TypicalPrice — Typical Price

The one-number summary of a bar: the mean of high, low and close. CCI, MFI and rolling VWAP are all defined on it; having it as a named indicator lets a strategy read or smooth it directly.

Signature

TypicalPrice(period, on=<source>)

Argument	Type	Required	Notes
period	int Param or literal	Yes	Simple-average smoothing window. 1 (the default) returns the raw transform. Bounds 1–200.
on=	symbol	No	Source symbol. Defaults to the trade symbol. Reads high, low and close.

Formula

$$ \text{TP}_t = \frac{H_t + L_t + C_t}{3} $$

With period > 1, the value is the simple average of the last period typical prices.

Warmup

period bars. During the lead-in the value is the average of the bars seen so far (with period=1 there is no lead-in).

Reading the value

tp.value
tp.value_at(1)
tp > sma.value

Example

class TypicalCross(Strategy):
    """Fade a close that stretches away from the smoothed typical price."""
    smooth = Param(20, min=1, max=200)
    trade = Symbol()
    sizing = FixedCapital()

    def execute(self):
        tp = TypicalPrice(self.smooth, on=self.trade)
        if self.trade.close < tp.value * 0.97 and self.trade.is_flat:
            self.buy(self.trade, reason=f"3% under typical {tp.value:.2f}")
        if self.trade.close > tp.value and self.trade.is_long:
            self.sell(self.trade, self.trade.position, reason="Back at typical")

Variants

TypicalPrice(1)     # the raw (H+L+C)/3 series
TypicalPrice(20)    # a smoothed centreline

Notes

• Standard price transform; the definition every platform agrees on.
• Proven by an assert-via-trade run on SPY daily (raw value and 3-bar smoothing both matched a strategy-side reference on every bar; zero alarm trades).
• MedianPrice drops the close; WeightedClose doubles it; AveragePrice adds the open.