Re: [RT] Monday 3/12 - A Down Day

[Bob Fulks <bfgroups@xxxxxxxxxxx>]

At 02:43 AM 3/14/2007, Ben wrote:

> this seems
> to work well,

I came up with an improvement to the original formula. The original
formula:

  LVol = LVol + ((V / average(V, 30) * ((C -
C[1])/(H - L))) 

contains the term:

  (C - C[1])/(H - L)

This can blow up as H - L approaches zero. We can easily fix
this.

  (C - C[1])/(H - L)

is equal to:

  (C - C[1])/Range

We can replace "Range" by "TrueRange":

  (C - C[1])/TrueRange

Range and TrueRange are the same unless there is a gap. For example, in a
gap up then Range = H - L while the TrueRange = H - C[1] so the formula
becomes:

  (C - C[1])/(H - C[1])

This can never be greater than 1.0

In the original version, this term could be very much larger than 1.0 in
cases where there are gaps in the price chart, significantly distorting
the picture. So the revised formula would become:

  LVol = LVol + ((V / average(V, 30) * ((C - C[1])/TrueRange)

More later.

Bob Fulks


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