Volume Weighted Moving Average (VWMA)

Volume Weighted Moving Average (VWMA)

I know the Volume Weighted Moving Average indicator is available in PRT as an indicator but the code is not available for strategy building so I created the code.

Formula: 3-Day VWMA = (C1*V1 + C2*V2 + C3*V3) / (V1+ V2+ V3)

Where C is close and V is volume

Basic strategy as from “https://www.tradingsetupsreview.com/volume-weighted-moving-average-vwma/

To fully make use of the Volume Weighted Moving Average (VWMA), compare it with a SMA that does not include volume.

The SMA is a benchmark. This means that you should choose the same look-back period for both the SMA and the VWMA.  The only difference between the two moving averages is volume weighting.

What matters here is the gap between the VWMA and the SMA. Their difference shows the effect of volume weighting.

Generally, volume should increase along with the trend and decrease against it. Hence, generally, if the VWMA is above the SMA, it means that volume has been higher on up days. When the VWMA is below the SMA, it shows that down days had higher volume.

The Volume Weighted Moving Average has the ability to help discover emerging trends, identify existing ones and signal the end of a move.

What it does is to incorporate not only the last x periods of price into its calculation but also the average volume during those x periods. That means when the volume is stronger, the VWMA will follow price more closely, and when volume falls off, it will mimic a simple moving average. The VWMA does not make a difference between buying and selling volume, only the strength of volume itself, so it will simply get closer to the close of the day when volume increased on that day, no matter whether it is a bearish or a bullish close.

Important is – if the VWMA is above the SMA, we are moving in an uptrend, and when it is below, we do have bearish implications. Or even simpler, as long as the VWMA is between price and the SMA, we are trending in that direction.

Share this

Risk disclosure:

No information on this site is investment advice or a solicitation to buy or sell any financial instrument. Past performance is not indicative of future results. Trading may expose you to risk of loss greater than your deposits and is only suitable for experienced investors who have sufficient financial means to bear such risk.

ProRealTime ITF files and other attachments : How to import ITF files into ProRealTime platform?

New! PRC is also now on YouTube, subscribe to our channel for exclusive content and tutorials

avatar
Register or

Likes

avatar avatar avatar avatar avatar avatar avatar avatar avatar
Related users ' posts
Emperor.it "style(line,2)" C'è una guida ai parametri che si possono modificare ? Tipo stile della lin...
IV Mcm https://www.prorealcode.com/programming-with-prorealtime/
Rocketship Getting syntax error.
IV Mcm For ProRealTime version 10.3, please delete on lines 79 and 82 the instruction "" bordercolo...
Daniele Maddaluno If you need to use it in PRT v11 take a look at this topic: https://www.prorealcode.com/top...
Monobrow Hi Daniele Thank you for the indicator, it looks very good. However, I have a problem so...
samsampop Thanks very much for sharing, look forward to testing this idea out.
Barrabas15 Apparently, according to the attached data, there is an error in the indicator code. Attach...
Barrabas15 The files are at the end of the following link: https://www.prorealcode.com/topic/time-seg...
robertogozzi Thank you Barrabas15, the correct code is at https://www.prorealcode.com/topic/time-segmente...
fazel53 How do i attach this indicator to my mt5 platform?
Nicolas You can't! All indicators here are for ProRealTime trading platform: https://www.prorealtime...
RicLg Merci Nicolas pour le retour. En effet on récupère "the Last value" du dernier Point de t...
Nicolas c'est exactement ce que je fais entre les lignes 58 et 64 pour pouvoir tracer la ligne complète
Italo Fabian Nicolas, Ces matrices sont-elles des vecteurs unidimensionnels ou multidimensionnels? Depu...
Nicolas esta possible
bolsatonimora2 Hola Nicolas, perdona la molestia, pero podrias codificar el screener para rupturas de sopor...
Nicolas Utilice los foros para solicitar una codificaciĂłn personalizada.
clody Good morning Rene'. Thanks a lot d=for the 3 screener you made regarding Breack Out (very us...
Newbie999 I want to use this code but limit my scan to stocks priced to a maximum of 10c. Any ideas? t...
Nicolas mycondition = close <= 0.10
jaginho Bonjour Vivien, je n'arrive pas Ă  comprendre ce screener... En tout cas merci pour tes contr...
samsampop Superb, merci!
Vonasi There are actually two ways to calculate standard deviations and I seem to have used the ver...
larouedegann
12 months ago
VWMA-SMA Map
v10.3
VWMA-SMA Map
0
Indicators
segie Can something similar be done with Supertrends?
Vonasi Not sure I fully understand what you are asking for. Are you asking for MTF Supertrend level...
Kris75 very interesting; thanks !
Rory Dryden Thank you. Experimenting with it now.
Filoutube Found the needed correction, just send the 2 Defparam lines at the very begining of the code...
ChasingProfits I have now played around with this strategy for a while and my gut feeling is that it suffer...
tibo002 Bonjour Filoutube, je suis également bloqué comme vous mais votre dernier lien de photo avec...

Top