The steps are:
1. Indicator is on the 1 minute $Tick index.
2. Calculate the average of (High, Low and Close)/3 for each bar
3. Calculate the average of the previous 2030 bars of the above before current day (this is 5 days (5 x 406 bars)(Brett uses 20 days instead).
4. Take the close of current 1 minute Tick bar and minus the value calculated in 3.
5. Add the the current value in 4 to the last value calculated, making it cumulative. Start the day at zero, although maybe that isn't important.
As you can see this is not totally straight forward.
Any help you can provide would be great.
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