If: 

TRi = Today’s True Range 

Hi = Today’s High 

Li = Today’s Low 

P = Number of periods to consider 

Then: 

RWHi = (H(i - P+1) - Li) / {[(TRi-1 + TRi-2 + ... + TRi-p) /P] * P1/2} 

RWLi = (Hi - L(i-P+1)) / {[(TRi-1 + TRi-2 + ... + TRi-p) / P] * P1/2 } 

The previous equations are run for each value of P (P = 2, P = 3, P = 4, etc.) The maximum value is chosen and plotted for both RWH and RWL, except that -RWL is plotted so both plots can coexist on the same graph. 

Parameters: 

Random Walk is self-optimizing, but needs a starting and ending value on which to work. This implementation of Random Walk gives the user a choice of the range over which P will be searched for the Random Walk values. 

Min RWI Periods: The starting place for the Random Walk search. 

Max RWI Periods: The ending place for the Random Walk search. 

Trading System: 

RWI-B trades long when Random Walk of the highs goes above 1.0 as long as Random Walk of the lows is not below -1.0. It trades short when the Random Walk of the lows goes below -1.0 as long as Random Walk of the Highs is not above 1.0. 

 
RWI-B: Random Walk Breakout