This technical indicator plot the current market volatility with trend direction signals. If the curve is above the zero line, market is bullish, if it is below, market is bearish.
It is calculated with recent market range compounded from the OHLC values of Weighted moving average. The pro of this indicator is that it can’t avoid ranging market because of its embedded volatility filter : when you are already in a trend, no inverse signal will be given unless a new reversal volatility is detected. The con is that because of its smoothing over the last 15 periods (default parameter), trend catching maybe a little late to appear on screen.
I found the idea original and smart enough to be converted to prorealtime code, so enjoy it and make your own idea about it.
Converted from MT4 code.
PriceSmoothing = 15
Filter = 5
cHigh = weightedaverage[PriceSmoothing](high)
cLow = weightedaverage[PriceSmoothing](low)
cOpen = weightedaverage[PriceSmoothing](open)
cClose = weightedaverage[PriceSmoothing](close)
pClose = cClose
trueRange = max(cHigh,cClose) - min(cLow,pClose)
rrange = cHigh-cLow
if rrange<>0 and trueRange<>0 then
vqi = ((cClose-pClose)/trueRange + (cClose-cOpen)/rrange)*0.5
vqi = vqi
vqi = abs(vqi)*(cClose-pClose+cClose-cOpen)*0.5
sumVqi = vqi
if Filter>0 then
if abs(sumVqi-sumVqi)<(Filter*ticksize) then
sumVqi = sumVqi
if sumVqi > 0 then
color = 1
color = -1
return sumVqi coloured by color
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