Re: [RT] Volume weighted moving average

["BobR" <bobrabcd@xxxxxxxxxxxxx>]

See Technical Analysis of Stocks and Commodities 
December 2000, pg 32, Volume-Weighted Average Pricing.
 
bobr
 
<BLOCKQUOTE 
>
  ----- Original Message ----- 
  <DIV 
  >From: 
  Ray 
  Raffurty 
  To: <A title=realtraders@xxxxxxxxxxxxxxx 
  href="">realtraders@xxxxxxxxxxxxxxx 
  
  Sent: Friday, February 21, 2003 12:44 
  AM
  Subject: [RT] Volume weighted moving 
  average
  
  Hi All Rt's,
   
  I recently came accross something called " Volume 
  Veighted Moving Average" described here:
   
  "The simple volume weighted moving average takes a standard moving 
  average and uses the daily volume as a weighting mechanism. The end effect is 
  a moving average that responds to spikes or lulls in trading activity."
   
  And:
   
  
  
    
    
      Volumed Weighted MACD (VWMACD)
    
      
        
      
    
      <IMG height=1 
        src="gif00216.gif" width=1>
    
      Parameters
      MA Period 1MA Period 2EMA Period
    
      Usage
      VWMACD Fast Line(Period1,Period2,EMAPeriod)VWMACD Slow 
        Line(Period1,Period2,EMAPeriod)VWMACD 
        Histogram(Period1,Period2,EMAPeriod) 
    
      <IMG height=1 
        src="gif00216.gif" width=1>
    
      Description
      The volume weighted MACD is computed in the exact same fashion as 
        the standard MACD (Moving average convergence/divergence) except the 
        Volume Weighted MACD uses volume weighted moving averages as opposed to 
        exponential moving averages. 
        To generate the signal (or fast line), the difference is computed 
        between the fast and slow moving average. The slow line is then computed 
        by taking an n-day exponential moving average of the raw signal. 
        Finally, the VWMACD Histogram is the difference between the fast and 
        slow lines. 
   
   
  Can anyone explain how the Volume Weighted Moving 
  Average is (typically) calculated?
   
  Thanks in advance.
   
  Ray RaffurtyTo 
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