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Corwin and Schultz Estimator


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.

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