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Re: [amibroker] Volume Weighted Moving Averages



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Mike
----- Original Message ----- 
From: "b519b" <b519b@xxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Wednesday, July 10, 2002 7:04 AM
Subject: [amibroker] Volume Weighted Moving Averages


--- In amibroker@xxxx, "nirvana1x" <nirvanaiam@xxxx> wrote:
> ..can anyone explain what is meant 
> by the last paragraph of b519b's 
> post below.

John, the last paragraph in my post is a direct quotation from the 
help files of the Australia distributor of MetaStock. Here is the 
URL: 

www.paritech.com.au/education/technical/indicators/trend/movavg-6.asp

I find their definition to be both complex and unclear. Here it is 
with my COMMENTS/QUESTIONS IN UPPERCASE:

"A volume adjusted moving average is calculated as follows: 
"1. Calculate the average volume using every time period in the 
chart. 

WHY USE 'EVERY TIME PERIOD' TO GET THE AVERAGE. WOULD IT NOT MAKE 
MORE SENSE TO JUST USE THE NUMBER OF BARS SPECIFIED IN THE MOVING 
AVERAGE. IF I AM CONSTRUCTING A 20 DAY MOVING AVERAGE USING 100 
YEARS OF DATA HISTORY FOR THE DOW JONES WHY WOULD I WANT TO KNOW 
THE AVERAGE VOLUME FOR THE ENTIRE 100 YEARS? FOR EVERY 20 DAY PERIOD 
OVER THE 100 YEARS, YES. BUT FOR THE ENTIRE 100 YEARS, WHY IN THE 
WORLD? ALSO, THIS STEPS IMPLIES I WOULD GET A DIFFERENT RESULT IF I 
ONLY HAD 50 YEARS OR 5 YEARS OF DATA. POINT 1 IS A VERY CONFUSING 
STATEMENT IF TAKEN LITERALLY.

"2. Calculate the volume increment by multiplying the average volume 
by 0.67. 

WHERE IN THE WORLD DOES 0.67 COME FROM? I DO NOT HAVE A CLUE. ALSO 
WHAT IS MEANT BY 'VOLUME INCREMENT' IS NOT DEFINED.

"3. Calculate each period's volume ratio by dividing each period's 
actual volume by the volume increment.

WHAT IS EACH PERIOD'S VOLUME RATIO? IS IT THE RATIO OF THE ACTUAL 
VOLUME TO THE VOLUME CALCULATED IN STEP 1? OR IS IT SOME OTHER 
RATIO? AND THE QUESTION OF THE 'VOLUME INCREMENT' COMES UP AGAIN.

"Starting at the most recent time period and working backwards, 
multiply each period's price by the period's volume ratio and 
cumulatively sum these values until the user-specified number of 
volume increments is reached. Note that only a fraction of the last 
period's volume will likely be used.

WHAT IN THE WORLD DOES THE LAST SENTENCE MEAN? 

AFTER READING THAT EXPLAINATION OF VOLUME WEIGHTED MOVING AVERAGES I 
AM TOTALLY CONFUSED. CAN ANYONE SHED SOME LIGHT ON THE SUBJECT OR 
POINT TO WEBSITE WITH CLEARER EXPLANATIONS?

B






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