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Description

This study calculates and displays the Aroon Indicators for the data specified by the Input Data High and Input Data Low Inputs.

Let $X^{(High)}$ and $X^{(Low)}$ be random variables denoting Input Data High and Input Data Low, respectively, and let $X^{(High)_t}$ and $X^{(Low)}_t$ be their respective values at Index $t$. Let the Input Length be denoted as $n$.

Consider the moving window of Length $n + 1$ terminating at Index $t$ (that is, Indices $t - n, t - n + 1,...,t$). We denote the values of the Index of the most recent high of $X^{(High)}$ and the most recent low of $X^{(Low)}$ in this window as $T_t^{(Up)}\left(X^{(High)},n\right)$ and $T_t^{(Down)}\left(X^{(Low)},n\right)$, respectively. We compute these, respectively, in terms of a Moving Maximum and a Moving Minimumas follows.

In the moving window, $t - T_t^{(Up)}\left(X^{(High)},n\right)$ is the number of bars since the highest value of $X^{(High)}$, and $t - T_t^{(Down)}\left(X^{(Low)},n\right)$ is the number of bars since the lowest value of $X^{(Low)}_t$.

Finally, we denote the Aroon Indicator Up and Aroon Indicator Down at Index $t$ for the given Inputs as $AI^{(Up)}_t\left(X^{(High)},n\right)$ and $AI^{(Down)}_t\left(X^{(Low)},n\right)$, respectively, and we compute them for $t \geq 0$ as follows.