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 −100 to +100, 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 1994 book, The New Science of Technical Analysis.
(source Wikipedia).
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//PRC_RangeExpansionIndex | indicator //15.05.2020 //Nicolas @ www.prorealcode.com //Sharing ProRealTime knowledge // --- settings REIPeriod = 8 // --- end of settings diff1 = High - High[2] diff2 = Low - Low[2] if ((High[2] < Close[7]) and (High[2] < Close[8]) and (High < High[5]) and (High < High[6])) then numzero1 = 0 else numzero1 = 1 endif if ((Low[2] > Close[7]) and (Low[2] > Close[8]) and (Low > Low[5]) and (Low > Low[6])) then numzero2 = 0 else numzero2 = 1 endif subvalue = (numzero1 * numzero2 * (diff1 + diff2)) AbsDailyValue = Abs(diff1)+Abs(diff2) SubValueSum = 0 AbsDailyValueSum = 0 for j = 0 to REIPeriod-1 do SubValueSum = SubValueSum+SubValue[j] AbsDailyValueSum = AbsDailyValueSum+AbsDailyValue[j] next if (AbsDailyValueSum <> 0) then REI = SubValueSum / AbsDailyValueSum * 100 else REI = 0 endif return REI as "Range Expansion Index", 60 style(dottedline) as "level 60", -60 style(dottedline) as "level -60" |
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