Modified Chartmill Value Oscillator for Price Deviations

Summary

The Modified Chartmill Value Indicator is presented as an unbounded oscillator for identifying when price has moved unusually far above or below an average. It compares the close with an N period average of the high and low midpoint, then scales that difference by average range multiplied by the square root of N. The example uses a period of fourteen and reference levels at positive and negative one half.

The description argues that this scaling can adapt the measure to instruments with different typical price deviations. Readings beyond the chosen reference levels are framed as overbought or oversold conditions. However, the document offers no chart examples, empirical tests, or rules for entries, exits, and risk controls, so it does not establish predictive value. The thresholds are presented as parameters rather than validated settings, and users would need to assess behavior across markets and timeframes.

Key ideas

• The oscillator measures the close's deviation from an average of high and low midpoints.
• It scales the deviation by average range and the square root of the lookback period.
• Positive and negative reference levels mark potential overbought and oversold readings.
• The document provides no test results or complete trading rules to establish how the indicator performs.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.