Past Trading System Labs have highlighted the inability of fixed-parameter indicators to adjust to changing market conditions. With an indicator such as the Relative Strength Indicator (RSI), the problem is twofold — both its look-back period and its overbought/oversold boundaries are fixed.

The May 2009 Trading System Lab analyzed a dynamic Money Flow Index that adjusted to volatility based on the frequency of market swings — i.e., the time between swing highs or swing lows. A swing high is usually defined as two consecutive higher highs followed by two consecutive lower highs; a swing low is the opposite. However, the swing-point rules are not carved in stone and leave room to experiment. For example, the number of consecutive price extremes can range from one to three. Alternately, the number can be made asymmetric — i.e., two consecutive prices before the central bar, and just one after to find swing points with less lag. In our turn, we slightly experimented with changing the swing point composition