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APPENDIX D Algorithms and Formulae for Public Domain Indicators and Studies

Slow Stochastic

• %K = 100 * {[C – min (L, N)]/[max (H, N) – min (L, N)]}
• %D (SlowK or %Ks) = average (%K, X)
• %Dslow (SlowD or %Ds) = average (%D, Y)

Where:

• N = number of periods for %K
• X = number of periods for smoothing %K
• Y = number of periods for smoothing %D

Relative Strength Index

• U = If C > C[1], C – C[1], Else 0
• D = If C < C[1], C[1] – C, Else 0
• RS = Exponential Average(U, N)/Exponential Average(D, N)
• RSI = 100 – [100/(1 + RS)]
• Average Line = Average(RSI, Y)

Where:

• N = number of periods for RS
• Y = number of periods for average line

Simple Oscillator

• FastMA = Simple Moving Average, X
• SlowMA = Simple Moving Average, Y
• Oscillator = FastMA – SlowMA
• Histogram = [Oscillator – Average(Oscillator, N)]

Where:

• X = number of periods in fast moving average
• Y = number of periods in slow moving average, and
• Y > X
• N = number of periods for Histogram

DMI and ADX

• If Inside Bar, Both DM+ and DM– = 0
• If (H – H[1]) > (L[1] – L)
• DM+ = H – H[1]
• DM– = 0
• If (L[1] – L) > (H – H[1])
• DM– = L[1] – L
• DM+ = 0
• DMI+ = [Sum (DM+, N) / Sum (TR, N)] * 100
• DMI– = [Sum (DM–, N) / Sum (TR, N)] * 100
• DX = [(DMI+) – (DMI–)]/[(DMI+) + (DMI–)]
• ADX = Average (DX, Y)

Where:

• TR = max (H, C[1]) – min (L, C[1])
• N = number of periods for DMI+ and DMI–
• Y = number of periods for ADX

MACD

• FastEMA = Exponential Moving Average, X
• SlowEMA = Exponential Moving Average, Y
• MACD Line: FastEMA – SlowEMA
• Signal Line: Exponential ...