2008issue C101-15
Constructing an asymmetrical RSI from adaptive up and down averages
ARSI keeps the usual 0 to 100 relative-strength mapping, but it gives up-close and down-close differences their own averaging lengths from the up-count and down-count inside the lookback. The finished oscillator is meant to sit beside a conventional relative-strength index on the same series.
- A standard relative-strength index combines one up-close average and one down-close average as RS, then maps that ratio to a 0 to 100 scale.
- ARSI keeps that mapping and replaces the single fixed smoothing factor with two lengths taken from the up-count and down-count inside the lookback.
- Each side uses a Wilder-style factor whose period is the current side count, so the exponential update has to be recomputed when those counts change.
- The finished oscillator is plotted against a conventional relative-strength index on the same price series so the effect of the split averaging lengths can be inspected.
Start from a standard relative-strength index
The construction starts from a standard relative-strength index. Up-close and down-close averages are combined as RS and mapped to a 0 to 100 scale with 100 minus 100 divided by 1 plus RS.
A relative-strength index is a 0 to 100 momentum oscillator built from separately averaged up and down closing-price changes over a stated lookback. Unlike a conventional relative-strength index that uses one fixed smoothing factor, this variant assigns separate averaging lengths to up-close and down-close differences.
ARSI is that relative-strength construction. It replaces one fixed smoothing length with two lengths taken from how many up bars and down bars fall inside the lookback.
Count up bars and down bars
On each bar the one-bar close change is classified as an up move or a down move. The opposite side is recorded as zero.
The up-count is the sum of up-bar flags over the lookback. It is the number of bars in the lookback whose close is at least as high as the prior close. The down-count is the complementary bar count inside the same lookback, equal to the lookback length minus the up-count.
Apply a Wilder factor on each side
Each side is then smoothed with a Wilder-style factor whose period is the current side count, equivalent to 2 divided by twice the count. Wilder smoothing is an exponential-style average whose effective length is twice the chosen period minus one.
Because a standard exponential-average function expects a constant length, implementations recompute the exponential update with a length that can change whenever the up-count or down-count changes.
Map the two averages
Otherwise the constructed value is 100 minus 100 divided by 1 plus the up-average over the down-average. That is the same 0 to 100 mapping used by a standard relative-strength index, now fed by the two separately smoothed sides.
A 14-bar lookback is the default period used in the supplied implementations, with optional reference bands at 70 and 30.
Inspect the split lengths
The finished oscillator is intended to be plotted against a conventional relative-strength index on the same price series so the effect of the split averaging lengths can be inspected.
All readings on this track · 26 readings
- 1991Constructing the relative strength index from seed and recursive averages
- 1991Inverting relative-strength-index closes for same-session rules
- 1991Seeded averages and the recursive-update
- 1993Restating relative-strength-index parameters after a smoothing change
- 1993Relative momentum construction by stretching the relative strength lookback
- 1994Constructing relative strength index lookbacks, bands, and confirmation filters
- 1994Building the relative-strength-index from signed close changes
- 1997Constructing the relative strength index as a bounded up-down close oscillator
- 2002Four-line oscillator construction for rule-based entries
- 2004Assembling a bounded RSI path
- 2004Constructing RSI on highs, lows, and reverse targets
- 2004Reverse-engineered RSI as an explicit next-bar price target
- 2006Self-adjusting RSI thresholds from the oscillator's own spread
- 2006Constructing adaptive overbought and oversold levels for a relative strength index
- 2006Relative Strength Index 50-line entry beyond the 70 and 30 extremes
- 2007Lock a followable rule set before testing RSI exits
- 2008RSI bands as a one-day shift of reverse-engineered levels
- 2008Constructing an asymmetrical RSI from adaptive up and down averages
- 2010Building a bounded oscillator from a rainbow smoother, relative strength, and inverse Fisher
- 2011Two-horizon weekly RSI with moving averages and stops
- 2011Percent-offset simple moving average bands with relative-strength confirmation
- 2011Fast and slow relative strength index as one mechanical rule book
- 2011Price-zone oscillator construction from signed closes
- 2015Constructing a zero-lag oscillator against a relative strength index baseline
- 2015Relative Strength Index as a baseline in 2015 software listings
- 2018Building a Fisherized deviation-scaled oscillator