By eliminating the effect of the overnight gap, the Gapless WMA transitions smoothly between the previous close and the current open. Instead of waiting for the lookback period to eliminate a gap from its calculation, the Gapless WMA can be used immediately because it automatically adjusts to any overnight gap. Other than the below description, you may also review our Gapless Indicator Spotlight (with video).
Indicator Description
The Gapless WMA indicator is used for instruments that have a price gap between yesterday’s close and the current open. Overnight gaps occur with instruments that do not have an overnight trading session. For example, the FDAX for the Germany equity market is closed from 10:00 PM until 8:00 AM local time. Therefore, significant fluctuations in Asian markets may create price gaps that reflect the overnight price action.
Likewise, gaps will appear if you use a session template that only displays the regular trading session. The CME US Index Futures RTH template will only show price data from 8:30 AM to 3:15 PM Central Time. Therefore, a significant price move that occurred overnight, will create a price gap.
This is an issue for the traditional WMA because the gap is part of the lookback period. Therefore, at the session start, you’ll have to wait until the gap is eliminated from the lookback period. Only when the gap is no longer part of theWMA calculation, you may use the indicator plots.
Specifically, the Gapless WMA calculation measures the difference between the prior day close and yesterday’s last indicator plot, transferring it to the current open. Other than adjusting for the overnight gap, the indicator also comes with an option to reset the calculation to start at the current open.
Other Library Indicators
In addition to the Gapless WMA, the library also features the Gapless EMA, Gapless Keltner Channel, Gapless MACD, Gapless SMA, Gapless TEMA and the Gapless ZLEMA.
The Gapless WMA indicator is available for NinjaTrader 8.