OPEN-SOURCE SCRIPT

RSRW

Description:

The given Pine-Script, titled "Real Relative Strength (RSRW)," is designed to evaluate the relative strength of the selected security compared to a benchmark security, defaulting to "SPY". It utilizes TradingView’s programming language and is structured to run on its platform.
Functionality:

Rolling Price Change Calculation:
It calculates the rolling price change for both the selected security and the comparison
security over a user-defined length of periods, defaulting to 12.

Rolling ATR Change Calculation:
It computes the Average True Range (ATR) over the specified length for both securities,
providing insights into market volatility.

Power Index Calculation:
It computes the power index by dividing the rolling move of the comparison security by its
rolling ATR, offering a measure of market strength or weakness relative to volatility.

Real Relative Strength (RRS) Calculation:
It determines the Real Relative Strength of the selected security against the benchmark,
adjusting the relative price move by the power index and dividing by the security's rolling
ATR.

Correlation:
The script also evaluates the correlation between the selected security and the compared
security over the defined length, providing a correlation coefficient that is represented
visually by different colors.

Visual Representation:

The Real Relative Strength is plotted with a blue line.
A red line represents the baseline (0).
Correlation is displayed with a color-coded line, ranging from green (high positive
correlation) to red (high negative correlation).

Utility:

This script is valuable for traders and investors looking to assess the relative performance of securities against a benchmark, factoring in volatility and correlation, enabling more informed investment decisions based on market dynamics.
License:

This script is subject to the terms of the Mozilla Public License 2.0.