ConnorsRSI
Author: AbsoluteReturn
Creation Date: 12/3/2012 1:48 PM
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AbsoluteReturn

#1
Hi all,

I would like to ask, if someone has already coded the ConnorsRSI in WL4? This indicator is presented on a pdf-file at the following website (page 6 to 8):

ConnorsRSI PDF

Thanks for your help in advance


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Eugene

#2
This indicator seems to be hot off the press. Makes sense to code it for Community Indicators, so I'm going to start soon.
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Eugene

#3
ConnorsRSI will be added to Community Indicators 2013.01. The PDF is a potential idea for a Trading System Lab, so thank you for the nice find.
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Eugene

#4
fyi, this indicator has been added to Community Indicators (version 2013.01).
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rmpwealth

#5
I have downloaded this Indicator, but am unsure how to apply it to create a strategy to backtest. What is the Rule-Based syntax that would create a Strategy that uses this Indicator to backtest?
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Eugene

#6
There is a downloadable Strategy that implements the system rules from the original ConnorsRSI book (you have seen the PDF in the first post, have you?):

ActiveTrader 2013-03 | ConnorsRSI Pullback system
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rmpwealth

#7
Thank you, Eugene; I found the Strategy and downloaded it. However, when I tried a backtest on SPY for 6-yrs, it indicated only one trade -- BUY on 10/10/08 @ $86.76 and SELL on 10/13/08 @ $101.35. Does that sound right -- only one trade in 6-years?
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Eugene

#8
Yes, that's expected. The setup triggers pretty rarely. Therefore we even picked a different (wider) universe of stocks for the TSL article.
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rk089

#9
Hi Eugene,

i tested the indicator recently and it does not look like the one Larry Connors described. If you compare the indicator values with his real life examples it does not match. Your implementation does never exceed a threshold of 70 whereas even in the two short charts examples i have seen the Conners RSI easily reaches 80. Something must be different?!

Best regards,
Robin
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Eugene

#10
Hi Robin,

I think that the only source of difference may come from how the author calculates PercentRank and how we're doing it: PercentRank.

Please feel free to share your findings: your Wiki account has been authorized to download attachments, Community Indicators in particular.
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Eugene

#11
I think I can confirm having found the source of that discrepancy. Indeed it's the PercentRank, or its scale to be precise. The way Connors and Alvarez calculate it, the numbers would go from 0 to 100. The Community Indicators formula that matches Excel's PercentRank is scaled from 0 to 1.

Sorry for the inconvenience. This is an easy fix to the ConnorsRSI indicator from our library, but the extension itself won't be updated for a few months to come for some technical reasons.
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thodder

#12
Hi Eugene,

I can confirm that is the problem. I have some strategies written to test some Larry Connors examples. I noticed that the ConnorsRSI values did not match his examples too. After copying the code from Community.Indicators, multiplying the result from PercentRank by 100 will fix the ConnorsRSI values.

Do you know when you might be able to update the extension? I can fix it for myself, but there were a few other WLP users that were using this strategy as well. I noticed you said a few months. Are we looking at April or later?
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Eugene

#13
Hi Tim,

For technical reasons, we'll upload the update shortly after next scheduled Wealth-Lab build becomes available. On a broader note, all extension updates have been suspended since the release of our updated website and until new WL build comes out. Sorry for the inconvenience.
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thodder

#14
It looks like the PercentRank implementation in Community.Indicators is different than the Larry Connor's algorithm. There were some descrepancies with the values returned from the indicator and what was expected. We traced the difference to the PercentRank values.

Here's the latest version I'm working with that seems to produce better results...

CODE:
Please log in to see this code.
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Eugene

#15
Heads-up:

Community Indicators have just been updated with the fix to ConnorsRSI.
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thodder

#16
Eugene,

Does that include the CrPercentRank method I provided above? I seem to see some minor differences between your version of ConnorsRSI and mine (MyConnorsRSI). It looks like the difference is the routine above. If I go back to the code that uses the PercentRank, I get the same result as you.

I had an email from Larry Connors for after market close on April 15, 2013. The results below compare MyConnorsRSI (results match Larry's) with the ConnorsRSI from the library. As you can see these are off by a slight amount...

QUOTE:
Symbol MyConnorsRSI ConnorsRSI
LIFE 98.687 98.654
MYGN 93.808 93.775
TLT 86.124 86.058
VXX 87.817 87.783


All had the parameters (Close,3,2,100).
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Eugene

#17
Tim,

No, they don't: I noticed how insignificant was the difference. I even ran a comparison using the ConnorsRSI Pullback system on the entire NYSE DataSet. Between CrPercentRank and the traditional PercentRank, the difference was 1 (one) trade out of ten thousand or so. That's expected, as "98.687 vs 98.654" does not make a striking difference. But thanks for your input anyway.
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SimhaD04

#18
I tried ConnorsRSI from Community Indicators for S&P500 (SPY). The results don't look right - over ~10y period the index has never exceed 65. The above discussion indicated a bug of the sort which would do that, but the thread seem to indicate that it had been fixed long ago. Was it? How can I verify the date of my ConnorsRSI indicator? Thanks,
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Eugene

#19
Yes, it was fixed years ago. Assuming the default parameters (Close,3,2,100) it easily exceeds 80.

On how to work with Wealth-Lab extensions (e.g. check version), review this illustrated tutorial and/or check out the Wealth-Lab User Guide > Extension Manager.
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SimhaD04

#20
I had a version from 2013, updated it to the latest (2015) and now it seems to be working correctly, thanks, Eugene