Volume Weighted: VolWgtAvg1 – Lag(VolWgtAvg2)

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.
 

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