Volume-Weighted Student-t Bands and a Price Tension Oscillator

Summary

This indicator builds an adaptive price center and dispersion bands using exponentially weighted estimates. Trading volume controls the update weight by default, so observations with more volume have greater influence; users can instead weight by true range, a choice the author suggests for instruments with unreliable or unavailable volume. An optional higher-timeframe weighting mode is also provided, with settings intended for use on a lower chart timeframe.

Dispersion combines standard deviation and a robust estimate based on mean absolute deviation. The script estimates Student-t degrees of freedom from kurtosis, bounds that estimate, and scales the bands accordingly. It derives upper and lower bands from high, low, and a weighted typical price, then normalizes close, high, and low into an oscillator around the center. Adjustable band multipliers and oscillator zones control the display. This is an indicator construction, not a tested entry or exit strategy; the document provides no performance evidence. Its estimates depend on the weighting scheme, distribution assumptions, and chart resolution.

Key ideas

• The adaptive center and dispersion estimates update exponentially, with volume or true range setting the observation weight.
• Standard deviation and a mean-absolute-deviation estimate are combined to represent dispersion.
• Kurtosis informs a bounded Student-t degrees-of-freedom estimate used to scale the bands.
• Upper and lower bands are paired with a normalized oscillator around the estimated center.
• The indicator presents analytical context but supplies no backtest or evidence of predictive performance.

Tags

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