Volume-Weighted Moving Average and Volume Inputs
Summary
A volume-weighted moving average assigns more influence to prices recorded with greater volume and less to prices recorded with lighter volume. Volume may refer to tick volume or actual traded volume, depending on what data the broker supplies.
The note explains that when real volume is unavailable, the indicator treats each observation as having equal volume, making the calculation equivalent to a simple moving average. Otherwise, the result depends on the observed volume series. It gives no formula details, parameter guidance, trading signals, or performance evidence, so it describes the indicator’s basic weighting concept rather than a complete strategy.
Key ideas
- The average weights prices according to their associated volume.
- Higher-volume observations have more influence on the result.
- Users may choose tick volume or real volume when available.
- If real volume is unavailable and all weights are equal, the result matches a simple moving average.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.