I have already posted a classic indicator using recursion, it was the stochastic oscillator and recursion helped to get a more predictive and smooth result. Here i will do the same thing with the rsi oscillator but with a different approach. As reminder when using recursion you just use a fraction of the output of a function as input of the same...
Holt's method (see: otexts.com)
Holt (1957) extended simple exponential smoothing to allow the forecasting of data with a trend.
This method involves a forecast equation and two smoothing equations (one for the level and one for the trend):
Forecast equation: ŷ = l + h * b
Level equation: l = alpha * y + (1 - alpha) * (l + b )
This script measures the correlation of the hourly RSI of 24 hours ago with the difference of price between now and the price 24 hours ago. In other words, this is an indicator which measures the predictive power of the RSI.
Green means that the price is strongly correlated with the past RSI (which is the normal state when the market is flat and there is no...