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 Moving Median VWTPO is available for NinjaTrader 8 and the library also features the Moving Mean TPO Moving Mode TPO, Moving Median TPO, Moving Mean VWTPO and the Moving Mode VWTPO.