Median Volume Weighted Deviation

7. März

MVWD (Median Volume Weighted Deviation)
The Median Volume-Weighted Deviation is a technical trend following indicator that overlays dynamic bands on the price chart, centered around a Volume Weighted Average Price (VWAP). By incorporating volume-weighted standard deviation and its median, it identifies potential overbought and oversold conditions, generating buy and sell signals based on price interactions with the bands. The fill color between the bands visually reflects the current signal, enhancing market sentiment analysis.

How it Works

1. VWAP Calculation: Computes the Volume-Weighted Average Price over a specific lookback period (n), emphasizing price levels with higher volume.
   
2. Volume Weighted Standard Deviation: Measures price dispersion around the VWAP, weighted by volume, over the same period.
   
3. Median Standard Deviation: Applies a median filter over (m) periods to smooth the stand deviation, reducing noise in volatility estimates.
   
4. Bands: Constructs upper and lower bands by adding and subtracting a multiplier (k) times the median standard deviation from the VWAP
   

Signals:
* Buy Signal: Triggers when the closing price crosses above the upper band.
* Sell Signal: Triggers when the closing price crosses below the lower band.

Inputs

• Lookback (n): Number of periods for the VWAP and standard deviation calculations. Default is set to 14.
  

• Median Standard Deviation (m): Periods for the median standard deviation. Default is set to 2.
  

• Standard Deviation Multiplier (k): Multiplier to adjust band width. Default is set to 1.7 with a step of 0.1.
  

Customization

• Increase the Lookback (n) for a smoother VWAP and broader perspective, or decrease the value for higher sensitivity.
  

• Adjust Median Standard Deviation (m) to control the smoothness of the standard deviation filter.
  

• Modify the multiplier (k) to widen or narrow the bands based on the market volatility preferences.
  

7. März

Versionshinweise

Update:

• Corrected the bar plot portion of the script
  

• Included a background boolean function to turn on/off background colors. Default is set to off.