How It Works
- Track how many bars have passed since the highest high and the lowest low of the last 25, and turn each into a 0-100 line: Aroon Up and Aroon Down.
- Buy when Aroon Up crosses above Aroon Down — the market is setting new highs more recently than new lows, so the trend has turned up in time terms even before price confirms it by size.
- Sell when Aroon Down crosses back above Aroon Up.
Worked example. A new 25-bar high three bars ago puts Aroon Up at 88, while the last low was 18 bars back, leaving Aroon Down at 28. Up has crossed above Down, so the strategy buys. Weeks later fresh lows start arriving and Down climbs back through Up, closing the trade.
The Math Behind The Indicators
Everything runs on closing prices of the traded timeframe: P is a close, Pt today's close, and N counts bars — one bar is one candle of that timeframe, so 20 bars on a 1h chart is 20 hours.
- Aroon Up / Aroon Down
- A trend gauge built from elapsed time rather than price size. Aroon Up asks how recently the window's highest high was set: 100 if it is today, decaying toward 0 as the high ages. Aroon Down does the same for the lowest low. When Up leads Down the market has been making fresh highs more recently than fresh lows, which is what a healthy uptrend looks like in time rather than in magnitude.
- Up = 100 · N − bars since max(HN)N, Down = 100 · N − bars since min(LN)N
- Example: With N = 25, a high set 5 bars ago gives Aroon Up = 100·(25 − 5)/25 = 80, while a low set 20 bars ago gives Aroon Down = 100·(25 − 20)/25 = 20 — highs are fresh, lows are stale, so the trend reads as up.
Example Chart
Example Chart
The Metrics
| Metric | Calculation | What it shows |
|---|---|---|
| Price Change % | change = Plast − P0P0 × 100 The traded market's own close against its first close over the same window, as a percentage. | What the market did while the rule was running — the benchmark every other row here is read against. A rule that made 40% in a market that made 120% lost to doing nothing. |
| Trades | N = count(closed positions) How many positions the rule opened and closed over the window. | The sample behind every other figure, and what the fees are charged on. Two rules with the same return are not the same rule if one took nine trades and the other took nine hundred. |
| Win Rate % | W%n = winsnn × 100 Of the first n trades, how many closed above the cash they opened with after fees. Plotted trade by trade, so the line is the rate so far rather than a final figure. | How often the rule is right, which is not how much it makes. A rule can win a third of its trades and still lead, if the third it wins pays for the two it loses. |
| Cumulative P&L % | PnL%n = n∑i=1(fi − 1) × 100 Each trade's percentage result added up, net of fees. A sum rather than a compounding, so a 10% gain and a 10% loss cancel. | What the rule returned per trade, with position size taken out of it. It answers whether the edge is in the trades themselves, where the equity curve answers what the account did with them. |
| Equity | En = E0 n∏i=1fi The account compounded through every trade — the whole balance goes into the next position. Drawn net of fees as a solid line and gross of them as a dotted one. | The account itself, which is the only figure a reader actually ends up with. The gap between the two lines is what the fees took, and it widens with every trade rather than staying a fixed share. |
| Cumulative Fees | Fn = n∑i=1(Ci φ + Xi φ) Fee charged on the way into each position and again on the way out, at rate phi, on the capital actually committed — so the bill grows with the account as well as with the trade count. | The cost of trading, in the account's own units. It is the one line here that only ever rises, and the one a rule cannot trade its way out of. |
| Rolling Sharpe | Sharpet = mean(rdaily)sd(rdaily) × √365 Mean daily return over its deviation, annualized on a 365-day year because crypto has no weekend. Taken on the account marked to market every bar — open positions included, not just closed ones — and read off at each trade's exit. | Return per unit of the swing it took to get it. It is the heaviest weight in the composite score, because an account that doubled calmly and one that doubled violently are not the same result. |