Outlier Detecting Cumulative Moving Average (ODCMA)

2022년 11월 26일

This is a simple moving average with a rolling length that resets whenever there is an outlier in the data. I have also included volume weighting.

The length represents the lookback period for the outlier detection and the "Outlier Detection" is the deviation level to trigger the detection. You can select from: price detection, volume detection, price or volume detection, price and volume detection.

I hope you can find this script useful. Its like a session weighted moving average but instead it retriggers the cumulative sum whenever there is an outlier.

2022년 11월 28일

릴리즈 노트

I added true range outlier detection as option

2022년 11월 28일

릴리즈 노트

Fix to volume score

2022년 11월 29일

릴리즈 노트

added pivot points and smoothing