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I am trying to compute the RSI using the ticker price. I have troubles at the time to implement the RSI when I want to compute it every 1 minute but using windows to compute the OHLC of 10 minutes. I don't know how to use the OHCL resampling for example if I want to compute the RSI for a the time 03:55.

Let's say that I use the close value as the input for the RSI. Do I have to compute the close every 10 minute back at times 03:55, 03:45, 03:35, 03:25, ...., or I have to compute the OHLC values at times 03:50, 03:40, 03:30, 03:20 and the only "truncated" and incomplete window is the last one?

Let's say the I use the following parameters :

  • $\Delta t$: time window to compute the OHCL values
  • $N$: number of windows used to compute the RSU

So the question would be, do I have to move jointly the hole big window $W=N \Delta t$ one minute at a time, or the the OHLC values for the previous complete windows remains constant (at times 03:50, 03:40, 03:30 ) and the only that is changing is the last one till it gets filled?

Thank's!

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1 Answer 1

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The concept of RSI was developed by Welles Wilder on the basis of close prices. On intraday prices, I would suggest to calculate RSI with all possible prices. Yes, that's a technical problem because of the amount of data! But this problem is the same as our ancestors have 40 years ago when computers were extremely expensive. So when you have a 10 minute conflation, I would compute it at the given times 03:50, 03:40, 03:30, 03:20 and store it in database. So on 04:00, you calculate a new value for 04:00 and take the history values for 3:50, 3:40 from your database. enter image description here

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  • $\begingroup$ Ok, I understand your answer but maybe I wasn't clear in my original question. My original question comes if I want to compute use the RSI at the time 04:05, should I use the last computed one (at 04:00) or I should compute a new one using the current close value at 04:05? $\endgroup$
    – Iván
    Commented Oct 25, 2017 at 11:53
  • $\begingroup$ I've added a sketch to demonstrate my thoughts. When you have a price as of 3:30, and you calculate the RSI on 3:35, then you should match it with the price where it belongs to, in this case 3:30. $\endgroup$
    – Peter
    Commented Oct 25, 2017 at 16:04

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