QuanTAlib/lib/momentum/vel/Vel.md

VEL - Jurik Velocity

VEL (Jurik's Velocity) is a momentum oscillator that measures the rate of change of price. It is calculated as the difference between a Parabolic Weighted Moving Average (PWMA) and a Weighted Moving Average (WMA) of the same period.

Core Concepts

• Momentum: Measures the speed of price movement.
• Smoothing: Uses moving averages to reduce noise compared to raw ROC (Rate of Change).
• Parabolic vs Linear: By subtracting a linear weighted average from a parabolic weighted average, VEL isolates the acceleration component of the price movement.

Formula

VEL_t = PWMA_t(n) - WMA_t(n)

Where:

• n is the period.
• PWMA_t(n) is the Parabolic Weighted Moving Average.
• WMA_t(n) is the Weighted Moving Average.

Parameters

Parameter	Type	Default	Description
Period	int	-	The number of data points used in the calculation. Must be >= 1.

Usage

Standard Usage

using QuanTAlib;

var vel = new Vel(14);
var result = vel.Update(new TValue(DateTime.UtcNow, 100.0));
Console.WriteLine($"VEL: {result.Value}");

Chaining

var source = new Sma(10);
var vel = new Vel(source, 14);

Batch Calculation (Span)

For high-performance scenarios, use the static Calculate method with Span<double>.

double[] prices = { ... };
double[] results = new double[prices.Length];
Vel.Calculate(prices, results, 14);

Interpretation

• Zero Line Crossovers: Crossing above zero indicates increasing upward momentum (acceleration). Crossing below zero indicates increasing downward momentum (deceleration).
• Divergence: Divergence between price and VEL can signal potential reversals.
• Extremes: High positive or negative values indicate strong momentum, which might precede a reversal or consolidation.

References

• Jurik Research