Category: Advanced Indicator Set 2
Abbreviation: RndWalkLow
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
RndWalkLow[i] = Max(RWL[i,p]), where:
RWL[i,p] = (High[i-p+1]–Low[i]) / ((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 Lows (RWIL) indicator is such that the value +1.0 is defined as the starting point for a downtrending time series. Therefore, a possible Short Entry (or Long Exit) rule might be RWIL>1. An additional confirmation for sell is that the Random Walk Index of Highs 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.
|