Hi guys, does anyone of you know if and possibly where this SMA would be availble for download for the Ninja Trader? This MA comes with eSignal, but seems not to be in NT. I cannot program at all, so no idea how to create this by myself ..
Thank you :-)!

This is not a moving average, just the typical price. All NinjaTrader indicators that allow for selecting the Input parameter can use the typical price instead of the close to calculate.

For daily bars the typical price is called floor pivot.

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What does the typical price mean? It is easier to explain this by starting with the floor pivot, which is simply the typical price of yesterday's session.

If you want to summarize the price action of the day, you can use the market profile and look where the maximum traded volume occurred. This peak is called the point of control (POC). You can then calculate a value band by using the standard deviation around this peak to represent the value area of the day.

Now this is pretty sophisticated and involves a lot of calculations. Furthermore for double distribution days, it could well be that the POC sits on the morning peak, although price action shifted away from this area during the afternoon. In this case the POC does not represent value for the day.

Calculating a POC involves computer power and is rather sophisticated. The typical price is a much simpler proxy for value. Start with the Median of the day, which is (High +Low)/2. Then look where the market closed and shift the value area to the close. If you calculate a weighted average (Median + Median + Close)/3 you get the Typical Price. It sits between the Median and the Close, although a bit closer to the Median than the Close.

The point is that - unlike the POC - the typical price is simple to calculate from yesterday's daily bar. The floor trader's, who did not have calculators, could easily write down this value prior to today's session. So during most of the trading days the floor pivot is tested - as it represents yesterday's value, and watching this test will tell you something about the price action.

Typical Price for Smoothing

For intraday price bars you can also use the typical price as a method of smoothing. If you calculate a moving average from the typical price, it will be smoother than an average from the close. The simple reason is that it uses 3 times as many data points as the moving average that is calculate from the close.

There are other techniques, that further smooth price. For example you can use moving averages and apply them on Heikin-Ashi bars. This gives you a superior smoothing compared to applying the moving average to Typical Price.

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