Visibility-Graph-Based Relative Strength Indicator for Financial Market Decision-Making

Rafa{\l} Rak

Papers from arXiv.org

Abstract: This study introduces the Visibility-Graph-Based Relative Strength Index (VGRSI), a causal indicator that selects and implicitly weights price increments using backward natural visibility. Independent parameters specify the aggregation window and the backward visibility range. Two aggregation variants use the magnitudes and counts of positive and negative contributions to produce values on a 0--100 scale. The VGRSI was tested in an automated walk-forward experiment based on 30-day optimisation windows followed by {7-day walk-forward windows}. This study covered DJI30, EUR/USD, and XAU/USD over 503 trading days in 2024--2025. {The VGRSI strategy produced positive cumulative net profits for all three instruments, whereas the tested classical-RSI strategy and the VGRSI variant without visibility selection produced cumulative losses under the same walk-forward procedure and trading conditions. Because the analysis covered only three instruments and one historical period, the results should be treated as preliminary.

Date: 2026-05, Revised 2026-10
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Published in Entropy 2026, 28(10), 1141

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