Congestion Index (CI)

black

another indicator for volatility. code written in tradestation.
CI above 20 considered up trend, CI below 20 considered downtrend, in between considered range.
i use to combine with other indicators to write strategy.


code:
input: length(NumericSeries);
variable: CI(0);


value1 = 100*percentchange(close, length);
value2 = (highest(high, length)-lowest(low, length))/lowest(low, length);

CI = iff(value2=0,0,value1/value2);

CongestionIndex = xaverage(CI, 3);

snowball2009

Thanks for sharing.  Would you mind if I ask what the length I should use for a daily chart?

black

Thanks for sharing.  Would you mind if I ask what the length I should use for a daily chart?
snowball2009 发表于 2009-8-18 21:05

it depends on ur needs, i use different days in different strategy, 10, 15 or 21 for short term

snowball2009

3# black


"it depends on ur needs, i use different days in different strategy, 10, 15 or 21 for short term"

You meant 21 is for minute/hour charts?  By the way, This is a helpful indicatior when used with other indicators.  One observation I had by just ploting to my charts is that the trend of the indicator might be more telling than the value of indicator itself.  Thanks again for sharing.

black

3# black


"it depends on ur needs, i use different days in different strategy, 10, 15 or 21 for short term"

You meant 21 is for minute/hour charts?  By the way, This is a helpful indicatior w ...
snowball2009 发表于 2009-8-18 21:23

21 is average trading days for a month, i use it on daily chart.

3334440716

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开小差

thx, ding