Noise-Filtered RSI Using Kendall-Style Correlation

Summary

This note introduces MyRsi with Noise Elimination Technology, an RSI-style indicator attributed to John Ehlers and described as appearing in a December 2020 issue of TASC. Its noise-reduction approach uses a form of Kendall autocorrelation to filter signals. The presented variant allows the user to select the price input instead of requiring the close price.

The suggested use is similar to a conventional RSI, or to combine RSI signals with the indicator’s NET line. The author’s visual impression is that the NET line may give earlier and cleaner signals, but the note supplies no charts, formal comparison, backtest, or definition of the signal rules. The observation should therefore be treated as an informal suggestion rather than evidence of improved timing or profitability. No market, timeframe, parameter settings, or risk controls are specified.

Key ideas

• MyRsi with NET applies a Kendall-style autocorrelation concept to filter indicator signals.
• The variant permits a user-selected price input instead of using only closing prices.
• It can be interpreted like an RSI or paired with its NET line.
• The claim that the NET line gives cleaner and faster signals is based on visual inspection, with no quantitative validation provided.

Tags

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