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2011issue C0480-84

Fast and slow relative strength index as one mechanical rule book

The constructed system uses a faster and a slower relative strength index with a faster and a slower moving average. Longer-horizon trades follow the prevailing trend from the slower pair, shorter-horizon trades fade that same trend, and the full entry, exit, and countertrend logic is packaged as a coded mechanical system with rebuild notes.

  • A faster and a slower relative strength index, together with a faster and a slower moving average, are the rule inputs.
  • Longer-horizon trades are taken with the prevailing trend from the slower pair; shorter-horizon trades are taken against that same trend.
  • The baseline construction faded only downtrends; an extra pair of short-horizon long and short rules lets the same procedure fade an uptrend.
  • Entry, exit, and countertrend logic is packaged as a coded mechanical system, written in accompanying notes, and supplied as rebuild steps on a charting platform.
Entries in this reading3 entries
Current trackRelative Strength Index261 readingsRule-based entry292 readingsMechanical trading system322 readings

Two speeds, four inputs

The constructed system takes a faster and a slower relative strength index together with a faster and a slower moving average as its rule inputs.

Relative strength index is a bounded oscillator computed from ordered price observations over a stated lookback. It is applied here at two speeds so regime and timing are not taken from the same calculation.

Regime from the slower pair

Longer-horizon opportunities are specified as trades taken with the prevailing trend identified by the slower pair of measures. The prevailing trend is the direction inferred from the slower oscillator and average pair. That reading is used as the regime filter for both aligned and opposing signals.

Shorter-horizon opportunities are specified as trades taken against that same prevailing trend.

Countertrend rules on both sides

The baseline construction covered countertrend trades only against downtrends. An extra pair of short-horizon long and short rules was added so the same procedure can fade an uptrend.

A countertrend entry is a shorter-horizon long or short taken against that regime. It is still issued by explicit rules rather than by judgment.

One coded procedure

The resulting entry, exit, and countertrend logic is packaged as a coded mechanical system whose rules are written down in accompanying notes. A mechanical trading system is a complete coded procedure that applies the same entry, exit, and countertrend rules whenever the stated conditions appear.

A rule-based entry is a predetermined long, short, or stay-out condition generated from indicator state, market regime, and stated constraints rather than from discretion. Step-by-step construction instructions are supplied so the same rule procedure can be rebuilt on a charting platform.

How the assembled rules mark price

A daily candlestick chart of euro versus US dollar is used to show how the assembled relative-strength-index rules mark price.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
22 of 26 in the Relative Strength Index track
201163-71 pp.Next on Relative Strength IndexPrice-zone oscillator construction from signed closesThe price-zone oscillator keeps the zone-and-regime idea of the volume-zone oscillator and switches the input series from volume to ordered closes.
All readings on this track · 26 readings
  1. 1991Constructing the relative strength index from seed and recursive averages
  2. 1991Inverting relative-strength-index closes for same-session rules
  3. 1991Seeded averages and the recursive-update
  4. 1993Restating relative-strength-index parameters after a smoothing change
  5. 1993Relative momentum construction by stretching the relative strength lookback
  6. 1994Constructing relative strength index lookbacks, bands, and confirmation filters
  7. 1994Building the relative-strength-index from signed close changes
  8. 1997Constructing the relative strength index as a bounded up-down close oscillator
  9. 2002Four-line oscillator construction for rule-based entries
  10. 2004Assembling a bounded RSI path
  11. 2004Constructing RSI on highs, lows, and reverse targets
  12. 2004Reverse-engineered RSI as an explicit next-bar price target
  13. 2006Self-adjusting RSI thresholds from the oscillator's own spread
  14. 2006Constructing adaptive overbought and oversold levels for a relative strength index
  15. 2006Relative Strength Index 50-line entry beyond the 70 and 30 extremes
  16. 2007Lock a followable rule set before testing RSI exits
  17. 2008RSI bands as a one-day shift of reverse-engineered levels
  18. 2008Constructing an asymmetrical RSI from adaptive up and down averages
  19. 2010Building a bounded oscillator from a rainbow smoother, relative strength, and inverse Fisher
  20. 2011Two-horizon weekly RSI with moving averages and stops
  21. 2011Percent-offset simple moving average bands with relative-strength confirmation
  22. 2011Fast and slow relative strength index as one mechanical rule book
  23. 2011Price-zone oscillator construction from signed closes
  24. 2015Constructing a zero-lag oscillator against a relative strength index baseline
  25. 2015Relative Strength Index as a baseline in 2015 software listings
  26. 2018Building a Fisherized deviation-scaled oscillator
By fieldEntry and exit rules327 readingsBy year2011131 readings
All 261 readings tagged Relative Strength Index
Also on Relative Strength Index5 readings
1991Inverting relative-strength-index closes for same-session rules1991Write a staged RSI exit book with trailing stops1998Oversold confirmation as a staged rule-based-entry case1999Evaluating Relative Strength Index momentum with zero-line and threshold rules2001Threshold RSI and stochastic setups with next-bar stops