Rank Correlation Index

Category: momentum, cycle

An oscillator that measures Spearman's Rank Correlation between price data and time to identify market cycles and overbought/oversold conditions.

Formula

RCI = (1 - (6 * \sum d^2) / (n * (n^2 - 1))) * 100 \text{ where } d \text{ is the difference between price rank and time rank over period } n.

Inputs

• source (default: close)
• length (default: 10)
• maTypeInput (default: SMA)
• maLengthInput (default: 14)
• bbMultInput (default: 2.0)

See signal primitives, usage in published strategies and more on WOBR StrategyVerse.