Creating Connors RSI in Backtrader Using Python

ConnorsRSI is a momentum oscillator developed by Larry Connors. It's used for identifying overbought and oversold conditions in shorter trading timeframes. If we approach this as a black box the only thing we have to know is that everything above 60 is considered overbought and everything below 5 is considered oversold.

This video will focus on creating this indicator and use it in a simple strategy. Basically, it will create a buy signal when Connors RSI is less than 5 and a sell signal when it is bigger than 60.

Let's start by defining the Connors RSI formula.

The original formula is formula is:

`CRSI(3, 2, 100) = [RSI(3) + RSI(Streak, 2) + PercentRank(100)] / 3`

The first component `RSI(3)` is default RSI indicator that backtrader has build in, we just need to specify the period to be 3.

Next the `RSI(Streak, 2)` is not clearly defined and you could find different implementations depending on where you look. Here we will define Streak as another indicator with the following specifications.

- Number of consecutive days the price has closed higher/lower than the previous day
- If a days closes at the same price as the day before, the streak is reset to `0`
- Upwards streaks yield positive values and downwards streaks yield negative values

Then we will input the Streak data to the RSI indicator using a look back period of 2.

The last piece of the puzzle looks at the size of today’s price change in relation to previous price changes. We do this by using a Percent Rank calculation

The last piece of the puzzle is the PercentRank function which looks at the size of today’s price change in relation to previous price changes. PercentRank is a build in backtrader indicator.

All the code examples are from [backtrader.com](http://backtrader.com) with some slight modifications.

*None of this is meant to be construed as investment advice, it's for entertainment purposes only.

https://tradingskeptic.com/connorsrsi/
https://www.tradingview.com/ideas/connorsrsi/