Levy Flight Relative Strength Index

The Levy Flight Relative Strength Index indicator provides a nuanced improvement on the classic RSI by leveraging the Lévy Flight model to calculate dynamic weighted gains and losses for improved trend detection and responsiveness.

Usage

The Usage section describes how the script can be used to identify momentum shifts and market direction. Traders can use the indicator to spot overbought and oversold conditions through the centered histogram and defined threshold regions.

• Trend Identification: When the centered histogram is above zero (green), it indicates bullish momentum. Conversely, when it is below zero (red), it indicates bearish momentum.
• Overbought/Oversold: The indicator features shaded regions at +25/+35 and -25/-35. A crossover into these regions suggests extreme price movement that may precede a reversal or trend exhaustion.
• Smoothing Adjustments: Users can switch between various moving average types (e.g., HMA, TEMA, ALMA) to align the indicator's lag and smoothness with their specific timeframe or trading style.

Details

The Lévy Flight RSI enhances traditional RSI calculations by incorporating concepts from fractal mathematics. In finance, Lévy Flights describe a random walk characterized by frequent small movements and occasional large, volatile jumps.

The script applies a power function (defined by the Alpha setting) to price changes. This weighting mechanism amplifies significant price moves while smoothing out minor fluctuations, providing a more refined view of momentum compared to the standard RSI calculation.

Settings

RSI Settings

• Length: Sets the lookback period for the RSI calculation.
• Calculation Source: Determines the price input used (e.g., Close, Open, HL2).

Levy Flight Alpha

• Alpha: Adjusts the sensitivity of the Lévy Flight weighting. Values closer to 1 are more responsive, while values closer to 2 provide more smoothing by emphasizing larger moves.

MA Settings

• MA Type: Selects the moving average method used to smooth the final RSI value (Options: SMA, EMA, SMMA, WMA, VWMA, LSMA, HMA, ALMA, TEMA, DEMA).
• MA Length: Sets the lookback period for the chosen moving average.

Style Settings

• Colour Candles?: When enabled, this toggles bar coloring on the main chart to match the momentum detected by the RSI.

FAQ

How do I use the Alpha setting?

A lower Alpha value makes the indicator more responsive to small price changes, which is useful for scalping. A higher Alpha value filters out noise, making it better for swing trading or trend following.

What does the centered histogram represent?

The histogram is the RSI value minus 50. This centers the indicator around a zero line, making it easier to visualize bullish (positive) versus bearish (negative) momentum.

How can I access the Levy Flight Relative Strength Index?

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