A Volume-Weighted Price Deviation Oscillator with Adaptive Signals

Summary

This indicator turns recent price and volume observations into an oscillator. In its default mean-reversion mode, it calculates a volume-weighted average price and the volume-weighted absolute deviation around that average, then scales current price’s distance from it. An alternative mode normalizes smoothed volume against its recent low and high. The result is smoothed, compared with an adaptive average midline, and paired with fast and slow signal lines whose crossovers can indicate shifts in direction.

The indicator also draws upper and lower zones based on the oscillator’s recent standard deviation, with gradients intended to show how far readings extend from the midline. Users can change the lookback, profile refresh interval, sensitivity, smoothing, and zone width. The document supplies source and a conceptual description, but no tested entry rules, market examples, or performance statistics. Despite its name, the implementation calculates a weighted mean and deviation rather than a price-binned volume profile; its visual signals should therefore be treated as exploratory rather than validated trading evidence.

Key ideas

• The default oscillator measures price’s distance from a recent volume-weighted mean, scaled by weighted absolute deviation.
• An optional mode instead places smoothed volume within its recent range.
• An adaptive midline, standard-deviation zones, and fast and slow averages provide context for readings and crossovers.
• The profile arrays refresh periodically, so the displayed statistics can remain fixed between recalculations.
• No trading performance evidence is provided, and the calculation is not a price-binned volume profile.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.