Ton indice de disparité a été évoqué avec pas mal de détails par Dan Valcu dans un intéressant article publié dans la revue Stock & Commodities V. 27:12 (18-25) :
Sa formule (presque la même que la tienne) :
Disparity Index(%) = 100*(Price - Moving average(Price, N))/Price
Je cite un extrait de l'article (sa conclusion en l'occurrence) :
"The disparity index is a simple and efficient oscillator indicator. It represents the percentage that the closing price deviates above or below from a chosen average. Its main purpose is capital preservation (reduced and controlled risk plus profits locked in). The disparity index is used as a measure for excess of financial instruments in various time frames, and its behavior follows the natural law of reversal to the mean. When dix approaches historical levels of support or resistance, price is expected to reverse or consolidate and gains can be taken from the table. Each financial instrument has its own dix support and resistance levels for a chosen time frame and a period of the average, and so, it pays off to identify these values and use them as guidelines. Why guidelines? Markets change trading behavior suddenly and the disparity index can change as well to reveal other limits. The magnitude of the price reversals cannot be determined using dix; the use of other indicators/techniques evaluates it better.
The disparity index is neither a perfect tool nor purely mechanical; rather, it is an additional indicator to add to theexistent portfolio of techniques and strategies investors and traders have. Using dix, we can scan price databases to find candidates for reversal/consolidation in various time frames. dix can be used with other indicators such as stochastic and relative strength index (Rsi) or with Fibonacci retracements or Bollinger bands.
Two indicators are better than one, but the disparity index can make a great deal of difference