TTR (version 0.2)

RSI: Relative Strength Index

Description

The Relative Strength Index (RSI) calculates a ratio of the recent upward price movements to the absolute price movement. Developed by J. Welles Wilder.

Usage

RSI(price, n=14, maType, ...)

Arguments

price

Price series that is coercible to xts or matrix.

n

Number of periods for moving averages.

maType

Either: (1) A function or a string naming the function to be called, or (2) a list with the first component like (1) above, and additional parameters specified as named components. See Examples.

...

Other arguments to be passed to the maType function in case (1) above.

Value

• A object of the same class as price or a vector (if try.xts fails) containing the RSI values.

Details

The RSI calculation is RSI = 100 - 100 / ( 1 + RS ), where RS is the smoothed ratio of 'average gains over 'average' losses. The 'averages' aren't true averages, since they're divided by the value of n not the number of gain/loss periods.

References

The following site(s) were used to code/document this indicator: http://www.fmlabs.com/reference/RSI.htm http://www.equis.com/Customer/Resources/TAAZ/?c=3&p=100 http://linnsoft.com/tour/techind/rsi.htm http://stockcharts.com/education/IndicatorAnalysis/indic_RSI.html

See Also

See EMA, SMA, etc. for moving average options; and note Warning section. See CMO for a variation on RSI.

Examples

data(ttrc)
  price <- ttrc[,"Close"]

  # Default case
  rsi <- RSI(price)

  # Case of one 'maType' for both MAs
  rsiMA1 <- RSI(price, n=14, maType="WMA", wts=ttrc[,"Volume"])

  # Case of two different 'maType's for both MAs
  rsiMA2 <- RSI(price, n=14, maType=list(maUp=list(EMA,ratio=1/5),
                maDown=list(WMA,wts=1:10)))