John Ehlers’ Smoothed RSI Using Weighted Price Smoothing

Summary

The document presents an implementation of John Ehlers’ Smoothed Relative Strength Index. It first applies a short weighted moving average to closing prices, giving more weight to the middle observations. Across a chosen lookback period, it separately totals upward and downward changes in that smoothed series. The indicator is the upward total divided by the combined upward and downward totals, expressed on a 0–100 scale. The example uses a period of 14.

The accompanying description says a screenshot compares this smoothed measure with J. Welles Wilder’s conventional RSI, but it supplies no numerical comparison, trading rules, or backtest results. The method changes the input price series before computing relative strength, which is intended to smooth the calculation; the document does not quantify the effect on lag, noise, or signal quality. It also leaves the zero-movement case implicit beyond the conditional calculation. As presented, this is an indicator definition and implementation example, not a complete strategy or evidence that its signals outperform standard RSI.

Key ideas

• The method smooths closing prices with a weighted average before measuring directional changes.
• It sums positive and negative changes separately across the selected lookback period.
• The indicator scales the positive-change share of total movement to a 0–100 range.
• The example uses a period of 14 and references a comparison with Wilder’s RSI.
• No performance evidence or trading and risk-management rules are provided.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.