GAS Price Levels

Category: volatility, trend

A multi-factor volatility and price level indicator that combines Bollinger Bands, KAMA, and customized Alpha factors (238, 51, 262) to track dynamic structural levels.

Formula

\text{Alpha238} = \text{argmin}_{40}(\sum \ln(C/C_1)) \\ \text{Alpha51} = \text{ROC}(C, 30) \times \text{ROC}(C, 5) \\ \text{Alpha262} = \Delta(\text{SMA}(\text{CCI}^2, 20)) \\ \text{Weighting} = \frac{|IC(factor, \Delta C)|}{\sum |IC_i|}

Inputs

• emaPeriods (default: 9)
• atrLength (default: 10)
• bbandsLength (default: 20)
• bbandsStdDev (default: 2.0)
• rsiLength (default: 14)
• cciLength (default: 20)

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