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https://github.com/mihakralj/QuanTAlib.git
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Miha Kralj
86fe32a682
Co-authored-by: Claude Opus 4.5 <noreply@anthropic.com> Co-authored-by: aider (openrouter/anthropic/claude-sonnet-4) <aider@aider.chat> Co-authored-by: Warp <agent@warp.dev>
48 lines
1.8 KiB
Plaintext
48 lines
1.8 KiB
Plaintext
// The MIT License (MIT)
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// © mihakralj
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//@version=6
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indicator("Volume Weighted Accumulation/Distribution (VWAD)", "VWAD", overlay=false)
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//@function Calculates VWAD using volume weighting for enhanced sensitivity
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//@doc https://github.com/mihakralj/pinescript/blob/main/indicators/volume/vwad.md
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//@param src_high High price series
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//@param src_low Low price series
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//@param src_close Close price series
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//@param src_vol Volume series
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//@param period Lookback period for volume weighting
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//@returns VWAD value representing volume-weighted accumulation/distribution
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//@optimized for performance and dirty data
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vwad(simple int period, series float src_high = high, series float src_low = low, series float src_close = close, series float src_vol = volume) =>
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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
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var array<float> vol_buffer = array.new_float(p, na)
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var float sum_vol = 0.0
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float old_vol = array.get(vol_buffer, head)
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if not na(old_vol)
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sum_vol -= old_vol
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float current_vol = nz(src_vol, 0.0)
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sum_vol += current_vol
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array.set(vol_buffer, head, current_vol)
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head := (head + 1) % p
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float mfm = 0.0
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if not na(src_high) and not na(src_low) and not na(src_close)
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mfm := (src_close - src_low) - (src_high - src_close)
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mfm := src_high != src_low ? mfm / (src_high - src_low) : 0.0
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float vol_weight = sum_vol > 0.0 ? current_vol / sum_vol : 0.0
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float weighted_mfv = current_vol * mfm * vol_weight
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var float cumulative_vwad = 0.0
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cumulative_vwad += weighted_mfv
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cumulative_vwad
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// ---------- Main loop ----------
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// Inputs
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i_period = input.int(20, "Volume Weight Period", minval=1)
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// Calculation
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vwad_value = vwad(i_period)
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// Plot
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plot(vwad_value, "VWAD", color=color.yellow, linewidth=2)
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