Login Page - Create Account

Technical Studies Reference


Aroon Indicator


Description

This study calculates and displays the Aroon Indicators for the data specified by the Input Data High and Input Data Low Inputs.

Let \(X^{(High)}\) and \(X^{(Low)}\) be random variables denoting Input Data High and Input Data Low, respectively, and let \(X^{(High)_t}\) and \(X^{(Low)}_t\) be their respective values at Index \(t\). Let the Input Length be denoted as \(n\).

Consider the moving window of Length \(n + 1\) terminating at Index \(t\) (that is, Indices \(t - n, t - n + 1,...,t\)). We denote the values of the Index of the most recent high of \(X^{(High)}\) and the most recent low of \(X^{(Low)}\) in this window as \(T_t^{(Up)}\left(X^{(High)},n\right)\) and \(T_t^{(Down)}\left(X^{(Low)},n\right)\), respectively. We compute these, respectively, in terms of a Moving Maximum and a Moving Minimumas follows.

\(T_t^{(Up)}\left(X^{(High)},n\right) = \max\left\{i:X_i^{(High)} > \max_t\left(X^{(High)},n)\right)\right\}\)
\(T_t^{(Down)}\left(X^{(Low)},n\right) = \max\left\{i:X_i^{(Low)} < \min_t\left(X^{(Low)},n)\right)\right\}\)

In the moving window, \(t - T_t^{(Up)}\left(X^{(High)},n\right)\) is the number of bars since the highest value of \(X^{(High)}\), and \(t - T_t^{(Down)}\left(X^{(Low)},n\right)\) is the number of bars since the lowest value of \(X^{(Low)}_t\).

Finally, we denote the Aroon Indicator Up and Aroon Indicator Down at Index \(t\) for the given Inputs as \(AI^{(Up)}_t\left(X^{(High)},n\right)\) and \(AI^{(Down)}_t\left(X^{(Low)},n\right)\), respectively, and we compute them for \(t \geq 0\) as follows.

\(\displaystyle{AI^{(Up)}_t\left(X^{(High)},n\right) = 100\cdot\frac{n - \left(t - T_t^{(Up)}\left(X^{(High)},n\right)\right)}{n}}\)

\(\displaystyle{AI^{(Down)}_t\left(X^{(Low)},n\right) = 100\cdot\frac{n - \left(t - T_t^{(Down)}\left(X^{(Low)},n\right)\right)}{n}}\)

Inputs

Spreadsheet

The spreadsheet below contains the formulas for this study in Spreadsheet format. Save this Spreadsheet to the Data Files Folder.

Open it through File >> Open Spreadsheet.

Aroon_Indicator.170.scss


*Last modified Sunday, 29th January, 2023.