In pscillator Self-Adjusting RSI, we have implemented the methods of automated adjusting the RSI oscillator overbought/oversold levels, described in David Sepiashvili’s article The Self-Adjusting RSI.
The indicator has five configurable parameters:
- Period – RSI calculation period;
- Applied price – RSI calculation price;
- Calculation mode – adjusting mode:
- Standard deviation – by standard deviation;
- Moving average – by moving average.
- Deviation for StdDev mode – deviation for the Standard deviation mode;
- Deviation for MA mode – deviation for the Moving average mode.
Calculations:
SARSI = RSI(Period, Applied price)
If Calculation mode = Standard deviation:
Overbought = 50.0 + Deviation * AvgDev Oversold = 50.0 - Deviation * AvgDev AvgDev = StdDev(SARSI, Period, MODE_SMA)
If Calculation mode = Moving average:
Overbought = 50.0 + Deviation * AvgRAW Oversold = 50.0 - Deviation * AvgRAW AvgRAW = SMA(RAW, Period) RAW = Abs(SARSI - AvgDev) AvgDev = SMA(SARSI, Period)
Fig 1. Calculation mode = Standard deviation
Fig. 2. Calculation mode = Moving average
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