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Range Weighted Moving Average (amaRWMA)
Version 1.0 March 12, 2017
The
Range Weighted Moving Average (RWMA)
is weighted moving average which uses the square of the range of the bar as weighting factor. The exact formula for the weighting factor has the bar range replaced with the number of tick levels covered by the bar.
Volatility is driven by volume and is approximately proportional to the square root of volume. Therefore it is possible to use the squared range as a proxy for volume. This is interesting when genuine volume figures are not available. This would be the case
- for FOREX data that comes without historical backfill for volume
- for instruments that are driven by other markets outside of the regular session
In these cases the VWMA may be distorted, whereas the RWMA will still return proper results.
Category
NinjaTrader 8 Indicators and More
Details:
Range Weighted Moving Average (amaRWMA)
Category:
NinjaTrader 8 Indicators and More
October 20th, 2017
Size: 2.68 KB
Downloaded: 571 times
Keywords:
average
moving
range
rwma
volatility
vwma
weighting
1912
Fat Tails
View Download Details
November 20th, 2019 06:49 PM
romus
Great!
May 3rd, 2018 05:25 PM
tehuff
I prefer using this over other "volume" strategies.
October 25th, 2017 10:04 AM
Buscador
Great indicator to add to the Indicator Hall of Fame.
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