Andean Oscillator

Category: momentum, volatility

A volatility-based momentum oscillator that calculates bull and bear components using exponential tracking of price floors and ceilings to identify trend direction and strength.

Formula

\begin{cases} \alpha = \frac{2}{Length + 1} \\ Up_1 = \max(\max(O, C), Up_{1,prev} - (Up_{1,prev} - C) \cdot \alpha) \\ Up_2 = \max(\max(O^2, C^2), Up_{2,prev} - (Up_{2,prev} - C^2) \cdot \alpha) \\ Dn_1 = \min(\min(O, C), Dn_{1,prev} + (C - Dn_{1,prev}) \cdot \alpha) \\ Dn_2 = \min(\min(O^2, C^2), Dn_{2,prev} + (C^2 - Dn_{2,prev}) \cdot \alpha) \\ Bull = \sqrt{Dn_2 - Dn_1^2} \\ Bear = \sqrt{Up_2 - Up_1^2} \\ Signal = EMA(\max(Bull, Bear), SignalLength) \end{cases}

Inputs

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

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