Larry Connors RSI Amibroker AFL code

February 9, 2013 by Rajandran 16 Comments

What is Connors RSI?

Connors RSI is a composite indicator consist of 3 components:

1. Price Momentum: By default, ConnorsRSI uses a standard 3 period Wilder RSI for the 1st component.

2. Duration of Up Trend vs. Down Trend streak days. And applies a default 2 day Wilder RSI to this integer series.Connors research shows that the longer the number of consecutive days up or down, the more likely the security is likely to bounce when it reverts to the mean. Likewise, the *magnitude* of the mean reversion snap-back is correlated with the streak length. The 2nd indicator uses integer values to quantify the number of streak days, and applies a default 2 day Wilder RSI to this integer series.

3. Relative Magnitude of Price Change: This 3rd component uses the PercentRank function over a default value of 100 days (approx. 5 months) to measure price change as a percentage of the previous day’s price, and rank the current value over the lookback period. Large positive returns will have a rank closer to 100, large negative returns will have a percent rank closer to 0.

Connors RSI Formula

ConnorsRSI(3,2,100) = [RSI(Close,3) + RSI(Streak,2) + PercentRank(100)] / 3

Connor’s Research purports this robust indicator is more effective than any of the three components use individually, and in fact the blended effect of the mathematical summation allows the strong value from one indicator to compensate for a slightly weaker value from another, in a way yielding superior results than a voting system between the 3.

//Connor's RSI (Larry Connors).  Code for function provided by Connors Research

paramLenRSI = Param("RSI Closes Length", 3, 2, 100, 1);
paramLenUD = Param("RSI UpClose Length", 2, 2, 100, 1);
paramLenRank = Param("PerecentRank Length", 100, 10, 200, 1);

function ConnorsRSI(lenRSI, lenUD, lenROC)
{
      upDays = BarsSince(C <= Ref(C,-1));
      downDays = BarsSince(C >= Ref(C,-1));
      updownDays = IIf(upDays > 0, upDays, IIf(downDays > 0, -downDays, 0));
      crsi = ( PercentRank(ROC(C,1), lenROC) + RSIa(updownDays,lenUD) +RSI(lenRSI))/3;
      return crsi;
}

Plot( ConnorsRSI(paramLenRSI,paramLenUD,paramLenRank)
      , "ConnorsRSI("+paramLenRSI+","+paramLenUD+","+paramLenRank+")"
      , colorBlue, styleLine, 0, 100);

Download the free Ebook about how to trade with Larry Connors RSI – Pullback strategy

About Rajandran

Rajandran is a Full time trader and founder of Marketcalls & Co-Founder of Traderscafe, trades mostly using discretionary Trading Concepts like Market Profile, Trading sentimental analysis, building timing models, algorithmic trading models. Instructs professional traders, full time traders & aspiring full time traders. Rajandran attended college in the Chennai where he earned a BE in Electronics and Communications. Rajandran has a broad understanding of trading softwares like Amibroker, Ninjatrader, Esignal, Metastock, Motivewave, Market Analyst(Optuma),Metatrader,Tradingivew,Python and understands individual needs of traders and investors utilizing a wide range of methodologies.

Comments

Meena says

February 9, 2013 at 10:09 am

It’s giving Syntax error on line 11 & 13.
Pls help sir.

Reply
- Rajandran R says
  
  February 13, 2013 at 11:41 am
  
  Which Amibroker Version you are using?
  
  Reply
  - Meena says
    
    February 14, 2013 at 10:34 am
    
    Sir . it’s 5.3
    Had read in TJ that some function ( percentrank or so) is absent in 5.3 and the member posted solution.
    But since i am newbie,will be kind of u if u can gimme some simple solution.
    thanks
    
    Reply
Ashish says

February 12, 2013 at 6:27 pm

It gives following error.

Line 12, Col: 27; Error 30: Syntex error
Line 14, Col: 18; Error 29: Variable ‘crsi’ used without having initialized

PLease help..

Reply
- Rajandran R says
  
  February 13, 2013 at 11:43 am
  
  You can initialize. Add the following code in the 8th line. However it is not mandatory here
  crsi =0;
  
  Reply
  - Mahender says
    
    February 20, 2013 at 4:03 pm
    
    Hi Rajandran,
    
    I’m using 5.30.4
    
    yes that is optional, crsi=0;
    In spite of adding it also, I’ve same issue.
    
    Once I remove “PercentRank(ROC(C,1), lenROC)”, No more issue.
    What is going wrong with it?
    
    Please share your thoughts and help us.
    
    Thanks
    Mahender
    
    Reply
    - Rajandran R says
      
      February 20, 2013 at 4:37 pm
      
      @Mahendar,
      
      Percentile rank function does works with Amibroker 5.3 and lower versions.
      
      Reply
Mahir Shah says

March 7, 2013 at 5:13 pm

Hi Rajandran,
I have seen your supertrend indicator for metasock, I was wondering if you can/ have coded Connors RSI for metastock. Any help will be highly appreciated.
Regards
Mahesh

Reply
Chandrakant says

April 12, 2013 at 10:24 pm

Dear Mr. Rajandran,

Please guide us how we can add explore code for connorsRSI for stock selection.

Your help will highly appreciated.

Regards,
Chandrakant

Reply
abhay says

April 15, 2013 at 3:40 pm

Dear Rajandran ,
Is there any source from where i can get MCX-SX Currency EOD data in metastock form .

Thanks & Regards
Abhay Mehrotra

Reply
anil says

April 27, 2013 at 6:47 pm

pls correct this afl
_SECTION_BEGIN(“sell buy”);

SetChartOptions(1,chartShowArrows|chartShowDates|chartWrapTitle);
Title = EncodeColor(colorYellow)+ Name() + ” -- ” + EncodeColor(colorRed)+ Interval(2) + EncodeColor(colorSkyblue) +
” -- ” + Date() +” -- “+”
” +EncodeColor(colorYellow) +”Open-“+O+” “+”High-“+H+” “+”Low-“+L+” “+”Close-“+C+” “+ “Volume= “+ WriteVal(V);

//SetBarsRequired(100000,0);
GraphXSpace = 15;
EntrySignal = F1();
ExitSignal = F2();
Color = IIf( EntrySignal, colorBlue, IIf( ExitSignal, colorRed, colorGrey50 ));
Plot( C, “Price”, Color, styleBar | styleThick );

SetChartBkColor(ParamColor(“Outer panel color “,colorLightYellow));
SetChartBkColor(ParamColor(“BackGround Color”, colorDarkGrey));
messageboard =ParamToggle(“Message Board”,”Show|Hide”,1);
target = Optimize(“Target”,Param(“Target (Change To Optimise)”,10,0.05,1000,0.05),0.05,1000,0.05);
AutoTarget = ParamToggle(“Auto Target Mode”, “Yes|No”,1);
AudioAlert = ParamToggle(“Human Voice Alert”, “No|Yes”);
EmailAlert = ParamToggle(“E-mail Alert”, “No|Yes”);
AlertOutput = ParamToggle(“Alert Output”, “No|Yes”);
starttime=Param(“Market Start Time”,091500,000000,235959,1 );
endtime=Param(“Market End Time”,152500,000000,235959,1 );
BackTestMode = ParamToggle(“Use Back Tester Settings”, “Yes|No”);
Param_Margin = Param(“Margin required (used for backtesting only)”, 15,0.001,100,0.001);
Param_LotSize = Param(“Lot Size (used for backtesting only)”, 50,1,50000,1);
Param_NoOfLots = Param(“No of lots normally traded (used for backtesting only)”,1,1,10000,1);
ConstantLot = ParamToggle(“Trade Constant Lot”, “No|Yes”);

C13=20;
C14=2.1;
C15=12;
Miny = Status(“axisminy”);
Maxy = Status(“axismaxy”);
lvb = Status(“lastvisiblebar”);
fvb = Status(“firstvisiblebar”);
pxwidth = Status(“pxwidth”);
pxheight = Status(“pxheight”);

#include_once “SS_include.afl”

bars = LastValue( IIf(BarsSincebuy endtime AND NOT Relax)==1) Say(“Exit position in “+Name()+” at current market price “+C);
if (SelectedValue(bookshort AND NOT Short AND NOT Relax)==1) Say(“Target achieved in short in “+Name()+” at “+tar);
if (SelectedValue(booklong AND NOT Buy AND NOT Relax)==1) Say(“Target achieved in long in “+Name()+” at “+tar);
}

if (EmailAlert==True)
{
AlertIf( Buy, “EMAIL”, “Long signal generated on “+FullName(), 1 );
AlertIf( booklong AND NOT Buy AND NOT Relax, “EMAIL”, “Target achieved in long in “+FullName(), 1 );
AlertIf( Short, “EMAIL”, “Short signal generated on “+FullName(), 1 );
AlertIf( bookshort AND NOT Short AND NOT Relax, “EMAIL”, “Target achieved in long in “+FullName(), 1 );
AlertIf( TimeNum() > endtime AND NOT Relax, “EMAIL”, “Exit position in “+FullName(), 1 );
}

if (AlertOutput==True) {
AlertIf( Buy, “”, “Buy Signal Generated”+Name(), 4 );
AlertIf( booklong AND NOT Buy AND NOT Relax, “”, “Target achieved in long in “+Name(), 4 );
AlertIf( Short, “”, “Short Signal Generated”+Name(), 4 );
AlertIf( bookshort AND NOT Short AND NOT Relax, “”, “Target achieved in short in “+Name(), 4 );
AlertIf( TimeNum() > endtime AND NOT Relax, “”, “Exit position in “+Name(), 4 );
}

if
(messageboard == 1 )
{

GfxSelectFont( “Tahoma”, 13, 100 );

GfxSetBkMode( 1 );

GfxSetTextColor
( colorWhite );

if ( SelectedValue( LastSignal ) == 1 )
{
GfxSelectSolidBrush( colorDarkBlue );
}
else
{
GfxSelectSolidBrush( colorDarkRed );
}

pxHeight = Status( “pxchartheight” ) ;

xx = Status( “pxchartwidth”);

Left = 1100;

width = 310;

x = 5;

x2 = 290;

y = pxHeight;

GfxSelectPen
( colorLightBlue, 1); // border color

GfxRoundRect
( x, y -- 90, x2, y , 7, 7 ) ;

GfxTextOut
( (“For Enquiry: buy sell”),13,y-85);

GfxTextOut
( (“” + WriteIf(Buy, “Go Long At “+C+” -- SL ” +sl,””)), 13, y-65);

GfxTextOut
( (“” + WriteIf (Short, “Go Short At “+C+” -- SL ” +sl,””)), 13, y-65);

GfxTextOut
( (“” + WriteIf (TimeNum() > endtime AND NOT Relax, “Exit Position At “+C,””)), 13, y-65);

GfxTextOut
( (“” + WriteIf (Long AND NOT Buy, “Long At “+BuyPrice+” -- SL ” + sl + “”,””)), 13, y-65);

GfxTextOut
( (“” + WriteIf (shrt AND NOT Short, “Short At “+ShortPrice+” -- SL ” + sl + “”,””)), 13, y-65);

GfxTextOut
( (“” + WriteIf (Relax, “Not In Trade -- RELAX!!!”,””)), 13, y-65);

GfxTextOut
( (“” + WriteIf (shrt AND NOT Short, “Current P/L: “+(ShortPrice-C)+” Points”,””)), 13, y-45);

GfxTextOut
( (“” + WriteIf (Long AND NOT Buy, “Current P/L: “+(C-BuyPrice)+” Points”,””)), 13, y-45);

GfxTextOut
( (“” + WriteIf (bookshort AND NOT Short AND NOT Relax, “Profit Booked: “+(ShortPrice-tar)+” Points”,””)), 13, y-45);

GfxTextOut
( (“” + WriteIf (booklong AND NOT Buy AND NOT Relax, “Profit Booked: “+(tar-BuyPrice)+” Points”,””)), 13, y-45);

GfxTextOut
( (“” + WriteIf (Long OR Buy OR Shrt OR Short, “Target: “+tar,””)), 13, y-25);

GfxTextOut
( (“” + WriteIf (booklong AND NOT Buy AND NOT Relax, “Target Done: “+tar,””)), 13, y-25);

GfxTextOut
( (“” + WriteIf (bookshort AND NOT Short AND NOT Relax, “Target Done: “+tar,””)), 13, y-25);
}

GfxSetBkMode( 1 );
GfxSelectFont(“Tahoma”, Status(“pxheight”)/C13);
GfxSetTextAlign( 6 );
GfxSetTextColor( ColorRGB (217,217,213));
GfxTextOut( “buy sell”, Status(“pxwidth”)/C14, Status(“pxheight”)/C15 );
GfxSelectFont(“Tahoma”, Status(“pxheight”)/C13*0.5 );
GfxSetTextColor( ColorRGB (103,103,103));
GfxTextOut( “By”, Status(“pxwidth”)/C14, Status(“pxheight”)/C15*2.5 );
GfxSelectFont(“Tahoma”, Status(“pxheight”)/C13*0.5 );
GfxSetTextColor( ColorRGB (103,103,103));
GfxTextOut( “buy sell”, Status(“pxwidth”)/C14, Status(“pxheight”)/C15*4 );
GfxSelectFont(“MS Sans Serif”, 10, 500, False, False, 0);

PlotShapes(IIf(Buy, shapeSquare, shapeNone),colorGreen, 0, L, Offset=-25);
PlotShapes(IIf(Buy, shapeSquare, shapeNone),colorLime, 0,L, Offset=-35);
PlotShapes(IIf(Buy, shapeUpArrow, shapeNone),colorWhite, 0,L, Offset=-30);
PlotShapes(IIf(Short, shapeSquare, shapeNone),colorRed, 0, H, Offset=25);
PlotShapes(IIf(Short, shapeSquare, shapeNone),colorOrange, 0,H, Offset=35);
PlotShapes(IIf(Short, shapeDownArrow, shapeNone),colorWhite, 0,H, Offset=-30);

PlotShapes(IIf(TimeNum() > endtime AND Long, shapeHollowStar, shapeNone),colorGold, 0,H, Offset=15);
PlotShapes(IIf(TimeNum() > endtime AND Shrt, shapeHollowStar, shapeNone),colorGold, 0,L, Offset=-15);

PlotShapes(IIf(Sell AND NOT Short, shapeStar, shapeNone),colorRed, 0, H, Offset=15);
PlotShapes(IIf(Cover AND NOT Buy, shapeStar, shapeNone),colorBlue, 0,L, Offset=-15);

PlotShapes(IIf(booklong AND NOT Buy AND NOT Relax, shapeStar, shapeNone),colorRed, 0, H, Offset=15);
PlotShapes(IIf(bookshort AND NOT Short AND NOT Relax, shapeStar, shapeNone),colorBlue, 0,L, Offset=-15);

//Settings for Backtester
if (BackTestMode==True)
{
SetOption(“AllowSameBarExit”, False);
SetOption(“AllowPositionShrinking”, False);
SetOption(“FuturesMode”, True);
SetOption(“InterestRate”,0);
SetOption(“MaxOpenPositions”,1);
RoundLotSize = Param_LotSize;
SetOption(“MinShares”,RoundLotSize);
SetOption(“PriceBoundChecking”,False);
//SetOption(“CommissionMode”,3);
//SetOption(“CommissionAmount”,12.5/RoundLotSize);

SetOption(“AccountMargin”,Param_Margin);
SetOption(“ReverseSignalForcesExit”,True);
SetOption(“UsePrevBarEquityForPosSizing”,True);
ApplyStop(stopTypeTrailing, stopModePoint, TSL, True, True );

if (ConstantLot==True)
{
PositionSize = C*RoundLotSize*Param_NoOfLots;
}
SetTradeDelays(0,0,0,0);
BuyPrice = Close;
SellPrice = Close;
ShortPrice = Close;
CoverPrice = Close;
}
_SECTION_END();

Reply
Surez says

May 3, 2013 at 7:25 pm

Rajandren Sir, Did u correct Mr.Anil’s request ?
it showing error in #include_once “SS_include.afl”
Do we need SS_include.afl indicator ?
Pls guide me

Reply
shabber merchant says

October 2, 2013 at 11:58 pm

hello
i would like to know the above mentioned connors rsi work with esignal or it has to modified ,if so pls modify it , it will be helpfull.
thanks.

Reply
senthil says

May 13, 2014 at 3:27 pm

hello sir i am using MT4 demo softwar i want mcx commodity live chat for lowest cost pls help me sir

Reply
Thomas Musselman says

March 12, 2015 at 9:12 pm

Have you seen or do you know how to code connorsrsi for Excel?
-T.M. in Scottsdale

Reply
James Tucker says

July 16, 2015 at 1:39 am

I too would love to have a copy of Connorsrsi for Excel, if anyone has it…
Thank you
JWT

Reply

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