Moving Average - Volume Weighted (VWMA)

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Moving Average - Volume Weighted (VWMA)

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Description

The Volume Weighted Moving Average is a weighted moving average that uses the volume as the weighting factor, so that higher volume days have more weight. It is a non-cumulative moving average, in that only data within the time period is used in the calculation.

 

 

Syntax

VWMA(int period)
VWMA(ISeries<double> input, int period)

 

Returns default value
VWMA(int period)[int barsAgo]
VWMA(ISeries<double> input, int period)[int barsAgo]

 

 

Return Value

double; Accessing this method via an index value [int barsAgo] returns the indicator value of the referenced bar.

 

 

Parameters

input

Indicator source data (?)

period

Number of bars used in the calculation

 

 

Examples

ns


// OnBarUpdate method
protected override void OnBarUpdate()
{
  // Evaluates for a VWMA cross over to the long side
  if (CrossAbove(VWMA(14), VWMA(40), 1))
      Print("We have a moving average cross over long");
 
  // Prints the current 14 period VWMA of high prices to the output window
  double value = VWMA(High, 14)[0];
  Print("The current VWMA value of high prices is " + value.ToString());
}

 

 

Source Code

You can view this indicator method source code by selecting the menu New > NinjaScript Editor > Indicators within the NinjaTrader Control Center window.