IMPROVING THE PERFORMANCE OF THE RSI TRADING INDICATOR: A NOTE

Abstract

Incorporating the directional movement (DM) information into the Relative Strength Index (RSI) is an uncharted area in technical analysis. This paper shows that the performance of RSI can be improved by including the information of daily highest and lowest prices. Compared to conventional RSI, higher annual returns are obtained by DRSI in the markets of Shanghai A, Dow Jones, CAC 40 and NIKKEI 225.