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Volume-Adjusted MACD Using Volume-Weighted Moving Averages

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Summary

This document explains a volume-adjusted version of MACD. It replaces ordinary moving-average smoothing with volume-adjusted moving averages, calculating each average from the sum of price multiplied by volume divided by total volume over the selected period. The indicator compares fast and slow versions of this average to form the MACD line.

Its signal line is also volume-adjusted: MACD values are weighted by volume over the signal period, and the histogram is the difference between the MACD and signal lines. The configurable inputs are the fast and slow periods, the signal period, and the applied price. The document defines the calculation but provides no trading rules, tests, or performance evidence, so it does not establish whether the volume adjustment improves signals or outcomes.

Key ideas

  • The indicator adapts MACD by using volume-adjusted moving averages for its fast and slow components.
  • Each adjusted average divides the sum of price-volume products by the sum of volume over its period.
  • The signal line is a volume-adjusted average of MACD values, and the histogram is the gap between the two lines.
  • The indicator has configurable fast, slow, signal, and applied-price inputs.
  • No trading performance evidence or entry and exit rules are provided.

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Technical indicatorsStatistics

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.