Weighted Volume ROC Oscillator

The Weighted Volume ROC Oscillator is an advanced trend following oscillator that uses Volume Weighted ROC to determine trend direction, trend strength & potential reversal points.

Benefits:
- High ETHUSD performance
- High speed
- Low noise
- Plotting that eases interpretation and shows potential reversal points

The Idea
The idea is to get a high speed oscillator that can follow trends smoothly, but also quickly. A great fit for this seemed to be the ROC, but alone it was not that good. So, I added a WMA source smoothing, to make the ROC oscillator operate on a smoother source. To add responsivness, I made it weighted towards volume, weighting higher volume trades more against lower volume trades.

How it works

1. Calculate Double-WMA smoothed source

First uses a WMA of √length on the source, to filter excess noise and keep it responsive.
Then adds another WMA on top of this WMA with the same length, smoothing the source even more.

2. Calculate Volume Weighted ROC

Simple =>
Volume Weighted ROC = (WMA source - WMA source[1 bar ago])*Volume

3. Average it out

WVRO = Volume Weighted ROC/∑Volume

This provides users with high speed & low noise indicator, that can help users catch trends and profit during trending environments.

Enjoy Gs!