Welles Accumulative Swing Index

Indicator Type: Standalone - Interactive Charts Only

The Swing Index was developed by Welles Wilder. This indicator generates the Open, High, Low, and Close prices of a market over a two bar (day, week, etc.) period to determine the market direction and identify market swings. On a day with an upswing, the values will lie between 0 and +100, while on a day with a downswing, the values will range between 0 and -100.

Mr. Wilder's calculations are based on several factors used to define the Swing Index. Two factors compare prices within a bar, while the other three compare prices between the current and previous bars:

• Today's closing price is above/below today's opening price.

• Today's closing price is above/below the previous closing price.

• Today's highest price is above/below the previous closing price.

• Today's lowest priceis above/below the previous closing price.

• The previous closing priceis above/below the previous opening price.

Each of these factors is evaluated and analyzed in comparison to the highest or lowest price for the specifiedtime period, and then defined on the scale. An upswing day shows a positivevalue, while a downswing day displays a negative value.

Formula

First determine the values calculated for two variables,"K" and "R".

K= MAX(| Ht-Ct-1|, | Lt-Ct-1|)

There are two steps in the calculation of "R"- first, determine the greatest of:

A. |Ht-Ct-1|

B. |Lt-Ct-1|

C. |Ht-Lt|

Then:

If A. is the greatest, then R= (| Ht-Ct-1|)-.5(| Lt-Ct-1|)+.25(| Ct-1-Ot-1|)

If B. is the greatest, then R= (| Lt-Ct-1|)-.5(| Ht-Ct-1|)+.25(| Ct-1-Ot-1|)

If C. is the greatest, then R= (| Ht-Lt|)+.25(| Ct-1-Ot-1|)

SWING = 50 * ((Ct-1 - Ct)+ 0.5(Ct-1 - Ot-1)+ 0.25(Ct - Ot))/ R * K / M

SWING = Accumulation Swing Index

K = The largest of Ht-1-Ct and Lt-1-Ct

C = Close price

H = High price

L = Low price

M = Value of a limit move in one direction (Professional'sdefault is 1)

O = Open price

R = A variable for which the calculation is based on thevalues of High, Close and Open

Parameter

LimMov: The table below lists the limit move of severalcommodities. It is advisable to obtain a list of limit moves from yourbroker, since its values are calculated in the formula for the SI.

Please note that the values for Limit Move need to be adjusted based on the position of the decimal in the data the analyst uses. For example, if the price of corn is quoted at $2.45, the limit move is $0.10. However, if the price is quoted at $245.00, the limit move is $10.00.

Some instruments do not have a limit move. In this case, an extremely high value should be used, e.g. $20,000.

Default Parameters: 14, 20, 6

Sample Chart: