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Richard,
I have a description in a book ( at the period when I have tried
technifilter)
if we use the average true range over 4 days to quantify what a
normal step size would be, then we would expect random movement to
be within 2 times the av true range, which is the square root of
four times the step size.
if the traveled distance is more than this number, then the price
has moved more than we would expect from random movement.
therefore the movement is probably not random.
it is how works RWI comparing actual price displacement to expected
displacement for random moves.
I can copy more if you want ( short term formula; long term formula)
stephane
> Ran across the AB functions RWI(min,max) etc. and I have been
unable to
> locate a mathematical description or motivation (or intelligible
code).
>
> Apparently, RWI was presented by Michael Poulos in the Jan 92,
TASC: Random
> Walk was defined in Technical Analysis Of Stocks and Commodities
by Michael
> Poulos (see TASC, January 1992 and September 1992). Random Walk
calculates
> how much price should move over a given period if its movement
were purely
> random. When price moves past this level, it can be assumed to be
trending
> in that direction and the system will issue a signal. The maximum
look-back
> period for Random Walk is optimizable in this system. An excellent
system.
>
> Sounds interesting, however, I cannot ferret out the significance
of the
> min/max parameters. BTW I can locate several metastock listings,
and an
> easy language listing - neither help me much.
>
>
> Can anyone suggest a reference?
>
> Cheers,
>
> Richard
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