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Stochastic RSI

Created by by Tushar Chande and Stanley Kroll, Stochastic RSI is a Stochastic interpretation of the Relative Strength Index. It is different from, and often confused with the more traditional Stochastic Oscillator. [Discuss] 💬

chart for Stochastic RSI

// C# usage syntax
IEnumerable<StochRsiResult> results =
  quotes.GetStochRsi(rsiPeriods, stochPeriods, signalPeriods, smoothPeriods);

Parameters

rsiPeriods int - Number of periods (R) in the lookback period. Must be greater than 0. Standard is 14.

stochPeriods int - Number of periods (S) in the lookback period. Must be greater than 0. Typically the same value as rsiPeriods.

signalPeriods int - Number of periods (G) in the signal line (SMA of the StochRSI). Must be greater than 0. Typically 3-5.

smoothPeriods int - Smoothing periods (M) for the Stochastic. Must be greater than 0. Default is 1 (Fast variant).

The original Stochastic RSI formula uses a the Fast variant of the Stochastic calculation (smoothPeriods=1). For a standard period of 14, the original formula would be quotes.GetStochRSI(14,14,3,1). The “3” here is just for the Signal (%D), which is not present in the original formula, but useful for additional smoothing and analysis.

Historical quotes requirements

You must have at least N periods of quotes, where N is the greater of R+S+M and R+100 to cover the convergence periods. Since this uses a smoothing technique in the underlying RSI value, we recommend you use at least 10×R periods prior to the intended usage date for better precision.

quotes is a collection of generic TQuote historical price quotes. It should have a consistent frequency (day, hour, minute, etc). See the Guide for more information.

Response

IEnumerable<StochRsiResult>

This method returns a time series of all available indicator values for the quotes provided.
It always returns the same number of elements as there are in the historical quotes.
It does not return a single incremental indicator value.
The first R+S+M periods will have null values for StochRsi since there’s not enough data to calculate.

⚞ Convergence warning: The first 10×R periods will have decreasing magnitude, convergence-related precision errors that can be as high as ~5% deviation in indicator values for earlier periods. We recommend pruning at least R+S+M+100 initial values.

StochRsiResult

Date DateTime - Date from evaluated TQuote

StochRsi double - %K Oscillator = Stochastic RSI = Stoch(S,G,M) of RSI(R) of price

Signal double - %D Signal Line = Simple moving average of %K based on G periods

Utilities

See Utilities and helpers for more information.

Chaining

This indicator may be generated from any chain-enabled indicator or method.

// example
var results = quotes
    .Use(CandlePart.HL2)
    .GetStochRsi(..);

Results can be further processed on StochRsi with additional chain-enabled indicators.

// example
var results = quotes
    .GetStochRsi(..)
    .GetSlope(..);