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Poulson uses a short-term index (1 to 8 bars) and a longer term index
(9 to either 40 or 60 bars). He does this for high's as well as lows.
In each he selects the MAX ATR of all ATR's (from 1 to 60 bars) vs.
current ATR.
--- In amibroker@xxxxxxxxxxxxxxx, "Monty Webb" <the_bear_98@xxx> wrote:
>
> The following code appears for RWIHI in AB
> RWIHi( minperiods, maxperiods);
>
> I have only found a single period used in any of Michael Poulos
calculations, and he talks about comparing a long term RWIHI(38) [for
example]with a short term RWILO(7) , but each is calculated using just
one period and then the two different values are studied. For each
different value, the expected random walk( average ATR for n
days)*SQRT(n) is compared to the value (Hi-low(n)) for all days 1 thru
n and the greatest ratio is used for the RWIHI for that day.
>
> So the n used in the random walk denominator is the same n as used
in the actual drift numerator .
>
> My question is just what are we calculating with the two different
periods in the AB equation.
>
> Thanks
>
> Monty
>
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