When calculating the statistical mode, we arrive at the price for which is the highest occurrence of trades – the volume peak – was observed. Rather than simply referencing the close value of the last N bars, this indicator references the entire price range of the bar, i.e. the time price opportunities (TPO).
Indicator Description
By using the Moving Mode TPO, we identify the volume peak, i.e. price that had the highest occurrence of trades. Rather than simply referencing the close value of the last N bars, this indicator references the entire price range of the bar, i.e. the time price opportunities (TPO).
You then have the moving mode TPO, referencing the price point in the lookback period with the highest number of trades.
Other Library indicators
Other indicators from the statistical analysis category include the Interquartile Range, Mean Absolute Deviation (Around the Median), Median Absolute Deviation (Around the Median), Moving Mean TPO, Moving MedianTPO, Moving Mode TPO, Moving Mean VWTPO, Moving MedianVWTPO, Moving Mode VWTPO, Moving Median, Standard Deviation, Volume Weighted Standard Deviation and the Modified Z Score. You may furthermore review the Raff Channel, Daily Regression Channel and Indicator Spotlight newsletter post on the Linear Regression Channel.
The indicator is available for NinjaTrader 8.
