IKTrading (version 1.0)

MSR: Varadi's MSR

Description

Computes David Varadi's MSR -- a percent rank of a normalized differnce of median and max

Usage

MSR(HLC, nMed = 10, nMax = nMed * 2, pctLookBack = 100)

Arguments

HLC

an HLC xts

nMed

a lookback period for taking the median of the HLC series; i.e. the median of the concatenated HLC series, using a parameter of 3*nMed for the 3 series in the concatenation

nMax

a lookback period for the max of the HLC series -- should be greater than the median lookback

pctLookBack

a period over which to do a percent ranking

References

http://cssanalytics.wordpress.com/2010/10/27/a-new-trend-indicator-msr/