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?