Range Weighted Moving Average

This is a moving average that has the close of each bar weighted with the square of the tick range. It comes close to a volume-weighted moving average, and may be used with instruments, for which no volume information is available.

Indicator Description

For instruments volume data is unavailable (or unreliable), the Range Weighted Moving Average can be used as a substitute for the Volume Weighted Moving Average. The indicator have similar properties to the Volume Weighted Moving Average but takes the close of each bar, weighting it with the square of the tick range.

The indicator is available for NinjaTrader 8.