On Balance True Range and Kalman Filter

23 thg 11, 2017

This is a modification of On Balance True Range where the plot is made on the chart based on VWAP. Getting the previous day values of this logic is useful in determining the major pivot points during the day. The intra day VWAP is also plotted to know if the price is being traded above or below the average price.

The script also has a Kalman Filter based moving average that acts as a short term moving average.