Moving Avg - Open Interest Weighted

Moving Avg - Open Interest Weighted

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Moving Avg - Open Interest Weighted

Variable List Abbreviation: OpnIntWgtMvAvg

 

Variable Mode(s): Stock and Futures1

[ Note: appears in indicator list only after open interest selected ]

 

Parameter(s): OpnIntWgtMvAvg time periods

 

Description:

A weighted moving average of price over the last n (time periods) time periods in which the price of time periods with high open interest contributes more than the price of time periods with low open interest.

 

Calculation:

sum over n time periods of ( open interest * close )

   sum over n time periods of ( open interest )