The indicator represents a moving average that resets its calculation period, as soon as the current standard deviation exceeds the previous one twice or more when the bar is closing.
It is useful for detecting the trade direction.
There are three adjustable parameters:
- Period - calculation period
- Barrier - if this barrier is exceeded, the period calculation is reset to the minimum
- Applied price - calculation price
VolMA = SMA(Price, Length)
where:
Price = Applied price
PrevPrice = previous Applied price
If Abs(sDevNow) > Barrier
Length = 1
otherwise
Length = PrevLength+1
sDevNow = RAW / Price * sDev
sDev = SQRT(VAR / Period)
VAR = POW(RAW[Period] + RawAVG
RAW = (Price - PrevPrice) / Price
RawAVG = SMA(RAW, Period)