Quote from sweetlettuce:
Yes. I would have called it this, but figured it would throw the original poster off. Same thing.
Anybody who calls this stupid does not have a postive equity curve. It is trading in its purest sense.
Close, but not quite true.
VWAP is a cumulative intraday average. As each bar is added in your time frame, a new value of
VWAP is calculated. i.e. its lookback period increases as the day's trading proceeds, and is reset the following day. Its final value is the
VWAP for the day.
Conversely
VWMA in its standard form is a fixed lookback weighted moving average, whereby the weighting factors are representative of the per-bar fraction of volume transacted over the lookback period.
Hence there is no length (lookback period) associated with
VWAP (i.e. you don't pass any length parameter to the function like VWAP(50), it uses all available bars so far for the day), but a
VWMA has a lookback period like a Simple MA or exp MA, etc..., i.e. VWMA(50).
Of course, you can always code a dynamic lookback
VWMA, i.e. adaptive VWMA.
HTH
