Wilder’s Accumulative Swing Index: Formula and Daily-Limit Scaling

Summary

The document presents a code implementation of Wilder’s Accumulative Swing Index (ASI), a cumulative price-movement indicator. It calculates the day’s swing from current high, low, open, and close alongside the previous bar’s prices. Intermediate values capture the largest range relative to the previous close, then combine these movements into a swing index scaled by a daily-limit parameter. Adding each bar’s swing index produces the cumulative series.

The example sets the daily-limit parameter to one by default and says to use the actual limit for commodities with a defined daily price limit; for stocks without one, the author says another value can be used. The document offers no chart, trading rules, market data, or performance evidence, and it refers readers to Wilder’s book for more background. As presented, it is an indicator calculation rather than a tested strategy. Its output depends on the chosen scaling parameter, and the document does not explain how to interpret ASI values or validate signals across instruments and time periods.

Key ideas

• ASI accumulates a per-bar swing value derived from current and previous price data.
• The swing calculation combines price changes with a range term selected from high, low, and intrabar movement.
• The example scales each swing by a daily-limit parameter, with different guidance for limit-bound commodities and stocks.
• The document supplies no entry rules or empirical results, so it does not establish the indicator’s trading value.

Tags

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