1993issue C101-6
Restating relative-strength-index parameters after a smoothing change
A relative-strength-index cutoff belongs to the lookback, weighting, and scale that created it. After a 10-period window is applied as a weighted-moving-total instead of a front-weighted average, the published number has to be restated before it can be compared with the original baseline.
- A rate-of-change-sum can be formed by adding a 14-period price rate of change to an 11-period price rate of change before any smoothing is applied.
- The same 10-period window applied as a front-weighted average or as a weighted-moving-total produces different numerical scales, so a signal-threshold is valid only on the scale created by that choice.
- After the construction was aligned with the original arithmetic, 1.3 on the averaged scale was treated as parameter-equivalence for 7.15 on the totaled scale, whereas the original published cutoff was zero.
- The 11-period and 14-period lookbacks were motivated by an informal one-year recovery analogy, not by a reported statistical search over alternative lookbacks.
What the construction states
The assigned relative-strength-index here is a forecast from ordered price observations over a stated sampling interval and lookback. The historical workflow begins with a rate-of-change-sum: a 14-period price rate of change is added to an 11-period price rate of change before any smoothing is applied.
The same 10-period window can then be applied either as a front-weighted moving average or as a weighted-moving-total. Those two choices produce different numerical scales. In the weighted-moving-total version, the latest combined rate-of-change value is multiplied by 10, the value one period earlier by 9, and so on until the value nine periods earlier is multiplied by 1.
Restated cutoffs and condition rules
After the construction was aligned with the original arithmetic, a parameter of 1.3 on the averaged scale was treated as parameter-equivalence for 7.15 on the totaled scale, whereas the original published cutoff was zero.
On the totaled scale, an upward turn while the index was below 7.15 was used as the long condition, and a decline of 60.5 points while the index was above 7.15 was used as the opposite condition, compared with an 11-point decline on the 1.3 scale. Each figure is a signal-threshold that is valid only on the scale produced by the chosen lookbacks and weighting.
Switching from the averaged form to the totaled form left the shape of the series and the calendar dates of those conditions unchanged, because the difference was a rescaling rather than a new timing rule.
How the lookbacks were chosen
The 11-period and 14-period lookbacks were motivated by an informal one-year recovery analogy, not by a reported statistical search over alternative lookbacks.
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