1990issue C111-2
Building a percent-difference moving-average oscillator
Build a percentDifferenceOscillator by converting the gap between the latest close and a moving-average baseline into a percent of that baseline, and treat the movingAverageLookback as a periodically rechecked design parameter.
- The percentDifferenceOscillator subtracts a moving average from the current close, divides that difference by the same average, and scales the ratio by 100.
- The intended construction target is intermediate-term turning points in the Dow Jones Industrial Average, with the movingAverageLookback changed to match different swing frequencies.
- A 15-day lookback was tried first, an 18-day length was later preferred after comparing peak consistency, and lengths from 15 to 21 days were rechecked every six to eight months.
- An eventCountRule counted clustered crossings as one event unless the reading first fell to at least -1%, and an earlyWarningRead framed the series as an early-watch complement rather than a standalone timing rule.
How the oscillator is built
The percentDifferenceOscillator is a constructed series that expresses the latest close minus a moving average as a percentage of that same average. The working build subtracts an 18-day moving average from the current close, divides that difference by the same average, and scales the ratio by 100.
The intended construction target is intermediate-term turning points in the Dow Jones Industrial Average.
Lookback as a reviewed parameter
The movingAverageLookback is the number of sampling intervals used to form the baseline average, reviewed in a short band around the working length. That length is a tunable construction choice and can be changed to match different swing frequencies in the price series.
A 15-day lookback was tried first. An 18-day lookback was later preferred after comparing how consistently peaks appeared. Lookbacks from 15 to 21 days were rechecked every six to eight months to see which length then produced the most consistent peaks.
Event counting and early-watch use
The eventCountRule is a counting convention that treats clustered crossings as one event unless the oscillator first retreats to a stated negative threshold. Clustered crossings a few days apart were counted as one event unless the reading first fell to at least -1%.
The earlyWarningRead is a construction implication that the oscillator can crest or trough before a sustained price swing finishes. During sustained advances or declines the oscillator often marked peaks and troughs before the price series finished the move, so it was framed as an early-watch complement rather than a complete standalone timing rule.
All readings on this track · 15 readings
- 1990Building a percent-difference moving-average oscillator
- 1991Ease of movement oscillator construction
- 1993A twelve-month moving-average filter for inflation direction
- 1993Constructing two-endpoint JSA moving averages
- 1999Centered moving averages for trend construction
- 2000Constructing a slope-corrected moving average
- 2000Lookback length as a construction check for the modified moving average
- 2001Smoothing balance of market power with a moving average
- 2005Three-state moving-average directional breakout construction
- 2005Constructing a move-adjusted moving average
- 2005Moving-average construction: windows, weights and stops
- 2008Constructing stacked moving-average filters
- 2011Constructing percentage-offset moving-average bands
- 2015Linearity, commutation, and ratio smoothing in moving averages
- 2019Constructing a 50-200 sma-channel for swing entries and exits