Random Walk Index (RWI BTF)

Category: trend, volatility

Determines if price action is following a random walk or a persistent trend by comparing price displacement to true range over multiple periods.

Formula

$RWI_{High} = \max\left(\frac{High_0 - Low_n}{ATR_n \cdot \sqrt{n}}\right)$, $RWI_{Low} = \max\left(\frac{High_n - Low_0}{ATR_n \cdot \sqrt{n}}\right)$, where $n$ ranges from 1 to Length.

Inputs

• Length (default: 2)
• tf (default: PERIOD_CURRENT)

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