Abbreviation: VolWgtAvg1-Lag(VolWgtAvg2)
Category: Advanced Volume Weighted Moving Average
Input Parameters:
| Name | Range | Default |
| Time Series | Close | |
| Volume | Volume | |
| VolWgtAvg1 Periods | Int >= 1 | 5 |
| Lag Amount | Int >= 1 | 5 |
| VolWgtAvg2 Periods | Int >= 1 | 10 |
Calculation:
VolWgtAvg(Time Series, Volume, n1) – Lag(VolWgtAvg(Time Series, Volume, n2), L)
where
n1 = VolWgtAvg1 Periods
L = Lag Amount
n2 = VolWgtAvg2 Periods
Lag represents Lag
VolWgtAvg represents Volume Weighted Moving Average
Discussion:
This indicator attempts to quantify movements in price by calculating the difference between a volume weighted moving average and a different sized lagged volume weighted moving average.