Corwin and Schultz Estimator
- Indicadores
- Roberto Spadim
- Versão: 1.0
- Ativações: 5
This indicator implements the Corwin and Schultz Estimator based on Advances in Financial Machine Learning 2018 - Marcos Lopez de Prado, page 284. It's a spread estimator using high/low and a rolling window (configurable). It works with low liquidity markets as a robust estimator.
It's interesting when you need to track spread changes, more information can be found at Marcos book.