Volume Weighted: Avg(VolWgtAvg – Lag(VolWgtAvg))

Abbreviation: Avg(VolWgtAvg-Lag(VolWgtAvg))
Category: Advanced Volume Weighted Moving Average
Input Parameters:

Name Range Default
Time Series Close
Volume Volume
Avg Periods Int >= 1 5
VolWgtAvg Periods Int >= 1 5
Lag Amount Int >= 1 5

 
Calculation:

Avg((VolWgtAvg(X, V, n) – Lag(VolWgtAvg(X, V, n), L)), A)

where
X = Time Series
V = Volume
A = Avg Periods
n = VolWgtAvg Periods
L = Lag Amount

Avg represents Simple Moving Average
VolWgtAvg represents Volume Weighted Moving Average
Lag represents Lag

 
Discussion:

This indicator attempts to quantify movements in a time series by calculating the moving average of the difference between a volume weighted moving average and the same sized lagged volume weighted moving average.
 

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