Volume-Weighted Moving Average Weights Prices by Trading Volume
Summary
The document explains a volume-weighted moving average. Over a selected lookback period, each bar’s volume is divided by total volume to produce a weight, then each bar’s price is multiplied by that weight and the products are summed. Higher-volume bars therefore contribute more to the average than lower-volume bars.
The text describes the indicator’s calculation but provides no formula notation, parameter examples, performance evidence, or guidance on how to use the result in a trading strategy. It identifies the indicator as an MQL4 implementation first published in 2016; that history does not establish predictive value. The note is limited to the weighting concept and does not specify which price field is used or how the indicator behaves when total volume is zero.
Key ideas
- Each bar’s weight is its volume divided by the total volume across the selected lookback period.
- The moving average sums each bar’s price multiplied by its volume-derived weight.
- Higher-volume bars have more influence on the resulting average.
- The document explains the calculation but gives no evidence of trading performance.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.