Moving Median VWTPO

The Moving Median VWTPO

By using the volume-weighted price data of all bars in the lookback period, we arrive at the moving median VWTPO of the price volume distribution.

Indicator Description

When calculating the statistical median, 50% of all observed prices are higher and 50% are lower than the median itself. Rather than simply referencing the close value of the last N bars, this indicator references the volume-weighted price data of the entire price range of the bar, i.e. the volume weighted time price opportunities (VWTPO). By using the volume-weighted price data of all bars in the lookback period, we thereby arrive at the moving median VWTPO of the price volume distribution.

The indicator is available for NinjaTrader 8.