パブリッシュされたプロダクト
In order to detect "Big activity", new elements of the VWAP standard indicator were incorporated into this project.
In short, the plotted lines represent the moving average with EMA[VWAP]=VWAP[EMA].
Averages of the prices have been combined with volumetric weights and exponential decay.
Also, it was included the same weights to compute the standard deviation.
The parameter called as "strain" is a linear constant shifting the result (strain)xSD(VWAP).
So, a any set of bands can be plotted.