[tommaso]

Hi onesmith

thanks for asking.

Since you are interested in a recent value of the "direction", you limit your computations to a recent number of price variations ("moves" from a gridline to another). The (k-1) would represent how many latest distinct price changes you are considering to assess the recent "direction".

When you use equispaced gridlines (and do not use weighting), you can just simplify as follows (which is immediately intuitive to visualize):

              Number of "UpMoves" - Number of "DownMoves"
sdx =     --------------------------------------------------------------------   *  100
                               Number of all "Moves"

intending here "UpMoves", "DownMoves", "Moves" as the distinct price "moves" from a gridline to the adjacent one.

[ The distance between gridlines depends on your "timeframe" (similar to when you measure time, you may be interested in microseconds variations, or you may just be intested in minutes, depending on what you are doing).

(I often use a distance between gridlines equal to 0.1% of the price.) ]

Let me know if something unclear here.


Tom

Originally Posted by onesmith »

Tom, I'm trying to translate sdx.
[...]
If i represents an index from 1 to 10 what does k represent? ... a 1 point increment in grid? Can you help me visualize k in the code below?

for i=1 to 10 begin
    s(i)=p(i)-p(i-1);
end;