise into the overbought zone (e.g., above +0.5) and then cross back down. This signals a rally entry in an ongoing downtrend.

3. Crossover Signals

The crossover of the two lines can be used as a confirmation signal, though it will have more lag.

Buy Confirmation: The gray RSIH line crosses above the blue NET line.
Sell Confirmation: The gray RSIH line crosses below the blue NET line.

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