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Can someone provide the code for Poulos' Random Walk indicator? I need it to be written for TradeStation's EasyLanguage. For some reason TS does not provide this indicator. Thanks!!
Can you help answer these questions from other members on NexusFi?
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,041 since Dec 2013
Thanks Given: 4,375
Thanks Received: 10,192
I like the theory around this (how expected volatility increases relative to the square root of time) but not sure I like the actual implementation as much. The dynamic nature of the lookup is that when you have a single day, counter trend, the indicator in the direction of the trend is using a high n, looking at the longer term trend, and is not effected by the single day counter. The indicator in the opposite direction of the trend though will often take the value when n=1 and hence spike to high numbers for short periods of time despite the ongoing trend in the other direction. ie you get days where both the up and down indicator are both significantly above 1!
compliments for your observations; if you want, here you can download the formulas for Metastock of the Random Walk Index, and I believe that they are in line with your specifications (there are Short Term and Long Term versions):
I believe that you can easily transform the formulas into Easylanguage, I have also added explanations of Metastock terms, moreover there is also another original article by E. Michael Poulos.
If they can be useful, here are two Functions of the Random Walk Index, in easylanguage, and from here, you could create the indicator:
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,041 since Dec 2013
Thanks Given: 4,375
Thanks Received: 10,192
Thanks. That code uses an array to store the values, and then running a second loop to check for the max value in the array. I have to think that would be both slower and more memory intensive than what I posted. Suspect its probably the original code from the early 90s and at this point is 30 years old! Wish I had a time machine and could go back with modern computers to the early 90s!