TASC 2022.05 Relative Strength Exponential Moving Average

2022년 4월 14일

█ OVERVIEW

TASC's May 2022 edition Traders' Tips includes the "Relative Strength Moving Averages" article authored by Vitali Apirine. This is the code implementing the Relative Strength Exponential Moving Average (​RS EMA) indicator introduced in this publication.


█ CONCEPTS

​RS EMA is an adaptive trend-following indicator with reduced lag characteristics. By design, this was made possible by harnessing the relative strength of price. It operates in a similar fashion to a traditional EMA, but it has an improved response to price fluctuations. In a trading strategy, ​RS EMA can be used in conjunction with an EMA of the same length to identify the overall trend (see the preview chart). Alternatively, ​RS EMAs with different lengths can define turning points and filter price movements.

​RS EMA is an adaptive trend-following indicator with reduced lag characteristics. By design, this was made possible by harnessing the relative strength of price. It operates in a similar fashion to a traditional EMA, but it has an improved response to price fluctuations.

█ CALCULATIONS

The following steps are used in the calculation process:
• Calculate the relative strength (​RS) of a given length.
• Multiply ​RS by a chosen coefficient (multiplier) to adapt the EMA filtering the original time series. Calculate the EMA of the resulting time series.
The author recommends ​RS EMA(10,10,10) as typical settings, where the first parameter is the EMA length, the second parameter is the ​RS length, and the third parameter is the ​RS multiplier. Other values may be substituted depending on your trading style and goals.