RSI | R Documentation |
The Relative Strength Index (RSI) calculates a ratio of the recent upward price movements to the absolute price movement. Developed by J. Welles Wilder.
RSI(price, n = 14, maType, ...)
price |
Price series that is coercible to xts or matrix. |
n |
Number of periods for moving averages. |
maType |
Either:
|
... |
Other arguments to be passed to the |
The RSI calculation is RSI = 100 - 100 / ( 1 + RS )
, where RS
is the smoothed ratio of 'average' gains over 'average' losses. The
'averages' aren't true averages, since they're divided by the value of
n
and not the number of periods in which there are gains/losses.
A object of the same class as price
or a vector (if
try.xts
fails) containing the RSI values.
The RSI is usually interpreted as an overbought/oversold (over 70 / below 30) indicator. Divergence with price may also be useful. For example, if price is making new highs/lows, but RSI is not, it could indicate a reversal.
You can calculate a stochastic RSI by using the function stoch
on RSI values.
Joshua Ulrich
The following site(s) were used to code/document this
indicator:
Relative Strength Index:
https://www.fmlabs.com/reference/RSI.htm
https://www.metastock.com/Customer/Resources/TAAZ/?p=100
https://www.linnsoft.com/techind/relative-strength-index-rsi
https://school.stockcharts.com/doku.php?id=technical_indicators:relative_strength_index_rsi
Stochastic RSI:
https://www.fmlabs.com/reference/StochRSI.htm
https://school.stockcharts.com/doku.php?id=technical_indicators:stochrsi
See EMA
, SMA
, etc. for moving average
options; and note Warning section. See CMO
for a variation on
RSI.
data(ttrc)
price <- ttrc[,"Close"]
# Default case
rsi <- RSI(price)
# Case of one 'maType' for both MAs
rsiMA1 <- RSI(price, n=14, maType="WMA", wts=ttrc[,"Volume"])
# Case of two different 'maType's for both MAs
rsiMA2 <- RSI(price, n=14, maType=list(maUp=list(EMA),maDown=list(WMA)))
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