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Both versions here below are false.
The first one uses an ATR(34)to fake the real thing, and the second one is an
example of a perfect misunderstanding of the article ( that was not really
clear).
The RWI principle is to compare the range variation for variable lookback period
and compare them to an expected statistical value ( proportional to the inverse
of the square root of the considered length).
Then the maximum of the value found is stored.
The code need loops and array to store the intermediate values.
The correct TS code is in my 1st issue free newsletter that is still available
for download.
You need to subscribe to receive it.
Sincerely,
Pierre Orphelin
www.sirtrade.com
TradeStation Technologies representative in France
Safir-X neurofuzzy logic trading system builder
To subscribe to our FREE trading system newsletter:
http://www.sirtrade.com/newsletter.htm
> -----Message d'origine-----
> De : Ernie Bonugli [mailto:ebonugli@xxxxxxxx]
> Envoye : mardi 9 avril 2002 21:26
> A : omega-list@xxxxxxxxxx
> Objet : Randon Walk Indicator by C. Kase
>
>
> Hi List,
>
> In a nut shell, what is the principle behind the Randon Walk
> Indicator as described by C Kase and Mile Poulos?
> Multiple versions are around. If I
> could understand it maybe I would be
> able to select the correct set of code?
>
>
>
>
> --
> Best regards,
> Ernie mailto:ebonugli@xxxxxxxx
>
> PS - here are two versions. Others
> exist. Mark Brown has one and Pierre in France
> yet another one. I do not know the
> authors for the following ones:
>
> {Function:HIrwi}
> { This function is equal to Kase' Function XL. IT is the RWI indicator
> written about by Mile Poulos in TASC. The indicator uses 0 as a minimum
> value althouhg the RWI can be negative.}
>
>
> vars: mlval(0);
> mlval = 0;
>
> for value99 = 8 to 65 begin
> value5 = ( high - low [value99] ) / SquareRoot( value99 ) ;
> if value5> mlval then mlval = value5;
> end;
>
> value6 =average(TrueRange,34);
>
> if value6 > 0 then
> K.HIrwi = mlval / value6 else K.HIrwi =K.HIrwi [1];
>
>
> Second version:
>
>
> Input: v1(numeric);
> If average(@TrueRange, v1) > 0 then
> RWItS = (high[v1] - low)/( average(@TrueRange, v1) * SquareRoot(v1))
> else RWItS = RWItS[1];
>
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