VWMA — Volume-Weighted Moving Average

A moving average where each bar’s close is weighted by its volume: the average price the traded money actually paid, rather than the average of prints. Diverges from SMA exactly when heavy bars sit away from the window’s middle.

Signature

VWMA(period, on=<source>)

Argument	Type	Required	Notes
period	int Param or literal	Yes	Window. Default 20, bounds 1–400.
on=	symbol	No	Source symbol. Defaults to the trade symbol. Reads close and volume.

Formula

$$ \text{VWMA}t = \frac{\sum{i=t-n+1}^{t} C_i V_i}{\sum_{i=t-n+1}^{t} V_i} $$

Warmup

period bars; the lead-in averages the bars seen so far. If the whole window has zero volume, the current close is returned instead of dividing by zero.

Reading the value

vwma.value
vwma.crossed_above(sma)

Example

class VolumeConfirmedTrend(Strategy):
    """Long when the volume-weighted average leads the plain one."""
    period = Param(20, min=1, max=400)
    trade = Symbol()
    sizing = FixedCapital()

    def execute(self):
        vwma = VWMA(self.period, on=self.trade)
        sma = SMA(self.period, on=self.trade)
        if vwma.value > sma.value and self.trade.close > vwma.value and self.trade.is_flat:
            self.buy(self.trade, reason="Volume behind the move")
        if vwma.value < sma.value and self.trade.is_long:
            self.sell(self.trade, self.trade.position, reason="Volume gone")

Notes

• Standard definition (pandas-ta vwma).
• Not RollingVWAP — that weights the typical price; this weights the close.