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1992issue C091-4

Nested range smoothing and windowed high-low damping

Two width constructions can be rebuilt from ordered highs, lows, and closes. The first nests exponential-smoothing on daily range and then takes a moving-average sum of the resulting ratio. The second asks only whether a recent high-low window has narrowed relative to the window just before it. Trend sign stays on a separate double-smoothed-close, so the width engine never has to carry direction.

  • A nested-range-smoother applies exponential-smoothing to daily range, defined as session high minus session low, then applies a second exponential-smoothing to that first series and forms their ratio.
  • The range-sum-ratio is a 25-period moving-average assembled as a rolling sum of that ratio. A reversal-threshold-pair is a rise to 27 followed by a decline below 26.5.
  • Direction at that reversal is read only from a double-smoothed-close. A first nine-period average below the second is the long-side case. A first average above the second is the short-side case.
  • A companion windowed-width-ratio compares a five-bar moving-average of high-low span ending one bar back with the five-bar window ending six bars back. A contraction-reading is a value below 1.
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Current trackExponential smoothing183 readingsMoving average597 readings

Split width from direction

The construction can be assembled from ordered highs, lows, and closes. One engine measures whether range is expanding or contracting. A second engine, built only from closes, assigns direction when a width reversal is marked.

Editorial. Keeping those jobs apart lets the width path be rebuilt without asking it to carry trend sign.

Nest exponential-smoothing on daily range

Daily range is the session high minus the session low. The nested-range-smoother is an exponential-smoothing of that daily range, then a second exponential-smoothing of the first series. Those two series form the two sides of a range ratio.

Each of those exponential-smoothing steps uses a 0.2 weight on the new observation and a 0.8 weight on the prior smoothed value, stated as matching a nine-period simple moving-average.

Sum the ratio and mark the reversal-threshold-pair

The range-sum-ratio is a 25-period moving-average of the nested-range-smoother ratio, assembled as a moving sum. A reversal-threshold-pair is defined when that 25-period summed ratio rises to 27 and then falls below 26.5.

An illustrated case of this summed-ratio series shows it reaching 27 in late 1991.

Read direction from a double-smoothed-close

When the reversal-threshold-pair is met, direction is taken from a double-smoothed-close: a nine-period exponential-smoothing of the close compared with a second nine-period exponential-smoothing of the first average.

A first average below the second is classified as the long-side case. A first average above the second is classified as the short-side case.

Compare two adjacent high-low windows

A companion width construction is the windowed-width-ratio: the ratio of a five-bar moving-average high-low span ending one bar back to the five-bar moving-average high-low span ending six bars back. Two written forms, one on averaged ranges and one on averaged highs minus averaged lows, are stated to return the same values.

The windowed-width-ratio is described as typically ranging from about 0.5 through 2 or 3. Readings below 1 are treated as a contraction-reading, which is stronger evidence that highs and lows have moved closer together. An illustrated case associates minor reversals with low readings.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
18 of 41 in the Exponential smoothing track
19921-8 pp.Next on Exponential smoothingA weekly equity stance from the discount-bill spreadThe discount-bill-spread is the weekly Federal Reserve discount rate minus the 13-week Treasury bill yield, read as easier liquidity when positive and tighter credit when negative.
All readings on this track · 41 readings
  1. 1984Matching average age across price filters
  2. 1984Residual-impact construction of exponential smoothers
  3. 1988Constructing simple and exponential moving averages as specified filters
  4. 1989Evaluating smoothed free reserves and funds-discount spreads
  5. 1990Integer construction of moving averages and exponential smoothing
  6. 1990Constructing incremental moving average filters
  7. 1991Constructing a double-smoothed stochastic oscillator
  8. 1991Constructing an exponential average from a smoothing weight
  9. 1991Constructing a double-smoothed momentum oscillator family
  10. 1991Competing certainty rules from exponential-average conditions
  11. 1991Hybrid construction of a mechanical timing system from smoothed signals
  12. 1991Constructing an exponential smoother from a moving-average length
  13. 1991Equivalent relative-strength-index constructions from a ratio and from smoothed momentum
  14. 1991Constructing the true strength index from double-smoothed momentum
  15. 1991True strength index from signed, double-smoothed momentum
  16. 1992Constructing exponential averages from simple lookbacks
  17. 1992Constructing exponential averages by the smoothing constant, startup length and lag
  18. 1992Nested range smoothing and windowed high-low damping
  19. 1992A weekly equity stance from the discount-bill spread
  20. 1993Double-smoothed stochastics momentum index construction
  21. 1993Constructing the true strength index with double exponential smoothing
  22. 1994Polarized fractal efficiency with a shared exponential smoother
  23. 1994Five-interval exponential smoothing of ten-interval signed path-efficiency
  24. 1994Hand-ranked price-volume series with stacked smoothing and stochastic
  25. 1995Range expansion filter on multi-horizon averages
  26. 1995The exponential smoothing constant from averaging lag
  27. 1997Construct a nested-average rainbow band and oscillator
  28. 1998Filter stacks that combine a moving average with exponential smoothing
  29. 2002Smoothed relative-strength construction from wilder-averaging and a price prefilter
  30. 2003Reverse-engineered RSI price targets
  31. 2004Piecewise trend quality from moving-average reversals
  32. 2004Nested smoothing recipes versus unaudited oscillator experiments
  33. 2008Weight construction beyond the N-day label
  34. 2010A consensus filter for objective RSI and smoothing construction
  35. 2012Sentiment-zone oscillator from signed closes
  36. 2012Classic RSI one-over-N smoothing versus the standard exponential average
  37. 2013Why exponential smoothing uses two over n plus one
  38. 2015Constructing ratio indicators with moving-average and exponential-smoothing weights
  39. 2015Slow relative-strength index from an exponentially smoothed price
  40. 2017Rebuilding the relative strength index as open-scale buy-sell pressure
  41. 2017Comparing Wilder and exponential smoothing inside a relative-strength index
By fieldIndicators and filters874 readingsBy year1992153 readings
All 183 readings tagged Exponential smoothing
Also on Exponential smoothing5 readings
1984Constructing TRIX from a cutoff to one shared alpha1984Matching average age across price filters1984Residual-impact construction of exponential smoothers1987Constructing a cycle-scaled trend oscillator1988Constructing moving averages: weights, smoothing and crossovers