Random Walk Index of Highs

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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.