WeightedClose — Weighted Close

A one-number bar summary that leans toward the close: the close counts twice, the high and low once each. Sits between TypicalPrice (close counted once) and the raw close.

Signature

WeightedClose(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

$$ \text{WC}_t = \frac{H_t + L_t + 2C_t}{4} $$

With period > 1, the simple average of the last period weighted closes.

Warmup

period bars; the lead-in returns the average of the bars seen so far.

Reading the value

wc.value
wc.value_at(1)
wc > level

Example

class WeightedPullback(Strategy):
    """Buy a dip below the smoothed weighted close in an uptrend."""
    smooth = Param(20, min=1, max=200)
    trend = Param(100, min=10, max=400)
    trade = Symbol()
    sizing = FixedCapital()

    def execute(self):
        wc = WeightedClose(self.smooth, on=self.trade)
        slow = SMA(self.trend, on=self.trade)
        if self.trade.close > slow.value and self.trade.close < wc.value and self.trade.is_flat:
            self.buy(self.trade, reason="Dip below weighted close in uptrend")
        if self.trade.close < slow.value and self.trade.is_long:
            self.sell(self.trade, self.trade.position, reason="Trend gone")

Notes

• Standard price transform (TA-Lib WCLPRICE).
• Proven by an assert-via-trade run on SPY daily (matched (H+L+2C)/4 on every bar; zero alarm trades).
• Prefer it over TypicalPrice when the close’s position in the range matters more than the range itself.