Outlier Detecting Cumulative Moving Average (ODCMA)

26 Kas 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 Kas 2022

Sürüm Notları

I added true range outlier detection as option

28 Kas 2022

Sürüm Notları

Fix to volume score

29 Kas 2022

Sürüm Notları

added pivot points and smoothing