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Volume Weighted Moving Average (VWMA)

Volume Weighted Moving Average is the volume adjusted average price over a lookback window. [Discuss] 💬

// C# usage syntax
IEnumerable<VwmaResult> results =
  quotes.GetVwma(lookbackPeriods);

Parameters

lookbackPeriods int - Number of periods (N) in the moving average. Must be greater than 0.

Historical quotes requirements

You must have at least N periods of quotes to cover the warmup periods.

quotes is a collection of generic TQuote historical price quotes. It should have a consistent frequency (day, hour, minute, etc). See the Guide for more information.

Response

IEnumerable<VwmaResult>

• This method returns a time series of all available indicator values for the quotes provided.
• It always returns the same number of elements as there are in the historical quotes.
• It does not return a single incremental indicator value.
• The first N-1 periods will have null values for Vwma since there’s not enough data to calculate.

VwmaResult

Date DateTime - Date from evaluated TQuote

Vwma double - Volume Weighted Moving Average

Utilities

• .Condense()
• .Find(lookupDate)
• .RemoveWarmupPeriods()
• .RemoveWarmupPeriods(qty)

See Utilities and helpers for more information.

Chaining

Results can be further processed on Vwma with additional chain-enabled indicators.

// example
var results = quotes
    .GetVwma(..)
    .GetRsi(..);

This indicator must be generated from quotes and cannot be generated from results of another chain-enabled indicator or method.