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Rotation Factor
Description
This calculates and displays the Rotation Factor for the Price Data.
Note: Since the Rotation Factor is reset to zero at the start of each trading day, this study is meant to be used with Intraday Charts.
Let the High and Low Price at Index \(t\) be denoted as \(H_t\) and \(L_t\), respectively. We begin by computing four quantities whose values at Index \(t\) are denoted as \(RF^{(1)}_t\), \(RF^{(2)}_t\), \(RF^{(3)}_t\), and \(RF^{(4)}_t\). We compute these for \(t > 0\) as follows.
\(\displaystyle{RF^{(1)}_t = \left\{ \begin{matrix} 1 & H_t > H_{t - 1} \\ 0 & H_t \leq H_{t - 1} \end{matrix}\right .}\)\(\displaystyle{RF^{(2)}_t = \left\{ \begin{matrix} RF^{(1)}_t + 1 & L_t > L_{t - 1} \\ RF^{(1)}_t & L_t \leq L_{t - 1} \end{matrix}\right .}\)
\(\displaystyle{RF^{(3)}_t = \left\{ \begin{matrix} RF^{(2)}_t - 1 & H_t < H_{t - 1} \\ RF^{(2)}_t & H_t \geq H_{t - 1} \end{matrix}\right .}\)
\(\displaystyle{RF^{(4)}_t = \left\{ \begin{matrix} RF^{(3)}_t - 1 & L_t < L_{t - 1} \\ RF^{(3)}_t & L_t \geq L_{t - 1} \end{matrix}\right .}\)
Next we define the Raw Rotation Factor, denoted by \(RF^{(raw)}_t\). We compute this for \(t \geq 0\) as follows.
\(\displaystyle{RF^{(raw)}_t = \left\{ \begin{matrix} 0 & t = 0 \\ {RF}^{(4)}_t & t > 0 \end{matrix}\right .}\)Finally, we compute the Rotation Factor \(RF_t\) for \(t > 0\) as follows.
- At the start of each trading day, \(RF_t = 0\).
- During each trading day, \(RF_t = RF^{(raw)}_t + RF_{t - 1}\).
Inputs
This study has no Inputs.Spreadsheet
The spreadsheet below contains the formulas for this study in Spreadsheet format. Save this Spreadsheet to the Data Files Folder.
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*Last modified Monday, 27th February, 2023.