Rank Correlation Index

The Rank Correlation Index (RCI) is an oscillator based on Spearman's rank correlation coefficient. It compares the price ranks with the time ranks inside the moving window and shows how close the recent movement is to a perfectly rising or falling sequence.

Use the RankCorrelationIndex class to access the indicator.

Calculation

1. Assign each data point inside the Length window a time rank (1 for the oldest value, Length for the most recent).
2. Rank the prices by value (1 for the lowest price, Length for the highest).
3. Compute the difference d = RankTime − RankPrice for each bar.
4. Apply the Spearman formula:
   RCI = 1 − (6 × Σ d²) / (Length × (Length² − 1)).

When multiplied by 100 the indicator ranges between −100 and +100.

Parameters

• Length — window size for the ranking procedure.

Interpretation

• RCI ≈ +100 — perfectly rising sequence (strong uptrend).
• RCI ≈ −100 — perfectly falling sequence (strong downtrend).
• RCI around 0 — random or sideways market.
• Divergences between price and the RCI warn of possible reversals.

The indicator is helpful for short-term trend assessment and spotting turning points, especially when combined with momentum tools.

See also

Momentum ROC RSI