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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>
46 lines
1.7 KiB
Plaintext
46 lines
1.7 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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//@doc https://github.com/mihakralj/pinescript/blob/main/indicators/volume/vwma.md
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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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