1
$\begingroup$

The formula for the CSI, as found on page 111 of J. Welles Wilder's New Concepts in Technical Trading Systems (link), is as follows:

enter image description here

I'm curious about the derivation. Multiplying the ADXR and ATR14 makes sense. The multiplication by 100 is purely aesthetic. Multiplying by V makes sense too. What doesn't make sense is the following:

1) Why we divide by (150 + C) instead of just C

2) Why we divide by sqrt(M) instead of just by M

3) Why we divide by the commission then by the margin requirement separately, instead of as one set of terms added together - (M + C).

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.