Connors RSI

What is the ConnorsRSI?

It consists of three components:
a. Short term Relative Strength, i.e., RSI(3).
b. Counting consecutive up and down days (streaks) and "normalizing" the data using RSI(streak,2). The result is a bounded, 0-100 indicator.
c. Magnitude of the move (percentage-wise) in relation to previous moves. This is measured using the percentRank() function.


The formula given is:
ConnorsRSI(3,2,100) = [ RSI(Close,3) + RSI(Streak,2) + PercentRank(percentMove,100) ] / 3


Bottom line: Connors/Alvarez have used similar indicators in the past. What is happening here is that they are creating a more robust indicator by averaging the three. They are "normalizing" the three indicators (rsi, consecutive moves and magnitude of move) to a 0-100 range and then averaging.

Connors/Alvarez propose a strategy that uses the Connors RSI coupled with other rules and filters on large section of U.S. Stocks.

Good work related to CRSI: http://sanzprophet.blogspot.com/2012/12/connors-rsi-part-1.html

Download PercentRank function here: Percentile - Percent Rank of a Trading Indicator

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