Andean Oscillator

Category: momentum, volatility

An oscillator that measures bullish and bearish momentum by calculating the variance of price extremes (floor and ceiling) using a fast-attack, slow-decay filter mechanism.

Formula

\alpha = \frac{2}{Length + 1} \\
t_{up} = \max(C, O), \quad t_{dn} = \min(C, O) \\
Up1_i = \max(t_{up}, Up1_{i-1} - (Up1_{i-1} - C_i) \cdot \alpha) \\
Up2_i = \max(t_{up}^2, Up2_{i-1} - (Up2_{i-1} - C_i^2) \cdot \alpha) \\
Dn1_i = \min(t_{dn}, Dn1_{i-1} + (C_i - Dn1_{i-1}) \cdot \alpha) \\
Dn2_i = \min(t_{dn}^2, Dn2_{i-1} + (C_i^2 - Dn2_{i-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 and every published strategy that uses Andean Oscillator on WOBR StrategyVerse.