Volume-weighted Moving Average (VWMA)

VMWA is a Moving Average indicator which includes data from Volume in its calculation. This indicator places more importance on the closing prices which had a higher volume.

Trading application It is possible to interpret VWMA in a similar manner to other Moving Averages. Its main use, however, arises when it is used in conjunction with a SMA. A WMVA moving below an SMA indicates bearish conditions, while a WMVA moving above an SMA indicates bullish conditions. Seeing a WMVA moving between the price chart and the SMA indicates there will be a trending market. Both lines growing closer together might also suggest an exit point.

Calculation

$$VWMA (3) = [(P(1)*V(1)+ P(2)*V(2) + P(3)*V(3)] / [(V(1)+ V(2)+ V(3))]$$

P(n): Closing price from n period V(n) = Volume from n period

The above calculation was limited to the 3 most recent periods as a matter of simplicity

Parameters

Input Parameters

Name	Type	Range of value	Description
period	int	<1, int.MaxValue>	Number of bars used in the calculation.
barValue	BarValueType

Output Parameters

Indicator ouptuts a single value.

Type	Range of value
double	(0, double.MaxValue)

Examples

// Prints the current value of a 20 period VWMA using
// the daily bars close price value.
vwma = indicators.VWMA(20, BarValueType.Volume).OnSeries(dailyBars);
Log("The current VWMA value is " + vwma.Value.ToString());

// Prints the previous value of VWMA.
vwma = indicators.VWMA(20, BarValueType.Volume).Keep(2).OnSeries(dailyBars);
Log("The previous VWMA value is " + vwma.Values[1].ToString());

Complete example

using Signals.DataSeries.Bars;
using Signals.Framework;
using Signals.Indicators.VWMA;

public class MyStrategy : SingleMarketStrategy
{
    private Bars dailyBars;
    private VWMA vwma;

    public override void Setup(DataMarketplace data, IndicatorsMarketplace indicators)
    {
        dailyBars = data.Bars(BarPeriodType.Day, 1).WithOffset(25);
        vwma = indicators.VWMA(20, BarValueType.Volume).Keep(2).OnSeries(dailyBars);
    }

    public override void RegisterActions()
    {
        OnUpdateOf(dailyBars).Do(() =>
        {   
            // Prints the current VWMA value
            Log("The current VWMA value is " + vwma.Value.ToString());

            // Prints the previour VWMA value
            Log("The previous VWMA value is " + vwma.Values[1].ToString());
        });
    }
}