Range Expansion Index (REI)

Category: momentum

Tom DeMark's Range Expansion Index (REI) is an oscillator that measures price velocity and filters out noise in non-trending markets by zeroing out values that don't meet specific price-action conditions.

Formula

REI = \frac{\sum_{j=0}^{P-1} (V_1 \cdot V_2 \cdot (\Delta High + \Delta Low))}{\sum_{j=0}^{P-1} (| \Delta High | + | \Delta Low |)} \times 100 \\ \text{where } \Delta High = High_i - High_{i-2}, \Delta Low = Low_i - Low_{i-2} \\ V_1, V_2 \text{ are binary filters based on } Close_{i-7}, Close_{i-8}, High_{i-5}, Low_{i-5} \text{ etc.}

Inputs

• REI_Period (default: 8)
• EnableNativeAlerts (default: false)
• TriggerCandle (default: Previous)

See signal primitives and every published strategy that uses Range Expansion Index (REI) on WOBR StrategyVerse.