Andean Oscillator

Category: momentum, trend, volatility

A trend-following oscillator that decomposes price action into bullish and bearish volatility components using Andean-style variance calculations. It highlights the dominant market pressure and provides a smoothed signal line.

Formula

\alpha = \frac{2}{Length + 1} \\ 
Up1_t = \max(\max(C, O), Up1_{t-1} - (Up1_{t-1} - C) \cdot \alpha) \\
Up2_t = \max(\max(C^2, O^2), Up2_{t-1} - (Up2_{t-1} - C^2) \cdot \alpha) \\
Dn1_t = \min(\min(C, O), Dn1_{t-1} + (C - Dn1_{t-1}) \cdot \alpha) \\
Dn2_t = \min(\min(C^2, O^2), Dn2_{t-1} + (C^2 - Dn2_{t-1}) \cdot \alpha) \\
Bull = \sqrt{Dn2 - Dn1^2} \\
Bear = \sqrt{Up2 - Up1^2} \\
Signal = EMA(\max(Bull, Bear), SignalLength)

Inputs

• Length (default: 50)
• SignalLength (default: 9)

See signal primitives, usage in published strategies and more on WOBR StrategyVerse.