Larry Williams Commercial Proxy Index


Hello dear master coders, @mrtools @kvak. This is Larry Williams Proxy Index. it uses a Simple Moving Average mode in its calculation to simuluate the COT. If one of you guys have time could you give us the option to choose that average mode please? I think that would greatly help the very idea of this indicator. Also a reverse option for the oscillator would be likeable indeed. Appreciations in advance.

What is Larry Williams' Commercial Proxy Index?

The Commercial Proxy Index is one of the most important indicators that Larry Williams refers to for his trading. This Oscillator is based on the work he did on the COT (Commitment of Traders) data and simulates the COT to display what the the "big traders" are doing.

How is it calculated?

The Commercial Proxy Index measures the average Open-Close direction of price bars, adjusted for volatility to act as a proxy (representation) for sentiment/trend strength.

• The indicator will compute the price bar (candlestick) body "direction"
• It then Smooths the Raw values
• An SMA (Simple Moving Average) is applied to the Raw values
• It then calculate's Volatility via the ATR (Average True Range)
• And lastly, it will normalize and scale the result

The smoothed directional bias is normalized by volatility and centered around the 50 line.

ixion700 wrote: Tue Feb 20, 2024 6:28 pm Hello dear master coders, @mrtools @kvak. This is Larry Williams Proxy Index. it uses sma mode in its calculation. If one of you guys have time could you give us the option to choose that average mode please? I think that would greatly help the very idea of this indicator. Also a reverse option for the oscillator would be likeable indeed. Appreciations in advance.

Also please add on/off button. Thanks

ixion700 wrote: Tue Feb 20, 2024 6:28 pm Also a reverse option for the oscillator....

Yes, please

ixion700 wrote: Tue Feb 20, 2024 6:28 pm Hello dear master coders, @mrtools @kvak. This is Larry Williams Proxy Index. it uses sma mode in its calculation. If one of you guys have time could you give us the option to choose that average mode please? I think that would greatly help the very idea of this indicator. Also a reverse option for the oscillator would be likeable indeed. Appreciations in advance.

Did 2 versions and need help to verify if the inverted version is close enough to the original version, the version with the dash is inverted and am thinking if you all think it is close enough in agreement can go ahead with the inverted version and do the modifications on it.

mrtools wrote: Wed Feb 21, 2024 5:15 am Did 2 versions and need help to verify if the inverted version is close enough to the original version, the version with the dash is inverted and am thinking if you all think it is close enough in agreement can go ahead with the inverted version and do the modifications on it.

That's correct. The version with dash is inverted

mrtools wrote: Wed Feb 21, 2024 5:15 am Did 2 versions and need help to verify if the inverted version is close enough to the original version, the version with the dash is inverted and am thinking if you all think it is close enough in agreement can go ahead with the inverted version and do the modifications on it.

They look close enough with sma, smma and lwma but with ema and tema there are some small differences that may become an issue with new other averages. Since the reverse isn't the first priority for me, I'd say lets stick to the original version. Btw mrtools, there is another issue that every user of LWPI faces and that's about the mid line. 50 is not the exact mid, actually the mid line is sum of high and low of the oscillator divided by 2, changing every candle and most of the time it moves between 44-49. Is it possible to calculate the mid every time a candle closes and repaint the new mid? That would make a dynamic mid line which i have never seen in any indicator! Eager to know your opinion.

ixion700 wrote: Wed Feb 21, 2024 6:03 am They look close enough with sma, smma and lwma but with ema and tema there are some small differences that may become an issue with new other averages. Since the reverse isn't the first priority for me, I'd say lets stick to the original version. Btw mrtools, there is another issue that every user of LWPI faces and that's about the mid line. 50 is not the exact mid, actually the mid line is sum of high and low of the oscillator divided by 2, changing every candle and most of the time it moves between 44-49. Is it possible to calculate the mid every time a candle closes and repaint the new mid? That would make a dynamic mid line which i have never seen in any indicator! Eager to know your opinion.

Looks like Kvak has an inverted version already, maybe let's try his first, when it's ready.

ixion700 wrote: Wed Feb 21, 2024 6:03 am They look close enough with sma, smma and lwma but with ema and tema there are some small differences that may become an issue with new other averages. Since the reverse isn't the first priority for me, I'd say lets stick to the original version. Btw mrtools, there is another issue that every user of LWPI faces and that's about the mid line. 50 is not the exact mid, actually the mid line is sum of high and low of the oscillator divided by 2, changing every candle and most of the time it moves between 44-49. Is it possible to calculate the mid every time a candle closes and repaint the new mid? That would make a dynamic mid line which i have never seen in any indicator! Eager to know your opinion.

I am not sure if I understand this indicator how tu use correctly and maybe some menu are not useful, but here is version for test.
With inverted option and option use 50 level or floating zero level.
Also this indicator have possibly smoothing calculation ( open/close price)

This is Larry Williams Commerical Proxy Index (cpi) inverted and kind of normalized. For now has 5 moving averages to choose from in calculation plus smoothing and added some deviation type bands, where the cpi is colored on the cpi and band midline cross. Also added a zero-cross filter for filtering of entries.

mrtools wrote: Wed Feb 21, 2024 11:32 am This is Larry Williams Commerical Proxy Index(cpi) inverted and kind of normalized. For now has 5 moving averages to choose from in calculation plus smoothing and added some deviation type bands, where the cpi is colored on the cpi and band midline cross. Also added a zero-cross filter for filtering of entries.

Mrtools man can't wait to use this it looks like a good indicator already