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Exercise

Code your own indicator - I

So far, you've used indicators that have been completely pre-written for you by using the add.indicator() function. Now it's time for you to write and apply your own indicator.

Your indicator function will calculate the average of two different indicators to create an RSI of 3.5. Here's how:

  • Take in a price series.
  • Calculate RSI 3.
  • Calculate RSI 4.
  • Return the average of RSI 3 and RSI 4.

This RSI can be thought of as an RSI 3.5, because it's longer than an RSI 3 and shorter than an RSI 4. By averaging, this indicator takes into account the impact of four days ago while still being faster than a simple RSI 4, and also removes the noise of both RSI 3 and RSI 4.

In this exercise, you will create a function for this indicator called calc_RSI_avg() and add it to your strategy strategy.st. All relevant packages are also loaded for you.

Instructions

100 XP
  • Create and name a function calc_RSI_avg with three arguments price, n1, and n2, in that order.
  • Compute an RSI of lookback n1 named RSI_1.
  • Compute an RSI of lookback n2 named RSI_2.
  • Calculate the average of RSI_1 and RSI_2. Call this RSI_avg.
  • Set the column name of RSI_avg to RSI_avg using colnames(), and return RSI_avg.
  • Add this indicator to your strategy using inputs of n1 = 3 and n2 = 4. Label this indicator RSI_3_4.