Larry Connors MTF Cumulative RSI Chart Setup For ThinkOrSwim

theLEMband

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I was reading about Larry Connors 2 period Cumulative RSI and put together a script last night. Looked at Peloton this AM, running 4, 15, and 1 hour periods (I add them separately, rather than grouping them on the same lower frame). Waiting for 60 min and 15 minute to coincide and then entering on next 4 min trigger yielded signals below:

Uc0zMDV.png


Cumulative RSI Shared Link: http://tos.mx/DEir1Hv
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The code for the current timeframe is:
Code:
# 2-Period CumulativeRSI by theLEMband
# Modification of TOS RSI
# Idea from Larry Connors book

declare lower;

input length = 2;
input over_Bought = 170;
input over_Sold = 30;
input price = close;
input averageType = AverageType.WILDERS;
input showBreakoutSignals = yes;

def NetChgAvg = MovingAverage(averageType, price - price[1], length);
def TotChgAvg = MovingAverage(averageType, AbsValue(price - price[1]), length);
def ChgRatio = if TotChgAvg != 0 then NetChgAvg / TotChgAvg else 0;

def RSI = 50 * (ChgRatio + 1);
plot RSICumul = RSI + RSI[1];
plot OverSold = over_Sold;
plot OverBought = over_Bought;
plot UpSignal = if RSICumul crosses above OverSold then OverSold else Double.NaN;
plot DownSignal = if RSICumul crosses below OverBought then OverBought else Double.NaN;

UpSignal.SetHiding(!showBreakoutSignals);
DownSignal.SetHiding(!showBreakoutSignals);

RSICumul.DefineColor("OverBought", GetColor(5));
RSICumul.DefineColor("Normal", GetColor(7));
RSICumul.DefineColor("OverSold", GetColor(1));
RSICumul.AssignValueColor(if RSICumul > over_Bought then RSICumul.color("OverBought") else if RSICumul < over_Sold then RSICumul.color("OverSold") else RSICumul.color("Normal"));
OverSold.SetDefaultColor(GetColor(8));
OverBought.SetDefaultColor(GetColor(8));
UpSignal.SetDefaultColor(Color.UPTICK);
UpSignal.SetPaintingStrategy(PaintingStrategy.ARROW_UP);
DownSignal.SetDefaultColor(Color.DOWNTICK);
DownSignal.SetPaintingStrategy(PaintingStrategy.ARROW_DOWN);

The code for the alternate timeframe:

Code:
# Alternate Timeframe 2-Period CumulativeRSI by theLEMband
# Modification of TOS RSI
# Idea from Larry Connors book
# add this study for each higher timeframe that you want to see

declare lower;

input timeframe = AggregationPeriod.FOUR_MIN;

input length = 2;
input over_Bought = 170;
input over_Sold = 30;
def price = close(period = timeframe);
input averageType = AverageType.WILDERS;
input showBreakoutSignals = no;

def NetChgAvg = MovingAverage(averageType, price - price[1], length);
def TotChgAvg = MovingAverage(averageType, AbsValue(price - price[1]), length);
def ChgRatio = if TotChgAvg != 0 then NetChgAvg / TotChgAvg else 0;

def RSI = 50 * (ChgRatio + 1);
plot RSICumul = RSI + RSI[1];
plot OverSold = over_Sold;
plot OverBought = over_Bought;
plot UpSignal = if RSICumul < OverSold then OverSold else Double.NaN;
plot DownSignal = if RSICumul > OverBought then OverBought else Double.NaN;

UpSignal.SetHiding(!showBreakoutSignals);
DownSignal.SetHiding(!showBreakoutSignals);

RSICumul.DefineColor("OverBought", GetColor(5));
RSICumul.DefineColor("Normal", GetColor(7));
RSICumul.DefineColor("OverSold", GetColor(1));
RSICumul.AssignValueColor(if RSICumul > over_Bought then RSICumul.color("OverBought") else if RSICumul < over_Sold then RSICumul.color("OverSold") else RSICumul.color("Normal"));
OverSold.SetDefaultColor(GetColor(8));
OverBought.SetDefaultColor(GetColor(8));
UpSignal.SetDefaultColor(Color.UPTICK);
UpSignal.SetPaintingStrategy(PaintingStrategy.ARROW_UP);
DownSignal.SetDefaultColor(Color.DOWNTICK);
DownSignal.SetPaintingStrategy(PaintingStrategy.ARROW_DOWN);

Test it out and see if you find it helpful in conjunction with support/resistance or other signals. Let me know what results.
 
Last edited by a moderator:
I was reading about Larry Connors 2 period Cumulative RSI and put together a script last night. Looked at Peloton this AM, running 4, 15, and 1 hour periods (I add them separately, rather than grouping them on the same lower frame). Waiting for 60 min and 15 minute to coincide and then entering on next 4 min trigger yielded signals below:

Uc0zMDV.png


The code for the current timeframe is:

Code:
# 2-Period CumulativeRSI by theLEMband
# Modification of TOS RSI
# Idea from Larry Connors book

declare lower;

input length = 2;
input over_Bought = 170;
input over_Sold = 30;
input price = close;
input averageType = AverageType.WILDERS;
input showBreakoutSignals = yes;

def NetChgAvg = MovingAverage(averageType, price - price[1], length);
def TotChgAvg = MovingAverage(averageType, AbsValue(price - price[1]), length);
def ChgRatio = if TotChgAvg != 0 then NetChgAvg / TotChgAvg else 0;

def RSI = 50 * (ChgRatio + 1);
plot RSICumul = RSI + RSI[1];
plot OverSold = over_Sold;
plot OverBought = over_Bought;
plot UpSignal = if RSICumul crosses above OverSold then OverSold else Double.NaN;
plot DownSignal = if RSICumul crosses below OverBought then OverBought else Double.NaN;

UpSignal.SetHiding(!showBreakoutSignals);
DownSignal.SetHiding(!showBreakoutSignals);

RSICumul.DefineColor("OverBought", GetColor(5));
RSICumul.DefineColor("Normal", GetColor(7));
RSICumul.DefineColor("OverSold", GetColor(1));
RSICumul.AssignValueColor(if RSICumul > over_Bought then RSICumul.color("OverBought") else if RSICumul < over_Sold then RSICumul.color("OverSold") else RSICumul.color("Normal"));
OverSold.SetDefaultColor(GetColor(8));
OverBought.SetDefaultColor(GetColor(8));
UpSignal.SetDefaultColor(Color.UPTICK);
UpSignal.SetPaintingStrategy(PaintingStrategy.ARROW_UP);
DownSignal.SetDefaultColor(Color.DOWNTICK);
DownSignal.SetPaintingStrategy(PaintingStrategy.ARROW_DOWN);

The code for the alternate timeframe:

Code:
# Alternate Timeframe 2-Period CumulativeRSI by theLEMband
# Modification of TOS RSI
# Idea from Larry Connors book
# add this study for each higher timeframe that you want to see

declare lower;

input timeframe = AggregationPeriod.FOUR_MIN;

input length = 2;
input over_Bought = 170;
input over_Sold = 30;
def price = close(period = timeframe);
input averageType = AverageType.WILDERS;
input showBreakoutSignals = no;

def NetChgAvg = MovingAverage(averageType, price - price[1], length);
def TotChgAvg = MovingAverage(averageType, AbsValue(price - price[1]), length);
def ChgRatio = if TotChgAvg != 0 then NetChgAvg / TotChgAvg else 0;

def RSI = 50 * (ChgRatio + 1);
plot RSICumul = RSI + RSI[1];
plot OverSold = over_Sold;
plot OverBought = over_Bought;
plot UpSignal = if RSICumul < OverSold then OverSold else Double.NaN;
plot DownSignal = if RSICumul > OverBought then OverBought else Double.NaN;

UpSignal.SetHiding(!showBreakoutSignals);
DownSignal.SetHiding(!showBreakoutSignals);

RSICumul.DefineColor("OverBought", GetColor(5));
RSICumul.DefineColor("Normal", GetColor(7));
RSICumul.DefineColor("OverSold", GetColor(1));
RSICumul.AssignValueColor(if RSICumul > over_Bought then RSICumul.color("OverBought") else if RSICumul < over_Sold then RSICumul.color("OverSold") else RSICumul.color("Normal"));
OverSold.SetDefaultColor(GetColor(8));
OverBought.SetDefaultColor(GetColor(8));
UpSignal.SetDefaultColor(Color.UPTICK);
UpSignal.SetPaintingStrategy(PaintingStrategy.ARROW_UP);
DownSignal.SetDefaultColor(Color.DOWNTICK);
DownSignal.SetPaintingStrategy(PaintingStrategy.ARROW_DOWN);

Test it out and see if you find it helpful in conjunction with support/resistance or other signals. Let me know what results.
Is there a share code for the lower studies MultipleTFCumulativeRSI?
 
this is a losing strategy, backtested it on several equities on PRT, several TF with 200k bars, not a single one positive
 
Yeah, I abandoned it some time ago. I think it would only have a chance of working in trending markets with the stock on a verified uptrend, but it wasn't worth pursuing.
What is PRT?
 
Thank you theLEMband for posting the code for this indicator. I'm testing it on different markets, ETFs, futures and while it sends many false signals, many times it follows along well with Buy the Dip indicator.
 
Last edited by a moderator:
This indicator definitely works best when you are in a confirmed trend and then get the signal. Even better when the signal occurs at support/resistance. Trading this in a choppy market will decimate an account.
 
Last edited by a moderator:

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