MyRSI

Ehlers DSP oscillator rsi ehlers momentum smoothing

Ehlers' version of RSI that swings between -1 and +1.

Visual Example

MyRSI — annotated preview mapping to core implementation

Synthetic ideal per library logic. Generated 2026-06-25 IST via docs/generate_all_previews.py (reproducible; maps to core Next<T> implementation).

Description

The MyRSI indicator is a technical analysis tool that ehlers' version of rsi that swings between -1 and +1.

This indicator is primarily used for identifying key market conditions. It provides a robust signal that can be easily integrated into both simple strategies and more complex machine learning feature pipelines. Compared to its alternatives, it offers a distinct balance of responsiveness and stability.

Traders often combine this with other metrics to confirm signals and avoid false positives during sideways market regimes. It remains a standard tool for systematic trading models.

Use as Ehlers smoothed RSI variant that applies cycle-aware filtering to reduce whipsaws while maintaining RSI-style overbought/oversold interpretation.

Ehlers presents a smoothed RSI formulation that applies a Laguerre or SuperSmoother filter to the up/down ratio before computing the RSI index. This reduces the noise and oscillation of standard RSI without significantly increasing lag, producing more reliable overbought and oversold readings.

QuantWave implements this indicator via the universal Next<T> trait, guaranteeing bit-identical results between Rust streaming, Python streaming, and Polars batch (.ta() / map_batches) surfaces.

Formula / Specification

Implementation (quantwave-core/src/indicators/my_rsi.rs):

[ CU = \sum_{i=0}^{length-1} \max(0, Price_i - Price_{i+1}) ] [ CD = \sum_{i=0}^{length-1} \max(0, Price_{i+1} - Price_i) ] [ MyRSI = \frac{CU - CD}{CU + CD} ]

Gold-standard parity vectors: quantwave-core/tests/gold_standard/my_rsi.json.

Parameters

Parameter	Default	Description
`length`	14	Smoothing length

Usage Examples

Streaming (Rust)

use quantwave_core::indicators::MY_RSI;
use quantwave_core::traits::Next;

let mut ind = MY_RSI::new(14);
for price in &prices {
    let value = ind.next(price);
}

Streaming (Python)

from quantwave import MY_RSI

ind = MY_RSI(14)
for price in prices:
    value = ind.next(price)

Polars Batch (Python)

import polars as pl
import quantwave as qw

def apply_myrsi(series: pl.Series) -> pl.Series:
    ind = qw.MY_RSI(14)
    return pl.Series([ind.next(float(v)) for v in series.to_list()])

df = (
    pl.read_csv('ohlcv.csv')
    .lazy()
    .with_columns(
        pl.col("close").map_batches(apply_myrsi, return_dtype=pl.Float64).alias("myrsi")
    )
    .collect()
)

All surfaces are bit-identical via the single Next<T> implementation and proptests.

Edge Cases & Limitations

Recursive DSP filters require a warm-up period; first N bars may be unstable or raw-pass-through.
Designed for cyclic/mean-reverting regimes; trending markets can produce lag or drift.
Parameter period (or equivalent) controls cutoff — too small adds noise, too large adds lag.
Prefer chaining with other Ehlers tools (Roofing Filter, SuperSmoother) on noisy inputs.
Validated via proptests against gold-standard vectors where available.
No look-ahead bias; suitable for live streaming and batch feature pipelines.

Boundary Behavior

Condition	Behavior
Warm-up	Leading bars return NaN until warmup_bars is satisfied.
period > len	When period exceeds series length, output is all NaN.
NaN inputs	NaN in input propagates to output (NaN out).
Invalid params	Non-positive period or missing required params raise ValueError.
Empty data	Empty input returns an empty result series.

Sources & References

Primary Source: https://github.com/lavs9/quantwave/blob/main/references/Ehlers%20Papers/Noise%20Elimination%20Technology.pdf

Implementation: quantwave-core/src/indicators/my_rsi.rs (MY_RSI / MY_RSI_METADATA). Parity: quantwave-core/tests/gold_standard/my_rsi.json

Provenance: Standards bulk upgrade 2026-06-25 IST — see docs/DOCUMENTATION_STANDARDS.md.