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#1 Selling Amibroker Plugin featuring:
ConnorsRSI Upgraded for Amibroker (AFL)
The ConnorsRSI indicator was created by Larry Connors of Connors Research. It combines three equally weighted constituents, representing price momentum, duration of up/down trend, and relative magnitude of price change:
Price momentum is measured by fast 3-period RSI
Duration of up/down trend is the sensitive 2-period RSI of closing price’s streaks. Streaks are recorded in an oscillating manner: for example, 2 consecutive closes up give a reading of 2, 3 consecutive declining closes give a -3, and an unchanged price is 0.
Relative magnitude of price change compares the most-recent bar’s price change to previous price changes using the PercentRank function, or a percentile. We will use 1-day change of close price.
The three components of ConnorsRSI are averaged into the new indicator as follows:
ConnorsRSI(3,2,100) = [ RSI + RSI + PercentRank(100) ] / 3
- New: ConnorsRSI Average;
- New: Plot Closing Range;
- Added: Backtest.
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Indicator / Formula
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 | paramLenRSI = Param("RSI Closes Length", 3, 2, 100, 1);paramLenUD = Param("RSI UpClose Length", 2, 2, 100, 1);paramLenRank = Param("PercentRank Length", 100, 10, 252, 1);paramAverage = Param("Average", 5, 1, 100, 1);function ConnorsRSI(lenRSI, lenUD, lenROC){ upDays = BarsSince(C <= Ref(C,-1)); downDays = BarsSince(C >= Ref(C,-1)); updownDays = IIf(upDays > 0, upDays, IIf(downDays > 0, -downDays, 0)); crsi = ( PercentRank(ROC(C,1), lenROC) + RSIa(updownDays,lenUD) +RSI(lenRSI))/3; return crsi;}function ClosingRange() { return ((C - L) / (H - L)) * 100;}Plot( ConnorsRSI(paramLenRSI,paramLenUD,paramLenRank) , "ConnorsRSI("+paramLenRSI+","+paramLenUD+","+paramLenRank+")" , colorBrightGreen, styleLine, 0, 100);Plot(ClosingRange(), "Closing Range", colorRed, styleDashed);Plot( MA(ConnorsRSI(paramLenRSI,paramLenUD,paramLenRank), paramAverage) , "Average("+paramAverage+")" , colorLightBlue, styleLine, 0, 100);PlotGrid(85, colorGold);PlotGrid(15, colorGold);SetTradeDelays(0,0,0,0);BuyPrice = C;SellPrice = C;NumberPositions = 10;SetOption("MaxOpenPositions", NumberPositions);PositionSize = -100 / NumberPositions;Buy = ConnorsRSI(paramLenRSI,paramLenUD,paramLenRank) < 15 AND ClosingRange() < 25;Sell = ConnorsRSI(paramLenRSI,paramLenUD,paramLenRank) > 70;Short = ConnorsRSI(paramLenRSI,paramLenUD,paramLenRank) > 85 AND ClosingRange() > 75;Cover = ConnorsRSI(paramLenRSI,paramLenUD,paramLenRank) < 30;Lookback = 5;PositionScore = -ROC(C,Lookback); |
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Hi,
Ideally if this should have accompanied the buy and sell signal or arrow it would have been ideal. Thanks,
thanks