Category: Advanced Indicator Set 2
Abbreviation: RndWalkHigh
Input parameters
Name
|
Setting
|
Default
|
High
|
High time series
|
High
|
Low
|
Low time series
|
Low
|
Close
|
Close time series
|
Close
|
Period
|
Integer >= 2
|
14
|
Calculations
RndWalkHigh[i] = Max(RWH[i,p]), where:
RWH[i,p] = (High[i]–Low[i-p+1]) / ((TR[i-1]+TR[i-2]+..+TR[i-p])/p)*Sqrt(p)),
TR[i] – true range,
p=2..Period,
i=current bar.
Discussion
The Random Walk Index of Highs (RWIH) indicator is formulated such that the value +1.0 is defined as the starting point for an uptrending time series. Therefore, a possible Long Entry (or Short Exit) rule might be RWIH>1. An additional confirmation for buy is that the Random Walk Index of Lows indicator is below 1. See the reference below for more information.
Reference
E. Michael Poulos, "Are There Persistent Cycles ", Technical Analysis of Stocks & Commodities, September 1992.
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