Volume Weighted Moving Average

Viewing 3 posts - 1 through 3 (of 3 total)
  • Author
    Posts
  • 09/03/2017 at 11:44 AM #45280 quote
    deletedaccount14122020
    Participant
    New

    I have been trying to establish if it would be possible to programme the VWMA (Volume Weighted Moving Average) in ProRealTime. My view is that the volume data is not available so I’m thinking it’s not possible however if anybody thinks differently I would be very interested to hear from them.

    The VWMA calculation is as follows:

    There are five steps involved in the VWAP calculation. First, compute the typical price for the intraday period. This is the average of the high, low and close {(H+L+C)/3)}. Second, multiply the typical price by the period’s volume. Third, create a running total of these values. This is also known as a cumulative total. Fourth, create a running total of volume (cumulative volume). Fifth, divide the running total of price-volume by the running total of volume.

    Cumulative(Volume x Typical Price)/Cumulative(Volume)
    09/06/2017 at 1:03 PM #45616 quote
    Nicolas
    Keymaster
    Master

    The VWAP indicator is already included into the platform. However, this embedded indicator cannot be used in screener or automated strategy, that’s why you can also find codes about VWAP in the library:

    https://www.prorealcode.com/prorealtime-indicators/vwap-bands/

    https://www.prorealcode.com/prorealtime-indicators/vwap-intraday/

    09/06/2017 at 6:33 PM #45652 quote
    deletedaccount14122020
    Participant
    New

    Thanks very much Nicolas, not sure how I missed that and the library information is excellent

  • Author
    Posts
Viewing 3 posts - 1 through 3 (of 3 total)
  • You must be logged in to reply to this topic.

Volume Weighted Moving Average


ProBuilder: Indicators & Custom Tools

New Reply
Author
author-avatar
deletedaccount14122020 @deletedaccount14122020 Participant
Summary

This topic contains 2 replies,
has 2 voices, and was last updated by deletedaccount14122020
8 years, 5 months ago.

Topic Details
Forum: ProBuilder: Indicators & Custom Tools
Language: English
Started: 09/03/2017
Status: Active
Attachments: 1 files
Logo Logo
Loading...
Do you like cookies? 🍪 We use cookies to ensure you get the best experience on our website. (Learn more)
©2026 ProRealCode - Trading & Coding with ProRealTime™