I have troubles at the time to implement the RSI when I want to compute it every 1 minute but using windows to compute the OHLC of 10 minutes. I don't know how to use the OHCL resampling for example if I want to compute the RSI for a the time 15:55.
Let's say that I use the close value as the input for the RSI. Do I have to compute the close every 10 minute back at times 15:55, 15:45, 15:35, 15:25, ...., or I have to compute the OHLC values at times 15:50, 15:40, 15:30, 15:20 and the only "truncated" and incomplete window is the last one to compute the last close?
Let's say the I use the following parameters :
dt: time window to compute the OHCL values
N: number of windows used to compute the RSI
So the question would be, do I have to move jointly the hole big window W=N*dt one minute at a time, or the the OHLC values for the previous complete windows remains constant (at times 03:50, 03:40, 03:30 ) and the only that is changing is the last one till it gets filled?
Thank you a lot.