RSI, CCI, and moving-average trend-filter construction

Slope, duration, and acceleration as separate questions

A same-length relative strength index reading at or above 50 is treated as the counterpart of a positive moving-average slope, and a reading below 50 as the counterpart of a negative slope. The fifty-line is the RSI midline used to mark whether a moving average of matching lookback has a positive or negative slope.

The moving average remains the lagged smoother of past observations that serves as the classic trend baseline. The archive then compares RSI and commodity channel constructions against that reference line rather than discarding it.

Editorial interpretation: teach this as a three-layer trend filter. First map same-length RSI to moving-average slope. Next smooth that RSI to test whether the slope persists. Then wrap a commodity-channel deviation around the RSI-to-average gap so slope, duration, and acceleration stay separate questions inside one bounded-indicator family.

Same-length RSI as a slope detector

The relative strength index is a bounded price-velocity oscillator. In this construction its position versus the fifty-line is treated as a same-length slope detector, not only as a range-bound overbought or oversold gauge.

In a four-year SPY window around 2007 to 2010, turns in a 200-day simple moving average coincide with RSI(200) crossing the 50 level. That historical coincidence is the archive reason for pairing the two lookbacks.

Why a short RSI is treated as a range tool

The familiar 14-bar RSI length is described as too short to mark major trends. That short lookback helps explain why RSI is often treated as a range-bound rather than a trend tool.

A smoother of RSI as a major-trend identifier

A 100-day average of RSI(200) is constructed as a major-trend identifier. That RSI moving average is a smoother of RSI itself, used to test whether a fifty-line crossing persists as a major trend instead of a brief slope reversal.

In a 20-year SPY illustration that average showed no highlighted whipsaws, while the 100-day and 200-day price averages showed three.

A more sensitive RSI-to-average plot

Plotting RSI(200) against its own 200-day average is presented as a more sensitive construction whose illustrated crossovers occurred earlier than the matching price moving-average crossovers. The price moving average stays the baseline. The RSI-to-average plot is the comparison, not a replacement definition of the average.

Commodity channel index on RSI

Overlaying a same-length commodity channel index on RSI is used to measure how far RSI is accelerating away from its moving average. The commodity channel index is a mean-deviation oscillator that can travel beyond its default rails and, when applied to RSI, measures that acceleration.

When CCI is applied to an indicator such as RSI, the typical-price input is replaced by the indicator close. Typical price is the high-low-close average that is the usual CCI input.

Rescaling the CCI rails

After converting the mean-absolute-deviation CCI scale to a z-score, the plus or minus 137 levels enclose 90 percent of readings, whereas the default plus or minus 100 levels enclose about 77 percent. Mean absolute deviation is the scale in the CCI denominator, related to standard deviation by a factor of about 0.7979 under a normal-distribution assumption.

Confirming strength with a five-percent zone

On a multi-year GLD window, RSI(300) visiting the upper five-percent zone, illustrated at 54.7, and remaining above 50 is used to confirm an uptrend in a way the 300-day averages alone do not provide. The five-percent zone is an outer RSI tail, illustrated as a 90 percent confidence bound, used to confirm statistically unusual trend strength rather than only to detect a slope change.

In that same GLD construction, an early-2012 advance that held above 50 but did not re-enter the five-percent zone is marked as unconfirmed, and a downtrend is marked as confirmed in May 2013.