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).
Indicator Description
When calculating the statistical mode, we arrive at the price for which is the highest occurrence of trades – the volume peak – was observed. By using the volume-weighted price data of all bars in the lookback period, we thereby get the moving mode VWTPO of the price volume distribution.
The Moving Mode VWTPO is available for NinjaTrader 8 and the library also features the Moving Mode TPO, Moving Median TPO, Moving Mean TPO, Moving Mean VWTPO and the Moving Median VWTPO.