[blackcat] L2 Ehlers Modified RSI Indicator

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Level: 2


John F. Ehlers introuced Modified RSI Indicator in his "Cycle Analytics for Traders" chapter 7 on 2013.


The RSI is the percentage of the sum of the delta closes up to the sum of all the delta closes over the observation period. The only variable here is the observation period. To have maximum effectiveness the observation period should be half of the measured period. If the observation period is half the dominant cycle, then for a pure sine wave , the closes up is exactly equal to the total closes during part of the cycle from the valley to the peak. In this case, the RSI would have a value of 100. During another part of the cycle—the next half cycle—there would be no closes up. During this half cycle, the RSI would have a value of zero. So, in principle, half the measured cycle is the correct choice for the RSI observation period.

A modified RSI that is a standard RSI preceded by a SuperSmoother filter. The modified RSI is far more responsive and has less lag because the low frequency components have have been removed by the high-pass part of the SuperSmoother filter. The RSI is functionally the same as a single-pole high-pass filter because the CU term in the numerator is just a summation of one-bar differences.

Key Signal

MyRSI --> Modified RSI Indicator fast line
Trigger --> Modified RSI Indicator slow line

Pros and Cons

100% John F. Ehlers definition translation of original work, even variable names are the same. This help readers who would like to use pine to read his book. If you had read his works, then you will be quite familiar with my code style.


The 45th script for Blackcat1402 John F. Ehlers Week publication.


In real life, I am a prolific inventor. I have successfully applied for more than 60 international and regional patents in the past 12 years. But in the past two years or so, I have tried to transfer my creativity to the development of trading strategies. Tradingview is the ideal platform for me. I am selecting and contributing some of the hundreds of scripts to publish in Tradingview community. Welcome everyone to interact with me to discuss these interesting pine scripts.

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Level 5 : indicator/strategy that do not disclose source code. private version of Level 3 script with my accumulated script processing skills or a large number of custom functions. I had a private function library built in past two years. Level 5 scripts use many of them to achieve private trading strategy.
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