The Rool Model
- Indicatori
- Roberto Spadim
- Versione: 1.1
- Attivazioni: 5
This indicator implements the Rool Model Estimator based on Advances in Financial Machine Learning 2018 - Marcos Lopez de Prado, page 283. It's a spread estimator using trade by trade (copytick) values from last trades (configurable). It works with low liquidity markets as a robust estimator considering the covariance between price diferences.
It's interesting when you need to track spread changes