Volume Weighted Moving Average (VWMA)

The Volume Weighted Moving Average adds weight to a standard moving average based on the amount of volume in a given period of time. The idea behind volume weighted moving average is that the price should be given more weight in times of heavy trading activity.

Volume weighted moving average is calculated as follows:

VWMA = [Sum for Length, from a specific bar of PV ()] / [Sum for Length, from a specific bar of V ()]

P(n) = Price at bar n

V(n) = Volume at bar n

PV(n) = P(n) x V(n)

For example, a 5-bar length of VWMA for the 10th bar is calculated as follows:

[PV(10) + PV(9) + PV (8) + PV(7) + PV(6)] / [V(10) + V(9) + V(8) + V(7) + V(6)]