Volume Weighted Moving Average (VWMA)

A moving average that listens most to the busiest bars.

What it measures

The VWMA weights each close in the window by that bar’s volume. When volume is even it matches the SMA; when heavy volume comes with moves one way, the VWMA leans that way. Unlike VWAP, it covers a rolling window of bars rather than the day so far.

How traders read it

Traders compare it with an SMA of the same length: a VWMA above the SMA says the heavier trading came at higher prices, which supports a rise, and below it the reverse.

Formula

VWMA = Σ(CLOSE × VOLUME) / Σ VOLUME, over the last `periods` bars

When the window has no volume at all it has no value.

Settings and output

Call: vwma(periods)

Setting	Chart default
`periods`: Periods	20

What you get: a number.

Warm-up: with vwma(20), it asks for 0 bars of history and a run-up of 20, and its first value came on bar 20 of the example data.

Chart

Volume Weighted Moving Average drawn by its own code on example prices

The prices are made up, hourly, and the same on every page, so the chart shows how the indicator behaves, not how a market behaved.

In an algorithm

function onIntervalClose() {
  const weighted = vwma(20);
  const plain = sma(20);
  if (weighted !== null && plain !== null && weighted > plain && OPEN_POSITIONS_COUNT === 0) {
    openPosition("BUY", { quantity: 10000, stopLossPips: 30 });
  }
}