TTR (version 0.23-1)

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.

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 and not the number of periods in which there are gains/losses.

References

The following site(s) were used to code/document this indicator: Relative Strength Index: 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 Stochastic RSI: http://www.fmlabs.com/reference/StochRSI.htm http://stockcharts.com/education/IndicatorAnalysis/indic_stochRSI.html

See Also

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

Examples

# NOT RUN {
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)))
# }