RSIH: Hann-Weighted Relative Strength for Cycle-Aware Smoothing

Summary

The document describes RSIH, a variant of the relative strength index that weights price rises and falls with a Hann window. It sums the weighted upward and downward changes over a chosen lookback, then normalizes their difference by their combined magnitude. The result is centered around zero, unlike the conventional RSI presentation, and the weighting smooths the measure within the calculation itself.

The note says the lookback should be roughly comparable to the dominant cycle length in the observed data. It provides an indicator implementation, but no chart, trading rules, performance study, or comparison across markets. RSIH is presented as a smoothed measure of directional price movement, not as a complete entry or exit system. Its usefulness therefore depends on selecting a suitable period and evaluating it in the context of a broader strategy; the document does not establish that it predicts returns or works consistently across instruments and market conditions.

Key ideas

• RSIH applies Hann-window weights to upward and downward price changes over a selected lookback.
• It normalizes the difference between weighted rises and falls by their total magnitude.
• The indicator is centered around zero and is smoother than the conventional RSI calculation.
• The suggested lookback is approximately the dominant cycle period in the data.
• The document supplies an implementation but no evidence of trading performance or universal effectiveness.

Tags

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