RSI {TTR}R Documentation

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="EMA", wilder=TRUE, ...)

Arguments

price Price series to use.
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.
wilder Only used for the default case. If TRUE, a Welles Wilder type EMA will be calculated.
... Other arguments to be passed to the maType function in case (1) above.

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.

Value

A vector containing the RSI values.

Note

The RSI is usually interpreted as an overbought/oversold (over 70 / below 30) indicator. Divergence with price may also be useful. For example, if price is making new highs/lows, but RSI is not, it could indicate a reversal.

You can calculate a stochastic RSI by using the function stoch on RSI values.

Author(s)

Josh Ulrich

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)))


[Package TTR version 0.14-0 Index]