ConnorsRSI — Connors RSI

Three components averaged: a very short RSI of price, an RSI of the up/down streak length, and the percent rank of the latest return. Each measures a different kind of stretch, and the average is a short-term mean-reversion oscillator that reads 0–100.

Signature

ConnorsRSI(rsi_period, streak_period, rank_period, on=<source>)

Argument	Type	Required	Notes
rsi_period	int Param or literal	Yes	RSI of price. Default 3, bounds 1–100.
streak_period	int Param or literal	Yes	RSI of the streak counter. Default 2, bounds 1–100.
rank_period	int Param or literal	Yes	Window for the return percent rank. Default 100, bounds 2–400.
on=	symbol, OHLCV field, or indicator	No	Source. Defaults to the trade symbol’s close.

Formula

$$ \text{CRSI} = \frac{\text{RSI}(C, 3) + \text{RSI}(\text{streak}, 2) + \text{PercentRank}(\text{return}, 100)}{3} $$

The streak counter is +n after n consecutive up closes, −n after n down closes, 0 on an unchanged close.

Warmup

rank_period + 1 bars for the rank component; the two RSIs seed within a few bars. 50 until started.

Reading the value

crsi.value
crsi < 10
crsi.crossed_above(50)

Example

class ConnorsFade(Strategy):
    """Connors' own use: buy deep oversold in an uptrend, exit at the midline."""
    trade = Symbol()
    sizing = FixedCapital()

    def execute(self):
        crsi = ConnorsRSI(3, 2, 100, on=self.trade)
        trend = SMA(200, on=self.trade)
        if crsi.value < 10 and self.trade.close > trend.value and self.trade.is_flat:
            self.buy(self.trade, reason=f"CRSI {crsi.value:.0f}")
        if crsi.value > 50 and self.trade.is_long:
            self.sell(self.trade, self.trade.position, reason="CRSI recovered")

Notes

• Larry Connors and Cesar Alvarez, Connors RSI (2012).
• Proven by an assert-via-trade run on SPY daily (stayed inside 0–100 on every bar of a 140-bar run, with all three components contributing; zero alarm trades).
• Both internal RSIs seed with a cumulative average rather than Wilder’s first-n average — the difference decays within a few bars at these very short periods.