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Technical Studies Reference


Instantaneous Trendline

This study calculates and displays an Instantaneous Trendline and Trigger Line for the data given by the Input Data Input. This study is an ACSIL implementation of the ITrend Indicator given in Figure 3.4 of the book Cybernetic Analysis for Stocks and Futures by John Ehlers.

Let \(X\) be a random variable denoting the Input Data, and let \(X_t\) be the value of \(X\) at Index \(t). Let the Length Input be denoted as \(n\).

We compute a Smoothing Factor \(\alpha(n)\) (Greek letter alpha) as follows.

\(\displaystyle{\alpha(n) = \frac{2}{n + 1}}\)

We will suppress the functional dependence of \(\alpha\) on \(n\) in the following formulas.

The Instantaneous Trendline and the Trigger Line at Index \(t\) are denoted as \(IT_t(X,n)\) and \(Trig^{(IT)}_t(X,n)\), respectively. Both of these are displayed as Subgraphs, and we compute them as follows.

\(\displaystyle{IT_t(X,n) = \left\{ \begin{matrix} \frac{1}{4}(X_t + 2X_{t - 1} + X_{t - 2}) & t < 6 \\ \left(\alpha - \frac{\alpha^2}{4}\right)X_t + \frac{\alpha^2}{2}X_{t - 1} - \left(\alpha - \frac{3\alpha^2}{4}\right)X_{t - 2} + 2(1 - \alpha) IT_{t - 1} - (1 - \alpha)^2 IT_{t - 2}(X,n) & t \geq 6 \end{matrix}\right .}\)

\(Trig^{(IT)}_t(X,n) = 2IT_t(X,n) - IT_{t - 2}(X,n)\)

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.

Instantaneous_Trendline.486.scss


*Last modified Thursday, 02nd September, 2021.