StochRSI

Modified on 2015/06/22 12:43 by Eugene — Categorized as: Standard Indicators

Syntax

public static StochRSI Series(DataSeries source, int period)
public StochRSI(DataSeries source, int period, string description)

Parameter Description

source	Price series
period	Indicator calculation period

Description

StochRSI is an indicator created by Tushar Chande that combines Stochastics with the Relative Strength Index. Like RSI, StochRSI cycles between overbought levels below 30 and oversold levels above 70. The StochRSI reaches these levels much more frequently than RSI, resulting in an oscillator that offers more trading opportunities. StochRSI moves within the range of 0 to 100. Unlike RSI, StochRSI frequently reaches the extreme 0 and 100 levels.

Interpretation

Look for oversold levels below 30 and overbought levels above 70. These normally occur before the underlying price chart forms a top or a bottom. Note, you should change the levels depending on market conditions. Ensure the level lines cut across the highest peaks and the lowest troughs. During strong trends the StochRSI may remain in overbought or oversold for extended periods.
If underlying prices make a new high or low that isn't confirmed by the StochRSI, this divergence can signal a price reversal. StochRSI divergences from price indicates very strong buy or sell signal.
Swing Failures. If the StochRSI makes a lower high followed buy a downside move below a previous low, then a Top Swing Failure has occurred, sell signal. If the StochRSI makes a higher low followed buy a upside move above a previous high, then a Bottom Swing Failure has occurred, buy signal.
The mid point level of 50 will often act as support or resistance if the StochRSI bounce off the 50 level. Crosses of the 50 level can be used as a buying or selling signal. When StochRSI cross above then buy, when StochRSI crosses below then sell.

Calculation

StochRSI is essentially a StochK of the RSI. See both StochK and RSI for more information.

StochRSI = ( RSI(n) - RSI lowest low(n) ) / ( RSI highest high(n) - RSI lowest low(n) )

where, n = number of periods

Example

using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		protected override void Execute()
		{
			DataSeries ema = EMA.Series( Close, 30, EMACalculation.Modern );
			DataSeries stoRSI = StochRSI.Series( Close, 14 );
			ChartPane StochRSIPane = CreatePane( 35, true, true );
			PlotSeries( StochRSIPane, stoRSI, Color.IndianRed, WealthLab.LineStyle.Solid, 1 );

			// StochRSI is an "unstable" indicator so the loop should start at least 3 times its period
			for(int bar = 45; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					Position p = LastPosition;
					if( stoRSI[bar] == 100 )
						SellAtMarket( bar+1, p ); else
					if( p.MFEAsOfBarPercent( bar ) > 10 )
						ExitAtStop( bar+1, p, p.EntryPrice, "Breakeven @ 10%" );
				}
				else
				{
					if( ( ema[bar] > ema[bar-1] ) && ( stoRSI[bar] == 0 ) )
						BuyAtMarket( bar+1 );
				}
			}
		}
	}
}