Larry Williams' Variable Accumulation Distribution (WVAD) Indicator - MetaTrader 5용 지표

Albeit forex with major pairs does not have volume information, one of the most used indicators where this information is available is Williams' Variable Accumulation Distribution, or WVAD for short.

It's basic mathematical definition is:

While signal of (close-open) represents direction (positive for uptrend, negative for downtrend), it quantifies the amount of volume needed to actually change the price, driving it.

It was dropped in late 1970's due to the difficulty in implementing it.

The indicator reverts to the ratio of open-close to high-low, if volume information is not available. In the code was also included a Ask>Bid, because it becomes more reliable for other instruments where placing limit orders in pre-market is possible and, sometimes, results in Ask being larger than Bid (WDO/DOL FUTURES, at Brazilian BMF Bovespa, for instance).

In this version, it calculates for current bar at current time-frame.

Basic code formula is:

((close[i] - open[i])/(high[i] - low[i]))*(volume[i])