Volume Weighted Median Oscillator

The Volume Weighted Median Oscillator tool provides a unique perspective on price action by measuring market movement relative to a volume-weighted median rather than a standard arithmetic mean. This approach anchors the oscillator to the price level where the majority of trading activity is concentrated, effectively filtering out noise from price spikes and identifying balanced market zones.

Usage

The indicator can be used to identify trend direction, momentum shifts, and overextended market conditions through its multi-layered visual output.

• Histogram Analysis: Watch for the histogram columns crossing the zero line to identify short-term shifts in momentum. Columns change transparency based on whether momentum is accelerating or retreating toward the zero line.
• Zero Line Crosses: The main oscillator line crossing the zero level indicates a broader change in directional bias relative to the volume-weighted center.
• Signal Line & Ribbon: Monitor the relationship between the oscillator line and its EMA signal line. A bullish ribbon flip (green) occurs when the oscillator crosses above the signal, while a bearish flip (red) occurs when it crosses below.
• Extreme Zones: Gradient fills appearing beyond the extreme levels signal that the price is significantly stretched. These overbought and oversold zones help identify potential exhaustion points.
• Volume Activity: The brightness of the zero line dynamically adjusts based on current volume. A brighter line indicates higher market participation, suggesting more conviction behind the current move.

Details

Unlike traditional oscillators that use Simple or Exponential Moving Averages, this script calculates a true Volume-Weighted Median by sorting price and volume arrays within the lookback window. The weighted median is the price level where 50% of the traded volume occurred above and 50% below.

The oscillator is further refined through:

• Normalization: Values are divided by a calculated price range base (EMA of High-Low) to ensure the oscillator remains comparable across different symbols and timeframes.
• Trend Deviation: The main line reflects the distance between the volume median and its longer-term EMA, providing a "smoothed" view of trend displacement.
• Smoothing: Optional WMA smoothing can be toggled to reduce jitter in volatile markets.

Settings

Main Settings

• Length: Sets the lookback period for the volume-weighted median calculation.
• Extreme Level: Defines the threshold for overbought and oversold gradient fills.
• Smooth Outputs: Toggles a 7-period WMA smoothing for the histogram and oscillator line.
• Ribbon: Enables or disables the dynamic gradient fill between the oscillator and signal line.
• Volume Normalization Length: Sets the lookback used to determine the relative brightness of the zero line.

Appearance

• Bullish Colour: Customizes the color for positive momentum, oversold zones, and bullish ribbon states.
• Bearish Colour: Customizes the color for negative momentum, overbought zones, and bearish ribbon states.

FAQ

How do I interpret the zero line brightness?

The zero line becomes brighter when the current volume is high relative to its recent average. This highlights periods of increased trading activity, which often precede or confirm significant price breakouts.

What is the advantage of a volume-weighted median over a volume-weighted average (VWAP)?

A median is less sensitive to extreme price outliers or "fat tails" in distribution. By focusing on the 50th percentile of volume, the indicator provides a more robust anchor for where the actual "value" is perceived by the majority of market participants.

How can I access Volume Weighted Median Oscillator?

You can get access on the LuxAlgo Library for charting platforms like TradingView, MetaTrader (MT4/MT5), and NinjaTrader for free.