OPEN-SOURCE SCRIPT
RSRS (Resistance Support Relative Strength)
The Resistance Support Relative Strength (RSRS) indicator, published by Everbright Securities, is a technical analysis tool that enjoys immense popularity among Chinese quantitative traders, owing to its stellar performance in China's stock markets.
🟠 Principle
The indicator treats daily highs and lows as resistance and support levels respectively. It measures market strength by comparing the magnitude of price changes in daily highs versus lows. Specifically, it fits a linear regression model to the (low, high) data points over the past N days (typically 18) and uses the slope (beta) as the RSRS value. A steeper slope indicates stronger market strength.
🟠 Algorithm
1. Collect the daily low and high prices over the past N days.
2. Apply Ordinary Least Squares to estimate the linear regression model: high = alpha + beta * low. The beta is the RSRS value.
3. Compute the z-score of the RSRS over the past M days (typically 600).
4. Compare the z-score to preset buy and sell thresholds (typically 0.7 and -0.7) to generate trading signals. If z-score > buy threshold, a buy signal is triggered. If z-score < sell threshold, a sell signal is triggered.
🟠 Principle
The indicator treats daily highs and lows as resistance and support levels respectively. It measures market strength by comparing the magnitude of price changes in daily highs versus lows. Specifically, it fits a linear regression model to the (low, high) data points over the past N days (typically 18) and uses the slope (beta) as the RSRS value. A steeper slope indicates stronger market strength.
🟠 Algorithm
1. Collect the daily low and high prices over the past N days.
2. Apply Ordinary Least Squares to estimate the linear regression model: high = alpha + beta * low. The beta is the RSRS value.
3. Compute the z-score of the RSRS over the past M days (typically 600).
4. Compare the z-score to preset buy and sell thresholds (typically 0.7 and -0.7) to generate trading signals. If z-score > buy threshold, a buy signal is triggered. If z-score < sell threshold, a sell signal is triggered.
Open-source script
In true TradingView spirit, the creator of this script has made it open-source, so that traders can review and verify its functionality. Kudos to the author! While you can use it for free, remember that republishing the code is subject to our House Rules.
专业缠论指标: alphaviz.pro/chanlun
Email: contact@alphaviz.pro
Discord: discord.gg/w2fFtNega4
Email: contact@alphaviz.pro
Discord: discord.gg/w2fFtNega4
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.
Open-source script
In true TradingView spirit, the creator of this script has made it open-source, so that traders can review and verify its functionality. Kudos to the author! While you can use it for free, remember that republishing the code is subject to our House Rules.
专业缠论指标: alphaviz.pro/chanlun
Email: contact@alphaviz.pro
Discord: discord.gg/w2fFtNega4
Email: contact@alphaviz.pro
Discord: discord.gg/w2fFtNega4
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.