Nested midpoint construction for a range-normalized oscillator

This construction starts with a nested midpoint of ordered prices, turns that reference into a range-normalized oscillator, and reuses the same lookback for the bull-side level, the bear-side level, and the wait rules that follow.

Nested midpoint reference

A nested midpoint is a reference series made by repeatedly replacing a price line with the midpoint of its highest and lowest values over a chosen lookback. The reference level used here is an average of ten successive midpoint stages, and each stage takes the midpoint of the highest and lowest values of the prior stage over that lookback. Default constructions use a 12-period lookback for the nested midpoint and for the threshold steps that follow.

Range-normalized oscillator

A range-normalized oscillator is formed by subtracting that multi-stage midpoint average from the latest close, dividing by the highest-minus-lowest close over a short window, and scaling that ratio by 100. Default constructions use a 10-period high-low close window in the oscillator denominator. In TradersWeek editorial terms, the short window is how a stochastic-oscillator places the latest close inside a defined span, and the scaling is how a relative-strength-index maps ordered prices onto a forecast that can be compared with a simpler baseline.

Bull-side and bear-side levels

A bull-side level is the midpoint of the highest and lowest highs over the lookback, and a close above that level is treated as a bullish highlight condition. A bear-side level is the midpoint of the highest and lowest lows over the lookback, and a close below that level is treated as a bearish highlight condition. A point of balance can be defined as the midpoint between the bull-side and bear-side levels.

Momentum rules and four-bar confirmation

One momentum procedure enters long when the close crosses up through the bull-side level and enters short when the bear-side level crosses down through the close.

A stricter procedure allows a long only if the close crosses the bull-side level after four-bar confirmation, meaning the prior four closes sat between the two levels, and exits if the low undercuts the previous three-bar lowest low. The same four-bar confirmation is required for a short on a bear-side cross, and the short exit compares the current high with the prior three-bar highest high.

One system-test setup evaluates fills on the next open with a one-bar delay after the signal.

Shared lookback

The lookback can be stored once so the same length is reused across nested midpoint, threshold, and oscillator steps. In TradersWeek editorial terms, that shared length is what keeps the range-normalized oscillator and the momentum-strategy testable as one procedure, so entry, exit, and abstention rules can be compared with the simpler scaled reading.