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High/Low Oscillator

The high/low oscillator uses the range between one periods high price and the previous periods closing price as a ratio of the total range in a series of periods.

Formula:

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Where:

At = hight - closet-1

Bt = high - low

Ct = closet-1 - low

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see, Kaufman, P. J., The New Commodity Trading Systems and Methods, New York: John Wiley & Sons, 1987.