Relative Strength Markos Katsanos
An improved relative strength indicator that compares a security to a benchmark, separating periods of strong and weak relative performance.
Usage
Use as a momentum-based relative strength indicator. Values above zero indicate the security is outperforming the benchmark over the specified period.
Background
RSMK calculates the log-ratio momentum of a security relative to a benchmark (e.g., SPY). It measures the difference between current log-relative strength and its value N bars ago, then smooths it with an EMA. This approach identifies trends in relative performance with less lag than traditional methods.
Parameters
length(default: 90): Momentum lookback periodema_length(default: 3): EMA smoothing period
Formula
\[
RSMK = EMA(\ln(\frac{P_t}{B_t}) - \ln(\frac{P_{t-n}}{B_{t-n}}), m) \times 100
\]