The Derivative Oscillator indicator by Constance Brown was published in her book "Technical Analysis for the Trading Professional"
The indicator is a twice exponentially smoothed RSI with the default parameters of 5 and 3.
Then a signal line is formed by simple smoothing of the resulting 2ERSI with the period of 9.
The derived histogram is calculated as a difference between 2ERSI and the signal line
There are five inputs:
- RSI period - period of RSI
- First EMA period - the period of the first smoothing EMA
- Second EMA period - the period of the second smoothing EMA
- SMA period - signal line smoothing period
- Applied price price used for calculations
Calculation:
DEROSC = EMA2 - SMA(EMA2, SMA period)
where:
EMA2 = EMA(EMA1, Second EMA period) EMA1 = EMA(RSI, First EMA period) RSI - RSI(Applied price, RSI period)
