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Romi,
>From pg. 243 of Trading Systems and Methods by P. Kaufman.
"...The technique bears a resemblance to the approach used in Wilder's RSI.
It can be used as an oscillator with individual daily values or accumulated
into an index. The individual days are calculated as:
@sum(upside volume, 10)
Demand Index = -------------------------
@sum(downside volume, 10)
where @sum is a function that sums the past 10 days of upside and downside
volume..."
Basically, the formula stated in english is - "The sum of upside volume for
the past ten days, divided by, the sum of downside volume for the past ten
days"
The EL code would go something like...
Vars: DI(0),
UpSum(0),
DnSum(0);
UpSum = Summation(High of Data2, 10); {Or wherever it is that contains the
upside volume data}
DnSum = Summation(Low of Data2, 10) {Or wherever it is that contains the
downside volume data}
DI = IFF(DnSum <> 0, UpSum / DnSum, DI[1]);
Plot1(DI, "DemandIndex");
Cheers,
-Lance
-----Original Message-----
From: Romi Ghose [mailto:r.ghose@xxxxxxxxx]
Sent: Friday, April 26, 2002 11:42 AM
To: omega-list@xxxxxxxxxx
Subject: Sibbet's Demand Index
Does anybody have the formula for Demand Index that was originally developed
by James Sibbet?
Thanks
Romi
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