Sylvain Vervoort’s Asymmetrical RSI Calculation

Summary

The document describes an asymmetrical RSI indicator attributed to Sylvain Vervoort. It accepts a calculation period, applied price, and overbought and oversold thresholds. Price changes are computed as differences from the previous applied price, then separated into positive and negative moves. The indicator combines these moves using averages and a relative-strength ratio before applying the familiar bounded RSI transformation.

Its asymmetry comes from deriving the counts of upward and downward observations from a smoothed proportion of positive moves, then using those counts to select or adjust the up and down components. The description supplies equations but no worked example, trading rules, parameter guidance, or empirical evaluation. It therefore explains an indicator calculation, not a complete strategy; users would need to determine how thresholds generate decisions and test behavior across instruments and market regimes.

Key ideas

• The indicator calculates RSI from positive and negative changes in an applied price.
• It uses an EMA smoothing period based on twice the selected period minus one.
• Smoothed counts of positive changes determine separate upward and downward observation counts.
• The document gives no strategy rules or performance evidence for using the indicator.

Tags

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