Poulson uses a short-term index (1 to 8 bars) and a longer term index (9 to either 40 or 60 bars). He does this for high's as well as lows. In each he selects the MAX ATR of all ATR's (from 1 to 60 bars) vs. current ATR.
--- In [email protected], "Monty Webb" <[EMAIL PROTECTED]> wrote: > > The following code appears for RWIHI in AB > RWIHi( minperiods, maxperiods); > > I have only found a single period used in any of Michael Poulos calculations, and he talks about comparing a long term RWIHI(38) [for example]with a short term RWILO(7) , but each is calculated using just one period and then the two different values are studied. For each different value, the expected random walk( average ATR for n days)*SQRT(n) is compared to the value (Hi-low(n)) for all days 1 thru n and the greatest ratio is used for the RWIHI for that day. > > So the n used in the random walk denominator is the same n as used in the actual drift numerator . > > My question is just what are we calculating with the two different periods in the AB equation. > > Thanks > > Monty >
