Ratio OCHL Averager - An Alternative to VWAP

2019年5月24日

Introduction

I had the idea to make this indicator thanks to dpanday with the support of coppermine and @Reika. Vwap is a non parametric indicator based on volume used by lot of traders and institutions, its non parametric particularity makes it great because it don't need to go through parameter optimization. Today i present a similar indicator called Ratio OCHL Averager based on exponential averaging by using the ratio of open-close to high-low range by using monthly high/low.

The Indicator

The indicator can more recursive by checking the "recursive" option, this allow to use the indicator output instead of the open price for the calculation of the ratio of open-close to high-low range. The result is a more reactive estimation,



The indicator reactivity change based on the time frame you are in, using higher time frame result in a more reactive indicator, however it is way less reactive than the vwap, this is a personal choice since i wanted this indicator to be smooth even with high time frames, if you want to change that you use another resolution for H and L in line 5,6.

Conclusion

I presented an alternative to vwap based on the Ratio OCHL indicator. I hope you like it and thanks for reading !

Thanks to Coppermine and Reika for the support during the creation of the indicator