High[j]-High[j-2]
The range expansion index (REI) is a technical indicator used in the technical analysis of financial markets. It is intended to chart the relative strength or weakness of a trading vehicle based on the comparison of the recent price changes and the overall price changes for the period.
The REI can be classified as a momentum oscillator, measuring the velocity and magnitude of directional price movements. The REI shows overbought/oversold price conditions by measuring the relation between the sum of "strong" price changes (such that form a trend) and all price changes for the period.
The REI is most typically used on an 8 day timeframe. It changes on a scale from − to +, with the overbought and oversold levels marked at +60 and −60, respectively.
The range expansion index was developed by Thomas DeMark and published in his book, The New Science of Technical Analysis.[1]
Two sums are calculated for each day. One is the conditional sum of the "strong" price changes:
where is the period of calculation (usually, 8), is a first condition:
is a second condition:
and is the price change parameter:
The second sum is calculated as following:
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For each trading day the value of the indicator is calculated:
According to Thomas DeMark, price weakness is shown by the indicator when its value rises above level 60 and then declines below it. Price strength is shown when the REI goes below −60 and then rises above that level.
Real author:
Earnforex
Range Expansion Index (REI) is an oscillator that measures price changing rate and signals about overbought/oversold areas, in case a price shows weakness or strength. It was developed by Thomas DeMark and described in his book "The New Science of Technical Analysis".
The indicator values change from up to + REI is an enhanced oscillator, as it stays neutral during a flat and shows trends only when considerable top or bottom have been reached.
Input parameters:
Thomas DeMark suggests using the default period equal to 8. It is time to sell when the price crosses level 60 upwards and then goes down and crosses this level downwards. It is time to buy when the price falls below and then goes up past this level.
Translated from Russian by MetaQuotes Ltd.
Original code: eunic-brussels.eu
The DeMark Range Expansion Index is a market-timing oscillator described in DeMark on Day Trading Options, by T.R. DeMark and T.R. Demark, Jr., McGraw Hill, The oscillator is arithmetically calculated and is designed to overcome problems with exponentially calculated oscillators, like MACD. The TD REI oscillator typically produces values of to + with 45 or higher indicating overbought conditions and or lower indicating oversold. DeMark advises against trading in extreme overbought or oversold conditions indicated by six or more bars above or below the 45 thresholds. For more information on using TD REI the user is referred to the DeMark text.
Above is a Daily Chart of an AOL May 70 Call (AOO EN). The bold green line in the lower window pane represents the TD REI line, as specified in the preferences below.
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