Volume Weighted Moving Average

deletedaccount14122020 · 2017-09-03T10:44:17+00:00

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)

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09/03/2017 at 11:44 AM #45280 quote
deletedaccount14122020
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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)
```
Screen-Shot-2017-09-03-at-12.43.36.png
09/06/2017 at 1:03 PM #45616 quote

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