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

Register or


avatar avatar avatar
Related users ' posts
Jan Hi gkjefferys, the lines can be found somewhere at the top cq must be added somewhere at lin...
darbes I see. An alternative to take profit is to reduce on forex the TSL below 1% as forex vol is ...
J. Very interesting Jan, thank you for sharing. This could be a template for many 'machine lear...
TACBOLSA A new version is missing that solves some programming problems that I requested, As soon ...
Gianluca Realy. Thank you!
swedshare You got some potential here. A couple of things I think about: 1, The opening hours in this...
phoentzs Ich habe hier mit Spread 2 gerechnet, also etwa dem Mittelwert zwischen Tag und Nacht. Das G...
phoentzs Hab festgestellt, das US500 fast noch besser funktioniert als der Dax. Was aber auch daran l...
leofi https://www.prorealcode.com/topic/simple-average-with-visual-color/
leofi Go visit www.prorealcode.com/topic/simple-average-with-visual-color/ and watch 2em post
Dritan Hi,I am new on Prorealtime and coding.I downloaded the indi but I have it on a separate wind...
Maxime Baudin Very useful! Thanks Mat, and Happy New Year
efahmy Thanks Mate, Much appreciated.,
Alps007 Hi Nicolas. Happy New Year. Can you please program me several MACD divergence screeners ...
Arlei Zanin Hello Nicolas, would it be possible to convert the Cloud to Pascal language? Thank you.
jeanguy Quel travail ! Good job thank you !
JayD Dans "modifier" Il faut ajouter les variables en cliquant sur la clé dans le bar en haut. Vo...
Kris75 Merci Jeanguy, suis très preneur de vos stratégies profitables avec cet indicateur !!
Om Hello, thanks for sharing! Getting a message that Variable P is undefined?
Vonasi Sure that is possible. I will code it and make a post in the English ProBuilder forum and pu...
Vonasi Vama v2 with Hull moving average included can be found here: https://www.prorealcode.com/top...
JMat45 Thank you, Vonasi.
7 months ago
camporan You can use it 5M onwards, but the longer timeframe the more accurate it is. My preferred ar...
manchokcity can we have it in mql4 platform? or how or which platform do we use it?
camporan I don't use MetaTrader so I won't be able to do the translation myself. Sorry!
LucioleLucide Clean view, thanks for sharing
dertopen hi where i can found the window for candle configuration?
paolosab69 Ciao! . I have seen the pictures that explain this metod but i don't understand when is mome...
Alberto Aguilera Hi! Thanks for your strategy Anyone can check it with 200 bars?
10 months ago
Jan Wind Good evening Roberto, I do not understand Italian, so I could not read the background. ...
robertogozzi Results, while matching when it's SMA compared to TRSMA, are different in the case of WMA an...