The Swing Index compares the relationships between the current prices (open, high, low, and close) and the previous period's prices to isolate the "real" price of a security.
The Swing Index is primarily used as a component of the Accumulation Swing Index as by itself it generates an irregular result.
Calculation:
K = Max(|High-PrevClose|;|Low-PrevClose|)
L = Limit Move
If |High-PrevClose| >= Max(|Low-PrevClose|;|High-Low|) then
R = |High-PrevClose| - 0.5*|Low-PrevClose| + 0.25*|PrevClose-PrevOpen|
If |Low-PrevClose| >= Max(|High-PrevClose|;|High-Low|) then
R = |Low-PrevClose| - 0.5*|Low-PrevClose| + 0.25*|PrevClose-PrevOpen|
else
R = | High-Low | + 0.25*|PrevClose-PrevOpen|
Inputs:
Limit Move = 3
The following table lists the limit moves for several commodities. You can get a list of limit moves from your broker.
|
Commodity |
Limit Move |
|
Coffee |
$0.06 |
|
Gold |
$75.00 |
|
Heating Oil |
$0.04 |
|
Hogs |
$0.015 |
|
Soybeans |
$0.30 |
|
T-Bonds |
$3.00 |
You may need to adjust the limit moves shown in the above table based on the position of the decimal in your data. For example, if the price of corn is quoted as $2.45, the limit move would be $0.10. However, if the price of corn is quoted as $245.00, the limit move would be $10.00. If the security does not have a limit move (e.g., a stock or some futures), use an extremely high value (e.g., $30,000).
Indicator Type: Momentum