Trade Tool VDWMA + OI RSI Based

2023년 9월 1일

This indicator works only for symbols where open interest data is available.

The idea was to create a combination of Volume Delta, Open Interest, RSI, Moving Average and Support / Resistance as a unified tool.

I created a Weighted Moving Average based on the Volume Delta (VDWMA). The idea behind this was to reflect the moving average on the difference between buy and sell volume.

There are two VDWMA to determine a trend. Fast and Slow. The principle is the same as with conventional moving averages. For visualization, the candles are colored based on the following logic:

up trend = Fast VDWMA is above the Slow VDWMA and the price is above the Fast VWDWMA.
down Trend = Fast VDWMA is below the Slow VDWMA and the Short is below the Fast VDWMA

Further, support and resistance zones were defined based on the close and high prices as well as close and low prices.

A simple logic looks for divergences between RSI and price to generate first signals for possible price reversals.

Another RSI was created based on the open interest.
In combination with the conventional RSI, oversold and overbought zones were defined based on the following logic, which are marked by vertical zones on the chart.

Oversold zone = RSI is below 30 and OI RSI is above 70 or below 30 and OI opening is not greater than OI closing price
Overbought zone = RSI is above 70 and OI RSI is above 70 or below 30 and OI opening is not smaller than OI closing price

Based on this, buy and sell signals were defined.

First, the support or resistance zone must remain the same for two candles, which signals that the zone has not been breached. In addition, a divergence must occur in the RSI and the price must bounce.

newsell = resistance[1] == resistance and high >= resistance and close < resistance and bearishDiv
newbull = support[1] == support and low <= support and close > support and bullishDiv

The OI signaling was deliberately not included as well as the trend function. The tool should be suitable for scalping as well as for swinging. Thus, depending on the tradestyle itself to decide which points you want to trade.

Have fun with it