Market Weather Price MA Cross

Category: volatility, market_structure

Quantifies recent market 'turbulence' by counting the number of times price has crossed a Simple Moving Average (SMA) within a rolling lookback window.

Formula

C_t = \sum_{i=t}^{t+CountPeriods-1} [ (MA_{i+1} \geq Close_{i+1} \text{ and } MA_i < Close_i) \text{ or } (MA_{i+1} \leq Close_{i+1} \text{ and } MA_i > Close_i) ]

Inputs

• MAperiod (default: 60)
• CountPeriods (default: 180)

See signal primitives and every published strategy that uses Market Weather Price MA Cross on WOBR StrategyVerse.