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Random Walk Indicator
This study calculates and displays the High and Low Random Walk Indicators for the Price Data.
Let \(H_t\) and \(L_t\) denote, respectively, the High and Low Prices at Index \(t\), and let the Length Input be denoted as \(n\). Then we denote the High and Low Random Walk Indicators for the given Input at Index \(t\) as \(RWI^{(High)}_t(n)\) and \(RWI^{(Low)}_t(n)\), respectively. We calculate these for \(t \geq n - 1\) in terms of the Average True Range as follows.
For \(t = n - 1\): \(RWI^{(High)}_{n - 1}(n) = RWI^{(Low)}_{n - 1}(n) = 0\)
For \(t > n - 1\):
\(\displaystyle{RWI^{(High)}_t(n) = \max\left\{0, \frac{H_t - L_{t - 1}}{ATR_{t - 1}(1)\cdot\sqrt{1}}, \frac{H_t - L_{t - 2}}{ATR_{t - 1}(2)\cdot\sqrt{2}}, ..., \frac{H_t - L_{t - n}}{ATR_{t - 1}(n)\cdot\sqrt{n}}\right\}}\)\(\displaystyle{RWI^{(Low)}_t(n) = \max\left\{0, \frac{H_{t - 1} - L_t}{ATR_{t - 1}(1)\cdot\sqrt{1}}, \frac{H_{t - 2} - L_t}{ATR_{t - 1}(2)\cdot\sqrt{2}}, ..., \frac{H_{t - n} - L_t}{ATR_{t - 1}(n)\cdot\sqrt{n}}\right\}}\)
Inputs
Spreadsheet
The spreadsheet below contains the formulas for this study in Spreadsheet format. Save this Spreadsheet to the Data Files Folder.
Open it through File >> Open Spreadsheet.
*Last modified Monday, 03rd October, 2022.