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GRAVITY
Doug Schaff
FX-Strategy
| Characteristic: | Momentum Oscillator | ||
| Parameter Defaults: | Length | 10 | controls the measurement period for the Center of Gravity |
| Plots: | CoG1 | ||
| Plots: | CoG2 | ||
The Center of Gravity indicator was introduced by John F Ehlers in the May 2002 issue of Technical Analysis of Stocks and Commodities. Based on his worked with adaptive filters, Ehlers described the indicator as a unique new oscillator that it is smoothed and has essentially zero lag. The smoothing enables clear identification of turning points, and the zero lag aspect means action can be taken early in the move.
The Formula is given as:
COG = -1 * NUM / DEN
| Where: | ||||
| n | ||||
| NUM = | ∑ | [PRICE[i] * (i + 1)] | ||
| i=0 | ||||
| n | ||||
| DEN = | ∑ | (Price)i | ||
| i=0 | ||||
| and: | ||||
| PRICE[i] = | the price of the ith bar back. | |||
| PRICE[0] = | price of current bar. PRICE[2] = price 2 bars back, etc. | |||
Essentially the numerator calculates a weighted sum of price while the numerator calculates the sum of price and the ratio represents the strength of movement in one direction.
Note how with the correct parameter how well Gravity can track price. It is often wise to use a break filter, looking for any signaled reversal by Gravity to be confirmed by a break higher or lower in price.
