Power Measure: Correlating Close-to-Close Moves with Intraperiod Ranges
Summary
Power Measure is an oscillator intended to relate price changes to volatility over a configurable period. It calculates percentage change from the previous close to the current close, and a second percentage measure using the current high and the previous low. It then compares the two series by calculating their rolling correlation: the sum of products of deviations from each series’ period mean, divided by the square root of the product of their summed squared deviations.
The description specifies the calculation and its single period parameter, but gives no interpretation guide for oscillator values, trading thresholds, signal rules, or empirical results. It also does not explain how to handle zero variance or missing prices, which can affect the calculation. The indicator therefore offers a defined way to compare close-to-close movement with a high-low measure, while its usefulness as a trading signal remains unestablished in the document.
Key ideas
- The oscillator compares percentage close-to-close changes with a percentage measure based on the current high and previous low.
- It centers both series on their rolling means over a configurable period.
- Its final value is a normalized correlation between the two centered price flows.
- The document does not provide signal thresholds, performance evidence, or guidance on interpreting values.
- Zero variance and missing-price handling are not discussed.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.