Skip to main content
Track Volume-price analysis
10 / 19
Search the archiveLibrary
Library

2005issue C031

Constructing a volume and change weighted moving average

This archive article walks through a moving-average construction that adds change magnitude and bar volume as extra inputs, then blends the two weighted series into one line.

  • A simple moving average is presented as a noise filter that reports where an ordered series has already been.
  • The change-weighted average turns each absolute preceding change into a percentage weight inside the lookback window, then sums the weighted observations.
  • The volume-weighted average turns each observation's volume into a percentage weight inside the same window, then sums the weighted observations.
  • The blended volume-change average is the arithmetic mean of those two contemporaneous series, and the same procedure is specified for a 10-period window and a 20-period window.
Entries in this reading2 entries
Current trackVolume-price analysis207 readingsMoving average597 readings

What a simple average reports

A simple moving average is presented as a noise filter that reports where an ordered series has already been. The construction adds two extra inputs to that average: the magnitude of successive datapoint changes and the volume attached to each datapoint.

How the change-weighted average is built

The change-weighted average assigns each lookback observation a weight equal to the absolute preceding change divided by the sum of all absolute changes in the window, then sums the weighted observations. Those multipliers are percentage weights, each observation's share of the window total before the weighted values are added.

A four-period change-weighted window first sums four successive absolute differences between adjacent datapoints, then converts those differences into percentage weights.

How the volume-weighted average is built

The volume-weighted average assigns each lookback observation a weight equal to that observation's volume divided by the sum of volumes in the same window, then sums the weighted observations. The lookback window is the fixed count of successive ordered observations used to compute both weight sets.

How the two series are blended

The blended volume-change average is the arithmetic mean of the contemporaneous change-weighted and volume-weighted averages. The same weighting procedure is specified for both a 10-period window and a 20-period window.

Four-period VOMOMA against MOMA, VOMA and close

The change-weighted MOMA and the volume-weighted VOMA stay close to the daily close, and VOMOMA runs as their midpoint rather than as a separate forecast. Every point is taken from the sidebar spreadsheet that works a four-bar window from 11 January through 23 February 1978.
The change-weighted MOMA and the volume-weighted VOMA stay close to the daily close, and VOMOMA runs as their midpoint rather than as a separate forecast. Every point is taken from the sidebar spreadsheet that works a four-bar window from 11 January through 23 February 1978.BRITP daily · Daily · 1978-01-11T00:00:00.000Z to 1978-02-23T00:00:00.000Z

Lookback is four bars. Each MOMA weight is that bar’s absolute close-to-close change divided by the sum of those four changes; each VOMA weight is that bar’s volume divided by window volume. VOMOMA is the arithmetic mean of the two.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
10 of 19 in the Volume-price analysis track
20051-1 pp.Next on Volume-price analysisDaily average support and Friday volume holdsConfirm the daily regime first. A moving average is acting as support when price holds above it, including an intraday poke that is reversed by the close.
All readings on this track · 19 readings
  1. 1989T-bond volume-price boxes and a withheld rectangle top
  2. 1990Constructing ease of movement from volume-scaled boxes
  3. 1990Weekly four-stage mapping with average, range, and volume
  4. 1996Constructing volume-confirmed average-cross entries
  5. 1996Constructing four MFI bar states from range and volume
  6. 2001Building in-gear volume-price overlays
  7. 2004Constructing index volume for price-volume signals
  8. 2004Auditing volume-on-retest rules for prior highs and lows
  9. 2004Wait-rule collapse in a mistaken sale cascade
  10. 2005Constructing a volume and change weighted moving average
  11. 2005Daily average support and Friday volume holds
  12. 2007Match a volume-price oscillator to a range, not to a policy rebound
  13. 2008Volume confirms chart pattern breakouts
  14. 2011Color-coded volume bars for rule-based swing entries
  15. 2012Go or no-go checklist at repeated resistance
  16. 2012Pocket-pivot volume rules before a later breakout
  17. 2014Constructing defended price lines from volume spikes
  18. 2016Closing score from range location as a volume-checked sentiment filter
  19. 2019Volume follows price as auction state
By fieldIndicators and filters874 readingsBy year2005167 readings
All 207 readings tagged Volume-price analysis
Also on Volume-price analysis5 readings
1988Cumulative volume trend and 200-session polarity1989Volume confirmation windows and exponential average construction1990Volume-adjusted moving average construction1990Weekly four-stage mapping with average, range, and volume1991Build the market clock before you read a price bar