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1993issue C111-2

Relative momentum construction by stretching the relative strength lookback

The archive specifies a relative momentum construction as a variation of the relative strength index that changes how the price difference is formed. Averaging, the smoothing length, and the bounded scale stay in place while a user-selected comparison interval replaces the one-bar change.

  • The relative momentum construction is specified as a variation of the relative strength index that changes how the price difference is formed.
  • A user-selected comparison interval replaces the one-bar difference, with a five-bar gap given as the working example.
  • Seeded averages are sums of up amounts and down amounts over the smoothing length, each divided by that length; later bars use a length-weighted blend of the prior average and the newest classified amount.
  • A daily yen chart note states that the relative strength index path is more volatile than the modified path because the former uses one-day changes and the latter uses five-day changes.
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Current trackRelative Strength Index261 readings

A variation that changes the price difference

The momentum-style series is specified as a variation of the relative strength index that changes how the price difference is formed. The relative strength index is a bounded oscillator that classifies one-bar price changes as up or down amounts and rescales their smoothed averages onto a 0-100 range.

The relative strength index construction begins from a one-bar difference in price. The relative momentum construction keeps those averaging and scaling steps and replaces the one-bar change with a user-chosen gap between two closes.

Setting the comparison interval

The modified construction uses a user-selected number of bars between the two closes being compared. That span is the comparison interval, and a five-bar gap is given as the working example.

Each close-to-close difference over the comparison interval is classified as an up amount or a down amount. The up amount is the non-negative part of the difference. The down amount is the absolute value of a negative difference.

Seeded averages and later updates

Before the bar count reaches the chosen comparison interval, the first up and down averages are seeded averages. Each seeded average is the sum of classified amounts over the stated smoothing length, divided by that length.

On later bars, each average is refreshed as a length-weighted blend of the prior average and the newest classified amount. The smoothing length is the count of classified amounts used to form the first averages and later to weight each recursive update.

The bounded scale

When the two averages are not both zero, the plotted value equals 100 times the up average divided by the sum of the two averages. Otherwise the value is set to 0. That mapping is the bounded scale shared by both constructions.

A reusable function and a plotted series

The construction is intended to be stored as a reusable function and then drawn as an indicator series.

A daily yen path note

A daily yen chart note states that the relative strength index path is more volatile than the modified path because the former uses one-day changes and the latter uses five-day changes.

Daily yen: five-day RMI versus one-day RSI

On the December 1992 yen contract the five-day relative momentum index stays far smoother than the familiar one-bar RSI, while both keep the same 0-100 scale. The contrast is the point of the figure: stretching the comparison gap damps the oscillator without inventing a new family. Readings are approximate visual samples from the published TradeStation plot, not a printed table.
On the December 1992 yen contract the five-day relative momentum index stays far smoother than the familiar one-bar RSI, while both keep the same 0-100 scale. The contrast is the point of the figure: stretching the comparison gap damps the oscillator without inventing a new family. Readings are approximate visual samples from the published TradeStation plot, not a printed table.Japanese yen futures (December 1992) · Daily · 1992-01-03T00:00:00.000Z to 1992-07-31T00:00:00.000Z

The source builds RMI like RSI but replaces the one-session close-to-close change with a five-session gap; averaging and the 0-100 transform stay the same. Points are whole-number estimates from the raster and are not recomputed indicator output. Visible axis runs January through July 1992.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
5 of 26 in the Relative Strength Index track
19941-6 pp.Next on Relative Strength IndexConstructing relative strength index lookbacks, bands, and confirmation filtersThe relative strength index compares an instrument only with its own past closes through an RS ratio of lookback-average up-close and down-close changes, then maps that ratio onto a scale between 1 and 100.
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 fieldIndicators and filters874 readingsBy year1993106 readings
All 261 readings tagged Relative Strength Index
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1985Session windows, volume weights, and divergence in RSI construction1986Constructing bounded relative-strength overlays from oscillator limits1987Constructing the commodity channel, average directional, and relative strength indexes on a shared cycle scale1987Constructing scaled OHLC matrices for study overlays1987Evaluating silver moving averages and RSI by scoring rule