Category

Indicator Functions

Description

Adam Grimes' Sigma Spike indicator

Syntax

SigSpike(len)

Parameters

len - lookback period

Notes

Sigma Spike is defined as ROC(C,1) / StdDev(ROC(C,1),len)[1].

Example

Spike: SigSpike(100)

Large negative values indicate a sharp downward price spike relative to recent volatility.

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