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Syntax


DataSeries ConnorsRSI(DataSeries ds, int periodRSI, int periodStreak, int periodPR)

Parameter Description

dsA DataSeries to apply ConnorsRSI to
periodRSIPeriod of the fast RSI (default: 3)
periodStreakPeriod for the RSI of streaks (default: 2)
periodPRPercentRank period (default: 100)

Description

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:

  1. Price momentum is measured by fast 3-period RSI
  2. 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.
  3. 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(Close,3) + RSI(Streak,2) + PercentRank(100) ] / 3

Reference


Example

See the code for ActiveTrader Mag article on "ConnorsRSI Pullback system" (when available).

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Used under license from FMR Corp. Copyright 2008 FMR Corp. All rights reserved.


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