Time-Weighted Moving Average Indicator For NinjaTrader 8

The Time-Weighted Moving Average (TWMA) is an advanced technical indicator tailored for traders who discern patterns not just based upon price action but also time of day. Differing from the traditional moving average, the TWMA assigns varying weights to price points depending on the time they occur, thereby enhancing the influence of data points within specific, strategic periods deemed more significant by the trader.

TWMA = (Σ(Pt * Wt) / ΣWt)

Where:

Pt is the price at time t.

Wt – weight assigned to time t.

N – number of periods used in the calculation.

The weight Wt can be defined, for example, as a function of the time of day.

Say we want to assign a higher weight to prices that occurred between 09:00 and 11:00 hours