Refactor CRSI indicator

- Updated the CRSI logic to use Percent Change of Daily Returns instead
  of ROC.
- Modified the ConnorsRelativeStrengthIndex class:
  - Updated ComputeNextValue to calculate daily returns and relative
    magnitude
- Improved documentation and comments

Algorithm/QCAlgorithm.Indicators.cs

@@ -555,21 +555,21 @@ public ChandeMomentumOscillator CMO(Symbol symbol, int period, Resolution? resol
 
         /// <summary>
         /// Creates a new Connors Relative Strength Index (CRSI) indicator, which combines the traditional Relative Strength Index (RSI),
-        /// Streak RSI (SRSI), and Rate of Change (ROC) to provide a more robust measure of market strength.
+        /// Streak RSI (SRSI), and Percent Change of Daily Returns to provide a more robust measure of market strength.
         /// This indicator oscillates based on momentum, streak behavior, and price change over the specified periods.
         /// </summary>
         /// <param name="symbol">The symbol whose CRSI is to be calculated.</param>
         /// <param name="rsiPeriod">The period for the traditional RSI calculation.</param>
         /// <param name="rsiPeriodStreak">The period for the Streak RSI calculation (SRSI).</param>
-        /// <param name="rocPeriod">The period for Rate of Change (ROC) calculation.</param>
+        /// <param name="lookBackPeriod">The look-back period for calculating the Percent Change of Daily Returns.</param>
         /// <param name="resolution">The resolution of the data (optional).</param>
         /// <param name="selector">Function to select a value from the BaseData to input into the indicator. Defaults to using the 'Value' property of BaseData if null.</param>
         /// <returns>The Connors Relative Strength Index (CRSI) for the specified symbol and periods.</returns>
         [DocumentationAttribute(Indicators)]
-        public ConnorsRelativeStrengthIndex RSI(Symbol symbol, int rsiPeriod, int rsiPeriodStreak, int rocPeriod, Resolution? resolution = null, Func<IBaseData, decimal> selector = null)
+        public ConnorsRelativeStrengthIndex CRSI(Symbol symbol, int rsiPeriod, int rsiPeriodStreak, int lookBackPeriod, Resolution? resolution = null, Func<IBaseData, decimal> selector = null)
         {
-            var name = CreateIndicatorName(symbol, $"CRSI({rsiPeriod},{rsiPeriodStreak},{rocPeriod})", resolution);
-            var connorsRelativeStrengthIndex = new ConnorsRelativeStrengthIndex(name, rsiPeriod, rsiPeriodStreak, rocPeriod);
+            var name = CreateIndicatorName(symbol, $"CRSI({rsiPeriod},{rsiPeriodStreak},{lookBackPeriod})", resolution);
+            var connorsRelativeStrengthIndex = new ConnorsRelativeStrengthIndex(name, rsiPeriod, rsiPeriodStreak, lookBackPeriod);
             InitializeIndicator(connorsRelativeStrengthIndex, resolution, selector, symbol);
             return connorsRelativeStrengthIndex;
         }

Indicators/ConnorsRelativeStrengthIndex.cs

@@ -14,13 +14,14 @@
 */
 
 using System;
+using System.Linq;
 
 namespace QuantConnect.Indicators
 {
     /// <summary>
     /// Represents the Connors Relative Strength Index (CRSI), a combination of 
-    /// the standard Relative Strength Index (RSI), a Streak RSI (SRSI), and  
-    /// Rate of Change (ROC).
+    /// the traditional Relative Strength Index (RSI), a Streak RSI (SRSI), and  
+    /// Percent Change of Daily Returns.
     /// This index is designed to provide a more robust measure of market strength 
     /// by combining momentum, streak behavior, and price change.
     /// </summary>
@@ -37,34 +38,36 @@ public class ConnorsRelativeStrengthIndex : Indicator, IIndicatorWarmUpPeriodPro
         private readonly RelativeStrengthIndex _srsi;
 
         /// <summary>
-        /// Stores recent price data for calculating the Rate of Change (ROC).
+        /// Stores recent daily returns (price changes) for calculating relative magnitude.
         /// </summary>
-        private readonly RollingWindow<decimal> _recentPrices;
+        private readonly RollingWindow<decimal> _rollingData;
 
         /// <summary>
         /// Tracks the current trend streak (positive or negative) of price movements.
         /// </summary>
         private int _trendStreak;
 
+        private IndicatorDataPoint _previousInput;
+
         /// <summary>
         /// Initializes a new instance of the <see cref="ConnorsRelativeStrengthIndex"/> class.
         /// </summary>
         /// <param name="name">The name of the indicator instance.</param>
         /// <param name="rsiPeriod">The period for the RSI calculation.</param>
         /// <param name="rsiPeriodStreak">The period for the Streak RSI calculation.</param>
-        /// <param name="rocPeriod">The period for the Rate of Change ROC calculation.</param>
-        public ConnorsRelativeStrengthIndex(string name, int rsiPeriod, int rsiPeriodStreak, int rocPeriod) : base(name)
+        /// <param name="lookBackPeriod">The period for calculating the Percent Change of Daily Returns.</param>
+        public ConnorsRelativeStrengthIndex(string name, int rsiPeriod, int rsiPeriodStreak, int lookBackPeriod) : base(name)
         {
             _rsi = new RelativeStrengthIndex(rsiPeriod);
             _srsi = new RelativeStrengthIndex(rsiPeriodStreak);
-            _recentPrices = new RollingWindow<decimal>(rocPeriod + 1);
+            _rollingData = new RollingWindow<decimal>(lookBackPeriod);
             _trendStreak = 0;
-            WarmUpPeriod = Math.Max(rsiPeriod, Math.Max(rsiPeriodStreak, rocPeriod + 1));
+            WarmUpPeriod = Math.Max(rsiPeriod, Math.Max(rsiPeriodStreak, lookBackPeriod));
         }
 
         /// <summary>
         /// Initializes a new instance of the ConnorsRelativeStrengthIndex with specified RSI, Streak RSI, 
-        /// and ROC periods, using a default name format based on the provided parameters.
+        /// and Percent Change periods, using a default name format based on the provided parameters.
         /// </summary>
         public ConnorsRelativeStrengthIndex(int rsiPeriod, int rsiPeriodStreak, int rocPeriod)
             : this($"CRSI({rsiPeriod},{rsiPeriodStreak},{rocPeriod})", rsiPeriod, rsiPeriodStreak, rocPeriod)
@@ -73,67 +76,75 @@ public ConnorsRelativeStrengthIndex(int rsiPeriod, int rsiPeriodStreak, int rocP
 
         /// <summary>
         /// Gets a value indicating whether the indicator is ready for use.
-        /// The indicator is ready when all its components (RSI, SRSI, and ROC) are ready.
+        /// The indicator is ready when all its components (RSI, SRSI, and Percent Change of Daily Returns) are ready.
         /// </summary>
-        public override bool IsReady => _rsi.IsReady && _srsi.IsReady && _recentPrices.IsReady;
+        public override bool IsReady => _rsi.IsReady && _srsi.IsReady && _rollingData.IsReady;
 
         /// <summary>
         /// Gets the warm-up period required for the indicator to be ready.
-        /// This is the maximum period of all components (RSI, SRSI, and ROC).
+        /// This is the maximum period of all components (RSI, SRSI, and Percent Change of Daily Returns).
         /// </summary>
         public int WarmUpPeriod { get; }
 
         /// <summary>
         /// Computes the next value for the Connors Relative Strength Index (CRSI) based on the latest input data point.
-        /// The CRSI is calculated as the average of the traditional RSI, Streak RSI, and the Price Percentage Change.
+        /// The CRSI is calculated as the average of the traditional RSI, Streak RSI, and the Percent Change of Daily Returns.
         /// </summary>
         /// <param name="input">The current input data point (typically the price data for the current period).</param>
-        /// <returns>The computed CRSI value, which combines the RSI, Streak RSI, and ROC into a single value. 
+        /// <returns>The computed CRSI value, which combines the RSI, Streak RSI, and Percent Change of Daily Returns into a single value. 
         /// Returns zero if the indicator is not yet ready.</returns>
         protected override decimal ComputeNextValue(IndicatorDataPoint input)
         {
             //RSI
             _rsi.Update(input);
 
-            //SRSI
-            var previousValue = (_recentPrices.Count > 0) ? _recentPrices[0] : input.Value;
-            var change = input.Value - previousValue;
-            // If the price changes direction (up to down or down to up), reset the trend streak
-            if ((_trendStreak > 0 && change < 0) || (_trendStreak < 0 && change > 0))
+            var relativeMagnitude = 0m;
+            var dailyReturn = 0m;
+            if (_previousInput != null)
             {
-                _trendStreak = 0;
-            }
-            // Increment or decrement the trend streak based on price change direction
-            _trendStreak += change > 0 ? 1 : change < 0 ? -1 : 0;
-            _srsi.Update(new IndicatorDataPoint(input.EndTime, _trendStreak));
+                //SRSI
+                var change = input.Value - _previousInput.Value;
+                // If the price changes direction (up to down or down to up), reset the trend streak
+                if ((_trendStreak > 0 && change < 0) || (_trendStreak < 0 && change > 0))
+                {
+                    _trendStreak = 0;
+                }
+                // Increment or decrement the trend streak based on price change direction
+                _trendStreak += change > 0 ? 1 : change < 0 ? -1 : 0;
 
-            //ROC
-            _recentPrices.Add(input.Value);
-            // Get the initial price from the rolling window
-            var initialPrice = _recentPrices[_recentPrices.Count - 1];
-            if (initialPrice == 0)
-            {
-                return decimal.Zero;
+                //Percent Change of Daily Returns
+                if (_previousInput.Value == 0)
+                {
+                    return decimal.Zero;
+                }
+                dailyReturn = change / _previousInput.Value;
+                if (_rollingData.IsReady)
+                {
+                    relativeMagnitude = 1m * _rollingData.Where(x => x < dailyReturn).Count() / _rollingData.Count * 100m;
+                }
             }
-            var rateOfChange = (input.Value - initialPrice) / initialPrice;
+            _srsi.Update(new IndicatorDataPoint(input.EndTime, _trendStreak));
+            _previousInput = input;
 
             //CRSI
             if (IsReady)
             {
-                return (_rsi.Current.Value + _srsi.Current.Value + rateOfChange) / 3;
+                _rollingData.Add(dailyReturn);
+                return (_rsi.Current.Value + _srsi.Current.Value + relativeMagnitude) / 3;
             }
+            _rollingData.Add(dailyReturn);
             return decimal.Zero;
         }
 
         /// <summary>
         /// Resets the indicator to its initial state. This clears all internal data and resets
-        /// the RSI, Streak RSI, and ROC, as well as the trend streak counter.
+        /// the RSI, Streak RSI, and Percent Change of Daily Returns, as well as the trend streak counter.
         /// </summary>
         public override void Reset()
         {
             _rsi.Reset();
             _srsi.Reset();
-            _recentPrices.Reset();
+            _rollingData.Reset();
             _trendStreak = 0;
             base.Reset();
         }

Tests/Indicators/ConnorsRelativeStrengthIndexTests.cs

@@ -24,7 +24,7 @@ public class ConnorsRelativeStrengthIndexTests : CommonIndicatorTests<IndicatorD
     {
         protected override IndicatorBase<IndicatorDataPoint> CreateIndicator()
         {
-            return new ConnorsRelativeStrengthIndex("test", 3, 2, 100);
+            return new ConnorsRelativeStrengthIndex(3, 2, 100);
         }
         protected override string TestFileName => "spy_crsi.csv";
 
@@ -45,9 +45,9 @@ public void IsReadyAfterPeriodUpdates()
         {
             var rsiPeriod = 2;
             var rsiPeriodStreak = 3;
-            var rocPeriod = 4;
-            var crsi = new ConnorsRelativeStrengthIndex(rsiPeriod, rsiPeriodStreak, rocPeriod);
-            int minInputValues = Math.Max(rsiPeriod, Math.Max(rsiPeriodStreak, rocPeriod + 1));
+            var lookBackPeriod = 4;
+            var crsi = new ConnorsRelativeStrengthIndex(rsiPeriod, rsiPeriodStreak, lookBackPeriod);
+            int minInputValues = Math.Max(rsiPeriod, Math.Max(rsiPeriodStreak, lookBackPeriod));
             for (int i = 0; i < minInputValues; i++)
             {
                 Assert.IsFalse(crsi.IsReady);