Filters.TypicalPriceOverPeriod Method

Evaluates the Typical Price of an asset over a number of trading periods.

public double[] TypicalPriceOverPeriod(
   double[] highs,
   double[] lows,
   double[] closing
);

Parameters

highs: A double array where a first term contains the value of the highest traded price during the last trading period considered, the second terms contains the highest traded price in the previous trading periods and on so.
lows: A double array where a first term contains the value of the lowest traded price during the last trading period considered, the second terms contains the lowest traded price in the previous trading periods and on so.
closing: A double array where a first term contains the value of the closing price during the last trading period considered, the second terms contains the closing price in the previous trading periods and on so.

Return Value

A double array where the first term is the typical price for the last trading period, the second term is the previous periods typical price and so on.

Remarks

Note that the Typical Price for each of the trading periods considered is just the arithmetic average of the high, low and closing price of the asset over that period. Generally speaking the period considered will be a single trading period, however the typical price is equally applicable to other time spans and hence the time periods considered could be (for example) months or years.

Applications

The Typical Price is often used in place of the closing price in the development of trading systems in which either another intra-period system is used from the intra-period timing of trades, or when the trading party is given discretion on intra-period trading decisions.

Exceptions