Guide

How this RRG is calculated

The Kaufman adaptive moving average settings behind Rotate: lookback, RS-Ratio normalization to 100, and RS-Momentum centered on zero.

This is the calculation behind the chart. The numbers are the ones used on weekly data in the original Nifty research, and they are fixed in the product. Tune changes the bar size and the universe. It does not change these lengths.

Inputs

The default series is weekly closes: the last close of each ISO week. Daily and monthly are the same formulas on daily closes or month-end closes. Relative strength is the series divided by the benchmark, on dates where both have a close.

The window is 150 calendar days, the same lookback as the research code. On weekly bars that is about twenty-two weeks. On daily bars it is about one hundred sessions. On monthly bars, 150 days is too short for the averages to start, so the window expands to thirty-six months.

Kaufman adaptive moving average

Smoothing uses Kaufman's adaptive moving average. Efficiency ratio uses an er period. The smoothing constant blends a fast smoothing constant of 2/(2+1) and a slow one of 2/(slow+1), then squares that blend. The seed of the average is the value at the er period. After that, each point is the previous average plus the smoothing constant times the gap between price and that average.

• Relative strength is smoothed with er 6, fast 2, slow 30.
• Strength, called RS-Ratio, is that average divided by its mean inside the window, times 100. The benchmark level is 100.
• RS-Ratio is smoothed again with er 4, fast 2, slow 20.
• Raw momentum is that second average divided by its value 3 bars earlier, minus 1. On weekly data those 3 bars are 3 weeks.
• Raw momentum is divided by the mean of its absolute value, then times 100, so typical moves sit on a comparable scale and zero stays the center.
• The result is smoothed with er 3, fast 2, slow 10. That is speed, called RS-Momentum.

What the point means

Each point on the chart is the last strength and the last speed of a window that ends on that date. Older points do not use later prices. The quadrant rules are strength versus 100 and speed versus 0, as described on RRG quadrants.

The tail is 8 points. It only controls how much of that path is drawn. It is not an input to the average.