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Registered User
Joined: 2/14/2005
Posts: 2
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Is there a way to calculate a volume-weighted moving averages in the custom indicators. I read about it in the book bolinger on bolinger bands
thanks papabill
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Worden Trainer
Joined: 10/1/2004
Posts: 4,308
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Well, I'm not exactly sure what calculation you're looking for. If you could elaborate a little, we could probably help.
((C*V)+(C1*V1)+(C2*V2))/3 would be at least one type of a three day volume weighted moving average. Of course, you could extend it out for as many days as you wanted.
- Doug
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Registered User
Joined: 1/1/2005
Posts: 2,645
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QUOTE (Doug_H) Well, I'm not exactly sure what calculation you're looking for. If you could elaborate a little, we could probably help.
((C*V)+(C1*V1)+(C2*V2))/3 would be at least one type of a three day volume weighted moving average. Of course, you could extend it out for as many days as you wanted.
Your PCF should be:
3*(V0*C0+V1*C1+V2*C2)/AVGV3
I believe Volume Weighted Averages have been described in another post.
The answer to papabill's question is yes, but it has to be done with another Custom Indicator, CI, and both CI's have to be forced to the same scale. This "forced scaling" of CI's has been discussed in another post.
Thanks,
Jim Murphy
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Worden Trainer
Joined: 10/1/2004
Posts: 18,819
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I found a description of Volume Weighted Average:
QUOTEVWAP is calculated by adding up the dollars traded for every transaction (price times shares traded) and then dividing by the total shares traded for the day.
Does this sound like what you are looking for?
If so, and if I understand the definition, then you would need to create the average based on each tick. There is no real practical way to do this in the program.
The result would give you a price level weighted based on the price levels where the largest trades of the day occured.
Now, if you wanted to make this average look at each day and weight things (vesus each tick) you can accomplish this. Here is a thread to check out:
Volume Weighted Average Price
Be sure you check PLOT USING PRICE SCALE if you end up using the formula template from the above thread as a custom indicator.
- Craig
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Registered User
Joined: 1/1/2005
Posts: 2,645
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Errata:
QUOTE (bustermu)
3*(V0*C0+V1*C1+V2*C2)/AVGV3
should read
(V0*C0+V1*C1+V2*C2)/(3*AVGV3)
Sorry,
Jim Murphy
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Registered User
Joined: 2/26/2005
Posts: 3
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I would like to create a custom indicator that
calculates the daily pivot value (h+l+c)/3
and then I would like to create 2 moving averages
7d and 14d of that pivot value and plot over the price graph. I right clicked the graph to create a custom indicator, put in the formula. I did this twice, for 7d
and then 14d moving average and saved it as a custom template. Is this the best way to do this? thanks.
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Worden Trainer
Joined: 10/1/2004
Posts: 4,308
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Let's see if I understand what you did. You plotted the pivot point formula with a 7 day smoothing average. Then you plotted the same formula with a 14 day smoothing average. If that's what you did, I see no problem with it.
You could also plot the indicator with a smoothing average of 1, and then just add two moving averages to your indicator...a 7 and a 14. That would work, too.
- Doug
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