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Indicator Formula

Technical Details — Volume-Weighted Linear Moving Average (VWLMA)

Section titled “Technical Details — Volume-Weighted Linear Moving Average (VWLMA)”

Overview

Section titled “Overview”

The Volume-Weighted LMA (VWLMA) applies LMA smoothing to volume-weighted price data. Each price is scaled by its trading volume, then linearly weighted by recency.

Mathematical Derivation

Step 1 — Calculate Volume-Weighted Price

Section titled “Step 1 — Calculate Volume-Weighted Price”

Purpose: Scale each price by its volume.

$$VWPrice[t] = Close[t] \times Volume[t]$$

What This Measures: Volume-scaled price

Step 2 — Apply LMA to Weighted Data

Section titled “Step 2 — Apply LMA to Weighted Data”

Purpose: Smooth using linear weighting.

$$VWLMA[t] = \frac{LMA(VWPrice, n)[t]}{LMA(Volume, n)[t]}$$

What This Measures: Linearly smoothed volume-weighted average price

Compact Formula Summary

$$VWLMA[t] = \frac{LMA(Close \times Volume, n)}{LMA(Volume, n)}$$

Default Parameter: Period (n) = 14

Complete Calculation Example

VWLMA applies LMA separately to (Price × Volume) and Volume, then divides. It combines linear recency weighting with volume importance.

Key Takeaways from the Example
  1. Dual Weighting: Linear time weighting + volume weighting
  2. Responsive: LMA base makes it more responsive than VWSMA
  3. Clean Window: Like LMA, only considers the last n bars
  4. Requires Volume Data: Only meaningful with reliable volume data