Outlier Detecting Cumulative Moving Average (ODCMA)

26 thg 11, 2022

This is a simple moving average with a rolling length that resets whenever there is an outlier in the data. I have also included volume weighting.

The length represents the lookback period for the outlier detection and the "Outlier Detection" is the deviation level to trigger the detection. You can select from: price detection, volume detection, price or volume detection, price and volume detection.

I hope you can find this script useful. Its like a session weighted moving average but instead it retriggers the cumulative sum whenever there is an outlier.

28 thg 11, 2022

Phát hành các Ghi chú

I added true range outlier detection as option

28 thg 11, 2022

Phát hành các Ghi chú

Fix to volume score

29 thg 11, 2022

Phát hành các Ghi chú

added pivot points and smoothing