Random Walk Index

British Pound/U.S. DollarFXCM

Description

⋅ Mar 14, 2018 8:04 PM

Random Walk Index indicator script. This indicator was originally developed by Michael Poulos.

As you can see, the result is very similar to the Vortex Indicator (was developed by Etienne Botes and Douglas Siepman).

Centered Oscillators Trend Analysis Average True Range (ATR)RWI Random Walk Index (RWI)

Comments

luxalta76

⋅ May 21, 2021 3:48 AM

I'm pretty sure this calculation is off from correct math.. believe you want lowest(low, length) and highest(high, length) instead of low[length] and high[length] respectively.

luxalta76

⋅ May 21, 2021 4:28 AM

@luxalta76,

Actually here is what I think you really want based on all the reading I've done on this particular indicator:

ATR = atr(length)
rwiHigh = 0.0
rwiLow = 0.0
lastRwiH = 0.0
lastRwiL = 0.0

for i=1 to length
lastRwiH = (high-low) / (ATR * sqrt(i))
rwiHigh := rwiHigh > lastRwiH ? rwiHigh : lastRwiH
lastRwiL = (high-low) / (ATR * sqrt(i))
rwiLow := rwiLow > lastRwiH ? rwiLow : lastRwiL

It isn't entirely clear if ATR over the range is a decent solution or if you should ideally use the DR for the particular algo but this is much closer to being 'correct'