Savitzky Golay Median Filtered RSI

The Savitzky Golay Median Filtered RSI indicator applies advanced digital signal processing techniques to the standard Relative Strength Index to produce smoother, more reliable momentum signals with reduced noise.

Usage

The Savitzky Golay Median Filtered RSI can be used to identify trend direction and potential reversal points by analyzing smoothed momentum. Traders can look for the following signals:

• Long Signals: Occur when the filtered RSI value exceeds the user-defined Long Threshold. This suggests bullish momentum is strengthening.
• Short Signals: Occur when the filtered RSI value falls below the Short Threshold. This indicates bearish momentum is taking control.
• Trend Visualization: The indicator provides visual feedback by coloring the RSI line and the price bars. Green typically represents bullish trends, red represents bearish trends, and gray indicates neutral conditions.

Details

This tool improves upon the traditional RSI by sequentially applying two distinct filters:

• Savitzky-Golay Filter: This filter uses local polynomial regression to smooth the RSI data. Unlike a simple moving average, it is designed to preserve the shape and height of peaks and troughs, effectively reducing noise without introducing significant lag.
• Median Filter: After the Savitzky-Golay process, a median filter is applied to remove short-term outliers and sudden spikes. This ensures that the final output represents the underlying momentum trend rather than temporary market volatility.

Settings

Calculation

• Calculation Source: Determines the price data used for the RSI calculation (e.g., OHLC4, Close, Open).
• Calculation Period: Sets the lookback period for the initial RSI calculation (default is 14).
• Median Filter Length: Adjusts the window size of the median filter to control the level of outlier removal.

Signals

• Long Threshold: The level the filtered RSI must cross above to trigger a bullish signal.
• Short Threshold: The level the filtered RSI must cross below to trigger a bearish signal.

UI Settings

• Show RSI on Chart?: Toggles the visibility of the filtered RSI line.
• Colour Bars according to Trend?: Enables or disables trend-based bar coloring on the price chart.
• Plot Thresholds on Chart?: Toggles the visibility of the horizontal threshold levels.
• Linewidth: Adjusts the thickness of the plotted RSI line.
• Long/Short Colour: Customizes the colors used for bullish and bearish signals.

FAQ

How do I interpret the thresholds?

The thresholds act as triggers for momentum shifts. When the filtered RSI is above the long threshold, the trend is considered bullish. When it is below the short threshold, it is considered bearish.

Can I use this for different timeframes?

Yes, the indicator is versatile and can be applied to any timeframe. Users may need to adjust the RSI Period and Thresholds to better suit the volatility of their specific chart.

How do I access Savitzky Golay Median Filtered RSI?

You can get access on the LuxAlgo Library for charting platforms like TradingView, MetaTrader (MT4/MT5), and NinjaTrader for free.