QuantNomad - Elastic Volume Weighted Moving Average

4 พ.ย. 2019

EVWMA is a quite interesting moving average where period of the MA is defined from volume itself.
It incorporates volume information in a natural and logical way. The eVWMA can be looked at as an approximation to the average price paid per share.

As a volume period you can use:
- Absolute volume value, for example floating number of shares. 134M for Tesla for example.
- Sum of the last x bars volumes.

Indicator was developer by Christian P. Fries, Ph.D.