Z-Score Adaptive Connors RSI

Z-Score Adaptive Connors RSI blends the classic three-component Connors RSI (RSI, Up/Down streak RSI, and Percentile Rank of 1-bar ROC) with a dynamic z-score filter that distinguishes trending vs. mean-reverting market regimes.

When the indicator detects an extreme deviation (|z-score| > threshold), it switches to “trending” mode and tightens entry thresholds for capturing momentum. When markets are in a more neutral regime, it reverts to wider thresholds, hunting for overbought/oversold reversals.

Key Features

• Connors RSI Core: Combines price momentum, streak measurements, and velocity for a robust baseline oscillator.
• Z-Score Regime Filter: Computes the z-score of the Connors RSI over a lookback window to adapt your trading style to trending vs. reverting environments.
  
• Dynamic Thresholds: Separate user-configurable thresholds for trending (“tight” entries) and mean-reverting (“wide” entries) scenarios.
  

Inputs & Parameters
Connors RSI Settings

• RSI Source: Price series for RSI calculation (default: Close)
  
• RSI Length: Period for price‐change RSI (default: 24)
  
• Up/Down Length: Period for streak RSI (default: 20)
  
• ROC Length: Period for percentile‐rank of 1-bar return (default: 75)
  

Z-Score Filter

• Lookback: Number of bars to compute mean and standard deviation of Connors RSI (default: 14)
  
• Threshold: Minimum |z-score| to enter “trending” mode (default: 1.5)
  

Entry Thresholds

• Trending Long/Short: Upper and lower RSI Thresholds when trending
  
• Reverting Long/Short: Upper and lower RSI Thresholds when reverting