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This is directly from Chande's book. It's not a filter, still I hope this helps!
Best regards,
Andreas
<SNIP>
An indicator that is more directly based on market momentum, and that responds more predictably than the ADX, is the range action
verification index (RAVI). This strategy, which focuses on identifying ranging markets, is different from the ADX, which looks at
how much of today's price action is beyond yesterday's price bar.
To define RAVI, we begin by selecting the 13-week simple moving average, since it represents a quarter of a year. Because we want to
use daily data, we convert the 13-week SMA into the equivalent 65-day SMA of the close. This is the long moving average. The short
moving average is chosen as only 10 percent of the long moving average, which is 6.5 days, or, rounding up, 7 days. Thus, we use
7-day and 65-day simple moving averages. This choice of lengths is purely arbitrary. Next, the RAVI is defined as the absolute value
of the percentage difference between the 7-day SMA (7-SMA) and the 65-day SMA (65-SMA):
RAVI = Absolute value (100 x (7-SMA-65-SMA)/65-SMA)
An arbitrary reference level of 3 percent means a market is ranging if the RAVI is less than 3 percent, and trending strongly if the
RAVI is greater than 3 percent. In some markets, such as Eurodollars, this is too high a hurdle. Hence, you may want to experiment
with a smaller level, such as 1 percent, or use a relative measure, such as a 65-day SMA of the RAVI. You can also require that the
RAVI be above 3 percent and rising there to be a strong trend.
Note the following design features of the RAVI: (1) There is only one level of smoothing. (2) The 7-day moving average is relatively
sensitive, so that the lags between price action and indicator action should be small. (3) Markets can still move more quickly than
the RAVI indicates. You can verify this by looking at the currency markets. (4) Markets in a slowly drifting, choppy trend will pin
the RAVI below 3 percent, indicating ranging action.
do you have an xls format?
regards
Ben
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