alexgrover

RSI With Noise Elimination Technology (John Ehlers)

Indicator translation to Pinescript requested by cookie_crusher on Twitter . The "RSI With Noise Elimination Technology" (NET) is an indicator developed by John Elhers.

The indicator is simply a rolling Kendall rank correlation coefficient of a normalized momentum oscillator (a version of the RSI introduced by Elhers in the May 2018 issue of Stocks & Commodities ). It can be interesting to note that the absolute value of this oscillator is equal to the efficiency ratio used in the Kaufman adaptive moving average ( KAMA ).

Even if both the normalized momentum oscillator and rolling Rank correlation are scale-invariant oscillators, they do not have the same behaviors when increasing their settings, that is the normalized momentum oscillator scale range will become lower while the Kendall correlation will stay close to 1/-1, here is a closed-form approximation of the mean of the absolute value of the normalized momentum oscillator absolute value (efficiency ratio):

E(er) ≈ 1/√p

Where E(er) is the mean of the efficiency ratio er while p is the period of the efficiency ratio, as such the scale of the normalized momentum oscillator will shrink with a higher period, maybe that both are not intended to be plotted at the same time but that's what the original code does.

It's still a coll indicator. The link to J. Elhers article is in the code.
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You can also check out some of the indicators I made for luxalgo : https://www.tradingview.com/u/LuxAlgo/#published-scripts

Bình luận

It's always a good morning (or kinda like Christmas) when you wake up and see a new Grover indicator.
+7 Phản hồi
kurtsmock stevenwalter0
@stevenwalter0, Agreed!
+3 Phản hồi
alexgrover kurtsmock
@kurtsmock, @stevenwalter0 you guys are too kind!
+1 Phản hồi
good one ,

can you please throw some light , how to use this indicator ?
+4 Phản hồi
kurtsmock mohanee
@mohanee, In my opinion the output of this indicator behaves very similarly to the Stochastic RSI. Its definitely reduces the noise of the sRSI and it is scaled differently, but for all intents and purposes I imagine you would put this in the category of oscillators with the likes of the sRSI, Fisher's oscillator and other like instruments. That said, there might be value in adding a signal line to this (an SMA3 of the primary plot or something like that) since the noise reduction takes out most of the signals that you would be interested in taking out of the RSI. Great stuff @alexgrover. I always enjoy reading your stuff.
+3 Phản hồi
This is going to be one of the most popular indicators on TV.

Thanks!
+3 Phản hồi
Noise Elimination Technology that make this indicator so great; thank you so much for posting this for us <3
+2 Phản hồi
good people, can you explain how to apply it? maybe there will be a test of the strategy or just explain what to look at in the indicator (intersections, range of what?) is there a significant function of eliminating noise in the RSI?
Phản hồi
how to use it? will there be a strategy and alerts?
Phản hồi
Thank you for this. John Ehlers made some amazing contributions to Oscillating indicators such as RSI and Stochastics. This doesn't contain his roofing and flooring spectral dilation does it?
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