> rise = (max - first)/(max - min) > fall = (max - last)/(max - min) > > The values of the above ratios will be between 0 and 1. The first ratio will > tell you if the tension has been rising and how much. The second if it > subsequently fell and how much. Define thresholds for each ratio that are > meanignful to you (I would recommend using some multiple of the standard > deviation of the tension over the window to avoid spurious signals due to > changing volatility). > > IF rise > threshold and fall > threshold THEN peak = true
Astor, I like your approach and currently I'm testing it but I don't have a clear idea on setting the threshold to some multiple of the standard deviation (STD). E.g. if rise & fall range between 0-1 and the STD can range between 0-9 (or more), which should be the threshold to match both parameters? -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected]. To unsubscribe from this group, send email to [email protected]. For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en.
