Description: The Liquidity Weighted Moving Averages by AlgoAlpha is a unique approach to identifying underlying trends in the market by looking at candle bars with the highest level of liquidity. This script offers a modified version of the classical MA crossover indicator that aims to be less noisy by using liquidity to determine the true fair value of price and where it should place more emphasis on when calculating the average.
Rationale: It is common knowledge that liquidity makes it harder for market participants to move the price of assets, using this logic, we can determine the coincident liquidity of each bar by looking at the volume divided by the distance between the opening and closing price of that bar. If there is a higher volume but the opening and closing prices are near each other, this means that there was a high level of liquidity in that bar. We then use standard deviations to filter out high spikes of liquidity and record the closing prices on those bars. An average is then applied to these recorded prices only instead of taking the average of every single bar to avoid including outliers in the data processing.
Key features:
Customizable: Fast Length - the period of the fast-moving average Slow Length - the period of the slow-moving average Outlier Threshold Length - the period of the outlier processing algorithm to detect spikes in liquidity
Hello there, I literally can't get the indicator to show trends on my charts, It gets added to the chart, but doesn't show anything visually.
timelyfx
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@tr_skrydstrup, Yeah, I got the same problem. Is there a Solution for it?
AlgoAlpha
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@timelyfx, @tr_skrydstrup, you need to make sure that the chart you apply the indicator on has volume data, otherwise the indicator will not work. Hope this helps!
hello, I have found a great use for your indicator, but there is one problem) I need to use 5 such indicators at once to get the desired result. Is there a technical possibility of combining 5 into 1? will it work simultaneously on 5 timeframes from the same code?
AlgoAlpha
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@Timur_sh, Are you using the indicator on 5 different timeframes at once?
Timur_sh
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@AlgoAlpha, Yes that's right ! I changed the MA parameters and configured them for specific tasks. This is an excellent solution, but the inconvenience is that each time you need to turn 5 indicators on and off)) I would like to do this with one button))) is this possible within one indicator?