Tomasz - Psuedo Code for RWI - Random Walk Index (and or RWIhi/lo etc.)

["Richard Alford" <richard.alford@xxxx>]

Thanks Stephane, I think the concept is 
becoming clear, it is the implementation that is confusing me at the 
present.   The simplest description I have located is
 
ATR = Average Trading RangeRWI high = (HI - LO[n]) / ATR * 
n sqrt(n)RWI low = (HI[n] - LO) / ATR * n sqrt(n)
 
There are several implementation choices -which 
ATR do you use, today's, last n days, max of last n days, etc.  It appears 
that the common MetaStock may use n*max(TR(n)), n = 1
 
however, the AB code has two 
parameters,




SYNTAX 
rwi( minperiods, maxperiods )

RETURNS
ARRAY

FUNCTION 
Calculates the Random Walk Index indicator as a difference 
between Random Walk Index from Highs (RWIHI() function) and Random Walk 
Index from Lows (RWILO() function.

EXAMPLE
rwi( 9, 40 );
 
and I am not certain what the min/max periods refer to.  They maybe 
the range over which the statistics are generated, although that still holdsome 
ambiguity in my mind?
 
 
May have to wait for clarification from TJ. I have attached some test AFL 
indicator code for those interested.
 
Thanks,
 
Richard
 
<BLOCKQUOTE 
>
----- Original Message ----- 
<DIV 
>From: 
<A title=nenapacwanfr@xxxx 
href="">nenapacwanfr 
To: <A title=amibroker@xxxxxxxxxx 
href="">amibroker@xxxxxxxxxxxxxxx 
Sent: Tuesday, July 02, 2002 12:22 
AM
Subject: [amibroker] Re: RWI - Random 
Walk Index
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,> > RichardYour 
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