Pascal
03-15-2013, 06:31 AM
I received the following question, which is interesting for everybody I believe.
Hi Pascal,
It seems that on the "Avg TEV for four inversed ETF chart", the avg line (in pink) was hard coded to never go down below 0%? Is that the case? And just curious why, since it will affect the extension calculation.
Thanks.
This is a very good question. The Average TEV and the TEV ext that are shown are normalized values because each ETF has different levels of TEV/Volume patterns. Yes, you are right: the normalized Average TEV is between 0% and 100%.
The normalization process of TEV ext is however independent of the normalized Average TEV and is calculated as follows:
Normalized TEV Ext = (Not normalized TEV - Not normalized Aver TEV ) divided by the TEV range for the past 100 days.
The TEV range is the 100Days Max TEV - 100Days Min TEV.
As you can see, the normalized average TEV is not used to calculate the Normalized TEV Ext.
Both calculations are independent.
Pascal
Hi Pascal,
It seems that on the "Avg TEV for four inversed ETF chart", the avg line (in pink) was hard coded to never go down below 0%? Is that the case? And just curious why, since it will affect the extension calculation.
Thanks.
This is a very good question. The Average TEV and the TEV ext that are shown are normalized values because each ETF has different levels of TEV/Volume patterns. Yes, you are right: the normalized Average TEV is between 0% and 100%.
The normalization process of TEV ext is however independent of the normalized Average TEV and is calculated as follows:
Normalized TEV Ext = (Not normalized TEV - Not normalized Aver TEV ) divided by the TEV range for the past 100 days.
The TEV range is the 100Days Max TEV - 100Days Min TEV.
As you can see, the normalized average TEV is not used to calculate the Normalized TEV Ext.
Both calculations are independent.
Pascal