range expansion index.afl

一个更精度的平滑涵数, 可用于股票交易系统.用于Amibroker 平台

//------------------------------------------------------------------------------
//
//  Formula Name:    Range Expansion Index
//  Author/Uploader: Tomasz Janeczko 
//  E-mail:          [e-mail]
//  Date/Time Added: 2001-06-16 08:32:31
//  Origin:          Originally developed by Tom DeMark
//  Keywords:        moving average,oscillator
//  Level:           medium
//  Flags:           indicator
//  Formula URL:     http://www.amibroker.com/library/formula.php?id=15
//  Details URL:     http://www.amibroker.com/library/detail.php?id=15
//
//------------------------------------------------------------------------------
//
//  The DeMark Range Expansion Index is a market-timing oscillator described in
//  DeMark on Day Trading Options, by T.R. DeMark and T.R. Demark, Jr., McGraw
//  Hill, 1999. The oscillator is arithmetically calculated and is designed to
//  overcome problems with exponentially calculated oscillators, like MACD. The
//  TD REI oscillator typically produces values of -100 to +100 with 45 or
//  higher indicating overbought conditions and -45 or lower indicating
//  oversold. Here is how Tom DeMark describes the calculation of Range
//  Expansion Index:
//
//  "The first step in calculating the REI is to add together the respective
//  differences between the current day's high and the high two days earlier
//  and the current day's low and the low two days earlier. These values will
//  be positive or negative depending on whether the current day's high and low
//  are greater or less than the high and low two days earlier. To prevent
//  buying or selling prematurely into a steep price decline or advance, two
//  additional conditions should be met to qualify a positive or negative value
//  on a particular day: 1) either the high two days earlier must be greater
//  than or equal to the close seven or eight days ago, or the current day's
//  high must be greater than or equal to the low five or six days ago; 2)
//  either the low two days earlier must be less than or equal to the close
//  seven or eight days ago, or the current day's low must be less than or
//  equal to the high five or six days ago. If either of these conditions are
//  not satisfied, a zero value is assigned to that day. If they both are, the
//  daily values (the differences between the highs and lows) are summed , and
//  the specific value for that next day is determined. Next, all the positives
//  and negative values are added together over a five-day period. This value
//  is then divided by the absolute value price movement of each day over the
//  five-day period. The numerator of the calculation can be either positive,
//  negative or zero, because each day's value is summed for five days, but the
//  denominator is always positive because it is only concerned with the
//  differential price movement itself. This value is then multiplied by 100.
//  Consequently, the REI can fluctuate between +100 and -100."
//
//------------------------------------------------------------------------------

/* 
** Tom DeMark's Range Expansion Index 
** AFL Implementation by Tomasz Janeczko 
*/


HighMom = H - Ref( H, -2 );
LowMom = L - Ref( L, -2 );

Cond1 = ( H >= Ref( L,-5) OR H >= Ref( L, -6 ) ); 
Cond2 = ( Ref( H, -2 ) >= Ref( C, -7 ) OR Ref( H, -2 ) >= Ref( C, -8 ) ); 
Cond3 = ( L <= Ref( H, -5 ) OR L <= Ref( H, -6) ); 	
Cond4 = ( Ref( L, -2 ) <= Ref( C, -7 ) OR Ref( L, -2 ) <= Ref( C, -8 ) );

Cond = ( Cond1 OR Cond2 ) AND ( Cond3 OR Cond4 );

Num = IIf( Cond, HighMom + LowMom, 0 );
Den = Abs(  HighMom ) + Abs( LowMom );

TDREI = 100 * Sum( Num, 5 )/Sum( Den, 5 ) ;

graph0 = TDREI;