Hi Robert,

Thanks for the reply. But it looks different than the original one.

Here are the codes from ThinkOrSwim (see the attached chart):

input length = 30;
input emaLength = 3;
input averageLength = 30;
input factor = 0.1;
input criticalValue = 10;
input averageType = AverageType.EXPONENTIAL;

def atr = WildersAverage(TrueRange(high, close, low), length);
def diff = hlc3 – hlc3[1];
def vp = Sum(if diff > factor * atr then volume else 0, length);
def vn = Sum(if diff < -factor * atr then volume else 0, length);

plot VPN = ExpAverage(100 * (vp – vn) / Sum(volume, length), emaLength);
plot VPNAvg = MovingAverage(averageType, VPN, averageLength);
plot CriticalLevel = criticalValue;

And here are my ProRealTime code:

length = 30
emaLength = 3
averageLength = 30
factor = 0.1
criticalValue = 10

src  = customclose
//src = close

MyTR = max(Range,max(abs(high - src[1]),abs(low - src[1])))
IF BarIndex < length THEN
MyATR = MyTR
ELSE
MyATR = ((MyATR[1] * (length - 1)) + MyTR) / length
ENDIF

atr = WilderAverage[length](MyATR)

diff =src - src[1]
at2 = factor * atr

vp=0
for i=1 to length
if diff > factor * atr then
vp = vp + volume[i]
endif
next

vn=0
for i=1 to length
if diff < -1 * (factor * atr) then
vn = vn + volume[i]
endif
next

vpn = ExponentialAverage[emaLength](100*(vp - vn)/summation[length](volume))

RETURN vpn as "VPN", criticalValue as "Thredshold"

VPN.png