Moving Average - Volume Weighted (VWMA)

Description

The Volume Weighted Moving Average is a weighted moving average that uses the volume as the weighting factor, so that higher volume days have more weight. It is a non-cumulative moving average, in that only data within the time period is used in the calculation.

Syntax

VWMA(int period)

VWMA(ISeries\<double\> input, int period)

Returns default value

VWMA(int period)[int barsAgo]

VWMA(ISeries\<double\> input, int period)[int barsAgo]

Return Value

double; Accessing this method via an index value [int barsAgo] returns the indicator value of the referenced bar.

Parameters

Examples

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// OnBarUpdate method
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protected override void OnBarUpdate()
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{
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   // Evaluates for a VWMA cross over to the long side
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   if (CrossAbove(VWMA(14), VWMA(40), 1))
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       Print("We have a moving average cross over long");
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   // Prints the current 14 period VWMA of high prices to the output window
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   double value = VWMA(High, 14)[0];
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   Print("The current VWMA value of high prices is " + value.ToString());
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}

Source Code

You can view this indicator method source code by selecting the menu New > NinjaScript Editor > Indicators within the NinjaTrader Control Center window.