Post #1662 by zeelotes on the Mechanical Investing board

Investment Strategies / Mechanical Investing ❤

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FC wrote: So to summarize it’s Robbie’s definition, using the 9d EMAs of “strict” 252d highs and lows

My original Nasdaq NH-NL uses a weighted moving average and GTR1 follows my original. It does not use an Exponential Moving Average (EMA).

Also, you'll note that Robbie points out:

However, as with the conventional NASDAQ New High/New Low difference (which does not adapt to the size of the market), the optimal cut-off turns out not to be zero, but a negative percentage.

My original work on this back in the late 90s discovered the same thing, and is why my own application of this research does not use zero. It is highly unlikely that StockCharts or any other source online understands this or uses this, unless of course, they've copied my work, which I don't believe has been done to date.

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