MyRSI
Ehlers' version of RSI that swings between -1 and +1.
Usage
Use as Ehlers smoothed RSI variant that applies cycle-aware filtering to reduce whipsaws while maintaining RSI-style overbought/oversold interpretation.
Background
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.
Parameters
length(default: 14): Smoothing length
Formula
[ 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} ]