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Technical Studies Reference


Connie Brown Composite Index

This study calculates and displays the three indices that comprise Connie Brown's Composite Index.

Let \(X\) be a random variable denoting the Input Data Input, and let \(n_{RSI}^{(1)}\), \(n_{RSI}^{(2)}\), \(n_M\), \(n_{MA}^{(1)}\), \(n_{MA}^{(2)}\), and \(n_{MA}^{(3)}\) denote, respectively, the RSI Length 1, RSI Length 2, Momentum Length, Moving Average Length 1, Moving Average Length 2, and Moving Average Length 3 Inputs.

We denote the three indices of the Connie Brown Composite Index for the given Inputs at Index \(t\) as \(CBI^{(1)}_t\left(X,n_{RSI}^{(1)}, n_M, n_{RSI}^{(2)}, n_{MA}^{(1)}\right)\), \(CBI^{(2)}_t\left(X,n_{RSI}^{(1)}, n_M, n_{RSI}^{(2)}, n_{MA}^{(1)}, n_{MA}^{(2)}\right)\), and \(CBI^{(3)}_t\left(X,n_{RSI}^{(1)}, n_M, n_{RSI}^{(2)}, n_{MA}^{(1)}, n_{MA}^{(3)}\right)\). These indices are all calculated for \(t \geq \max\left\{n_{RSI}^{(1)} + n_M, n_{RSI}^{(2)} + n_{MA}^{(1)} - 1\right\} + \max\left\{n_{MA}^{(2)} + n_{MA}^{(3)}\right\} - 1\).

The first index is calculated in terms of the RSI, Momentum, and Simple Moving Average indicators as follows.

\(CBI^{(1)}_t\left(X,n_{RSI}^{(1)}, n_M, n_{RSI}^{(2)}, n_{MA}^{(1)}\right) = M_t\left(RSI\left(X,n_{RSI}^{(1)}\right), n_M\right) + SMA_t\left(RSI\left(X,n_{RSI}^{(2)}\right), n_{MA}^{(1)}\right)\)

Note: Depending on the setting of the Input Moving Average Type 1, the Simple Moving Average in the above formula could be replaced with an Exponential Moving Average, a Linear Regression Moving Average, a Weighted Moving Average, a Wilders Moving Average, a Simple Moving Average - Skip Zeros, or a Smoothed Moving Average.

Note: The Momentum calculation computed as type Difference, and not as type Quotient. That is, \(M_t\left(RSI\left(X,n_{RSI}^{(1)}\right), n_M\right) = RSI_t\left(X,n_{RSI}^{(1)}\right) - RSI_{t - n_M}\left(X,n_{RSI}^{(1)}\right)\).

The second and third indices are Simple Moving Averages of the first one. They are calculated as follows.

\(CBI^{(2)}_t\left(X,n_{RSI}^{(1)}, n_M, n_{RSI}^{(2)}, n_{MA}^{(1)}, n_{MA}^{(2)}\right) = SMA_t\left(CBI^{(1)}\left(X,n_{RSI}^{(1)}, n_M, n_{RSI}^{(2)}, n_{MA}^{(1)}\right), n_{MA}^{(2)}\right)\)
\(CBI^{(3)}_t\left(X,n_{RSI}^{(1)}, n_M, n_{RSI}^{(2)}, n_{MA}^{(1)}, n_{MA}^{(3)}\right) = SMA_t\left(CBI^{(1)}\left(X,n_{RSI}^{(1)}, n_M, n_{RSI}^{(2)}, n_{MA}^{(1)}\right), n_{MA}^{(3)}\right)\)

Note: Depending on the setting of the Inputs Moving Average Types 2 and 3, the Simple Moving Averages in the above formulas could be replaced with Exponential Moving Averages, Linear Regression Moving Averages, Weighted Moving Averages, Wilders Moving Averages, Simple Moving Averages - Skip Zeros, or Smoothed Moving Averages.

Inputs

Spreadsheet

The spreadsheet below contains the formulas for this study in Spreadsheet format. Save this Spreadsheet to the Data Files Folder.

Open it through File >> Open Spreadsheet.

Connie_Brown_Composite_Index.432.scss


*Last modified Thursday, 13th June, 2019.