Random Walk Index of Lows

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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.