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https://github.com/mihakralj/QuanTAlib.git
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Miha Kralj
24e86d762a
- Updated BBWN, BBWP, CCV, CV, CVI, EWMA, GKV, HLV, HV, Jvolty, JVOLTYN, MASSI, NATR, RSV, RV, RVI, TR, UI, VOV, VR, YZV indicators with documentation links. - Added documentation links for Aberration, Acceleration Bands, Andrews' Pitchfork, Adaptive Price Zone, ATR Bands, Bollinger Bands, Center of Gravity, Donchian Channels, Decay Min-Max Channel, Detrended Synthetic Price, EACP, EBSW, HOMOD, Jurik Volatility Bands, Keltner Channel, MA Envelope, Min-Max Channel, Price Channel, Regression Channels, Standard Deviation Channel, Stoller Average Range Channel, Super Trend Bands, Ultimate Bands, Ultimate Channel, VWAP Bands, and VWAP with Standard Deviation Bands.
45 lines
1.6 KiB
Plaintext
45 lines
1.6 KiB
Plaintext
// The MIT License (MIT)
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// © mihakralj
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//@version=6
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indicator("Volume Weighted Moving Average (VWMA)", "VWMA", overlay=true)
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//@function Calculates VWMA using circular buffer for efficient computation
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//@param src Source price series
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//@param vol Volume series
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//@param period Lookback period for VWMA calculation
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//@returns VWMA value representing volume-weighted moving average
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//@optimized for performance and dirty data
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vwma(series float src, series float vol, simple int period) =>
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if period <= 0
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runtime.error("Period must be greater than 0")
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var int p = math.max(1, period), var int head = 0, var int count = 0
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var array<float> price_buffer = array.new_float(p, na)
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var array<float> vol_buffer = array.new_float(p, na)
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var float sum_pv = 0.0, var float sum_vol = 0.0
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float old_price = array.get(price_buffer, head), float old_vol = array.get(vol_buffer, head)
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if not na(old_price) and not na(old_vol)
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sum_pv -= old_price * old_vol
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sum_vol -= old_vol
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count -= 1
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float current_price = nz(src), float current_vol = nz(vol, 0.0)
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if current_vol > 0.0
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sum_pv += current_price * current_vol
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sum_vol += current_vol
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count += 1
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array.set(price_buffer, head, current_price)
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array.set(vol_buffer, head, current_vol)
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head := (head + 1) % p
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sum_vol > 0.0 ? sum_pv / sum_vol : src
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// ---------- Main loop ----------
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// Inputs
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i_period = input.int(20, "Period", minval=1)
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i_source = input.source(close, "Source")
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// Calculation
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vwma_value = vwma(i_source, volume, i_period)
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// Plot
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plot(vwma_value, "VWMA", color=color.yellow, linewidth=2)
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