Rectified Linear Unit (ReLU) Moving Average Deviation

Category: momentum, volatility

Applies the Rectified Linear Unit (ReLU) activation function, commonly used in neural networks, to price deviations from a Simple Moving Average.

Formula

\text{ReLU}(x) = \max(0, x) \\ \text{Up} = \text{ReLU}(\text{price} - \text{SMA}(20)) \\ \text{Down} = -\text{ReLU}(\text{SMA}(20) - \text{price})

Inputs

• i_source (default: close)

See signal primitives and every published strategy that uses Rectified Linear Unit (ReLU) Moving Average Deviation on WOBR StrategyVerse.