MSR: Varadi's MSR

In pdrano/IKTrading: Custom indicators, signals, and rules

Description

Computes David Varadi's MSR – a percent rank of a normalized differnce of median and max

Usage

  MSR(HLC, nMed = 10, nMax = nMed * 2, pctLookBack = 100)

Arguments

HLC	an HLC xts
nMed	a lookback period for taking the median of the HLC series; i.e. the median of the concatenated HLC series, using a parameter of 3*nMed for the 3 series in the concatenation
nMax	a lookback period for the max of the HLC series – should be greater than the median lookback
pctLookBack	a period over which to do a percent ranking

References

http://cssanalytics.wordpress.com/2010/10/27/a-new-trend-indicator-msr/

pdrano/IKTrading documentation built on May 6, 2019, 10:51 p.m.