N = 20;
NumBarsPerYear = 253; // approx. number of bars per year (EOD data)
PE0 = 100 * Max( H - O, O - L )/O;
// orig. formulation (as in the article
// looks into the future bars
PEN = 100 * Max( HHV( Ref( H, N ), N ) - O, O - LLV( Ref( L, N ), N ))/O;
// you may prefer to use modified formula
// that does not look into future
// (just uncomment the line below)
// PEN = 100 * Max( HHV( H, N ) - O, O - LLV( L, N ) )/O;
APE0 = MA( PE0, NumBarsPerYear );
APEN = MA( PEN, NumBarsPerYear );
Alpha = ln( APEN/APE0 ) / ln ( N );
AddColumn( APE0, "A0" );
AddColumn( Alpha, "Alpha" );
AddColumn( APEN/APE0, "APEN/APE0" );
Filter = Status("lastbarinrange");