Volume adjusted mov. av. formula
- Thread starter leen
- Start date
(easy language)....moving average....it sounds like your trying to pick up a blond.
Pretty simple -
Just add up each bar's closing price times its volume in the MA's length and divide the total by the total volume in the MA's length and then divide that by the # of bars in the MA's length
Something like this (don't use/like EasyLanguage - but you should be able to adapt as necessary):
Function VolWeightMA(n as long) as double 'where n=# of periods in MA
dim VW as double, V as double
VW=0 'Used to aggregate Volume*Price
V=0 'Used to aggregate Volume
for i=lastbar to lastbar-n+1 step -1 'lastbar=# of last bar in series
VW=VW+Volume(i)*ClosePrice(i) 'i=bar #
V=V+Volume(i)
next i
VolWeightMA=(VW/V)/n
End Function
'Note for smplicity of notation Volume(n)=volume of the Nth bar and ClosePrice(n)=closing price of the Nth bar
Just add up each bar's closing price times its volume in the MA's length and divide the total by the total volume in the MA's length and then divide that by the # of bars in the MA's length
Something like this (don't use/like EasyLanguage - but you should be able to adapt as necessary):
Function VolWeightMA(n as long) as double 'where n=# of periods in MA
dim VW as double, V as double
VW=0 'Used to aggregate Volume*Price
V=0 'Used to aggregate Volume
for i=lastbar to lastbar-n+1 step -1 'lastbar=# of last bar in series
VW=VW+Volume(i)*ClosePrice(i) 'i=bar #
V=V+Volume(i)
next i
VolWeightMA=(VW/V)/n
End Function
'Note for smplicity of notation Volume(n)=volume of the Nth bar and ClosePrice(n)=closing price of the Nth bar
Many thanks ArchAngel ,
I have studied you formula and build the Function in EL as follows:
Input: Price(NumericSeries), Length(NumericSimple);
Variable: VA(0), TotalVolume(0), n(0);
VA = 0;
TotalVolume = 0;
For n = 0 to Length
Begin
VA = VA + (Price[n] * Volume[n]);
TotalVolume = TotalVolume + Volume[n];
End;
VolumeAdjustedMA = VA / TotalVolume;
I removed the division of # of bars, so when printing this function as an indicator, you have a direct relation with the Close price.
Then you can also compare this indicator with a normal MA.
I have studied you formula and build the Function in EL as follows:
Input: Price(NumericSeries), Length(NumericSimple);
Variable: VA(0), TotalVolume(0), n(0);
VA = 0;
TotalVolume = 0;
For n = 0 to Length
Begin
VA = VA + (Price[n] * Volume[n]);
TotalVolume = TotalVolume + Volume[n];
End;
VolumeAdjustedMA = VA / TotalVolume;
I removed the division of # of bars, so when printing this function as an indicator, you have a direct relation with the Close price.
Then you can also compare this indicator with a normal MA.
I have entered this code into TradeStation 2000i using Easy Language and the moving average line it produces is alot different to the Volume Adjusted Moving Average that MetaStock 5.1 plots for the same data, comparing the 2 charts.
As I dont have Meta 5.1, I cannot verify if they are using a different code for the indicator or that the difference is down to data differences between mine and the other computer.
Can anyone verify that this is the same code that Metastock uses or better still, if you have TradeStation and MetaStock5.1 perhaps you can test it out and let me know.
Many thanks
As I dont have Meta 5.1, I cannot verify if they are using a different code for the indicator or that the difference is down to data differences between mine and the other computer.
Can anyone verify that this is the same code that Metastock uses or better still, if you have TradeStation and MetaStock5.1 perhaps you can test it out and let me know.
Many thanks
I have found this explanation of the formula .. which is different to the one posted here .. is this the correct one ?
http://www.paritech.com/education/technical/indicators/strength/movavg.asp
Can anyone code this in Trade Station Easy Language ?
Thanks again
Bill
http://www.paritech.com/education/technical/indicators/strength/movavg.asp
Can anyone code this in Trade Station Easy Language ?
Thanks again
Bill