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TradeStation: November 2024
In “Ultimate Strength Index (USI)” in this issue, John Ehlers introduces an enhanced version of the RSI with significantly reduced lag. The USI retains many benefits of the traditional RSI, while providing faster, more responsive results. It highlights bullish and bearish conditions and allows for adjustments based on different data lengths, typically using more data than the standard RSI to achieve comparable outcomes.
Code: Select all
Function: $UltimateSmoother
{
UltimateSmoother Function
(C) 2004-2024 John F. Ehlers
}
inputs:
Price( numericseries ),
Period( numericsimple );
variables:
a1( 0 ),
b1( 0 ),
c1( 0 ),
c2( 0 ),
c3( 0 ),
US( 0 );
a1 = ExpValue(-1.414*3.14159 / Period);
b1 = 2 * a1 * Cosine(1.414*180 / Period);
c2 = b1;
c3 = -a1 * a1;
c1 = (1 + c2 - c3) / 4;
if CurrentBar >= 4 then
US = (1 - c1)*Price + (2 * c1 - c2) * Price[1]
- (c1 + c3) * Price[2] + c2*US[1] + c3 * US[2];
if CurrentBar < 4 then
US = Price;
$UltimateSmoother = US;
Indicator: Ultimate Strength Index (USI)
{
TASC NOVEMBER 2024
Ultimate Strength Index (USI)
(C) 2024 John F. Ehlers
}
inputs:
Length( 14 );
variables:
SU( 0 ),
USU( 0 ),
SD( 0 ),
USD( 0 ),
USI( 0 );
if Close > Close[1] then
SU = Close - Close[1]
else
SU = 0;
USU = $UltimateSmoother(Average(SU,4), Length);
if Close < Close[1] then
SD = Close[1] - Close
else
SD = 0;
USD = $UltimateSmoother(Average(SD, 4), Length);
If (USU + USD <> 0 and USU > .01 and USD > .01) then
USI = (USU - USD) / (USU + USD);
Plot1( USI, "USI" );
Plot2( 0, "Zero Line" );
FIGURE 1: TRADESTATION. A daily chart of the emini S&P 500 continuous futures contract (ES) demonstrates the ultimate strength index indicator applied.
