Tick Volume Indicator v2
History and formula:
The Tick Volume Indicator was invented by William Blau and has been published in his book “Momentum, Direction and Divergence” (1995, page 43).
The indicator starts with separating the upticks and downticks in each price bar. The resulting arrays are smoothed with DEMA (two-pass EMA with periods r and s subsequently). The raw TVI is calculated with the following formula:
TVI_Raw = 100 * ———————————
… and the final TVI shape is made by additional EMA smoothing with a period of u.
Besides using TVI for divergence, I have found the change of TVI slope to be a very useful and precise proxy for change in price direction, especially in periods of high volatility in short timeframes.
Other MQL4 versions:
The indicator was implemented in MQL4 by