Abbreviation:
Category: Time Series
Input Parameters:
| Name | Range | Default |
| Time Series | Close | |
| Periods | Int >= 1 | 5 |
Calculation:
Ratio = direction / volatility
where
direction = Absolute Value(Momentum(Time Series, Periods))
volatility = ‘ Absolute Value(Momentum(Lag(Time Series, n), 1), where n = 0 to Periods ‘ 1
‘ represents the sum of values across a range of values (in this case n)
Absolute Value represents Absolute Value
Momentum represents Momentum
Lag represents Lag
Discussion:
Provides a ratio of direction to volatility, which shows how efficiently an issue moves from one price to another over a period of time.