Volume-Weighted Price Spread Deviation Signal

Summary

This indicator adapts volume spread analysis by multiplying price levels by volume, then tracking the midpoint of the resulting high and low range. It compares a rolling average of the volume-adjusted highs with a threshold formed by adding a multiple of their rolling standard deviation. The document gives default settings of 200 periods and a deviation factor of 1.5, and presents the output as a signal for unusually high volume-related activity.

The concept may help traders identify periods when volume-adjusted price ranges are elevated relative to recent history. However, the document provides no market, timeframe, or performance evaluation, and it does not define an entry or exit strategy. The formula’s signal line uses the average and standard deviation of the adjusted highs, while the plotted midpoint comes from adjusted highs and lows; those construction choices should be considered when interpreting the indicator.

Key ideas

• The indicator multiplies price levels by volume to form a volume-adjusted range.
• It plots the midpoint of the adjusted high and low values.
• A rolling average plus a standard-deviation multiple serves as the signal threshold.
• The stated defaults are 200 periods and a deviation factor of 1.5.
• The document offers no backtest or trading rules for acting on the signal.

Tags

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