[pshaiCmd] Volume Adjusted Moving Average (VAMA)
stableDescription
Volume Adjusted Moving Average
"Time-based moving averages make the assumption that all trading days are equal. Important trading days are usually associated with heavier volume. VAMA makes price and volume equal partners when computing the average. Higher volume trading days are more heavily weighted than lower volume days."
This command is also optimized, meaning, that after the very first call of this command it only calculates the latest value.
NOTE: With CC_HighSpeedPrices the results might not be what was expected!
Usage:
local c = ClosePrices()
local v = GetVolume()
local vama1 = CC_VAMA(c, v, 14, 0.67)
local vama2 = CC_VAMA(c, v, 55, 0.67)
Plot(0, 'vama1', vama1, Cyan)
Plot(0, 'vama2', vama2, {c = Orange, w = 3})
HaasScript
-- [pshaiCmd] Volume Adjusted Moving Average
-- Author: pshai
DefineCommand('VAMA', 'Volume Adjusted Moving Average')
local c = DefineParameter(ListNumberType, 'price', 'Price data', true, ClosePrices(), 'ClosePrices, HLPrices, HLCPrices, OHLCPrices')
local v = DefineParameter(ListNumberType, 'volume', 'Volume data', true, GetVolume(), 'GetVolume')
local period = DefineParameter(NumberType, 'period', 'Period Length (default: 14)', true, 14, 'Number, Input')
local increment = DefineParameter(NumberType, 'increment', 'Volume Increment (default: 0.67)', false, 0.67, 'Number, Input')
local plot = DefineParameter(BooleanType, 'plot', 'If true, the command will plot the VAMA line', false, true, 'True, False, Input')
local data_cap = 200
local function calculateVAMA(in_c, in_v, step)
if not step then step = 0 end
local c = Grab(in_c, step, period)
local v = Grab(in_v, step, period)
local avg_vol = Average(v)
local vol_inc = avg_vol * increment
local vol_rat = v / vol_inc
local cum_sum = Sum(vol_rat * c)
local cum_div = Sum(vol_rat)
local vama = cum_sum / cum_div
return vama
end
local realVama = Load('vama:vama', {})
if #realVama == 0 then
local len = data_cap
for i = 1, len do
realVama[i] = calculateVAMA(c, v, i-1)
end
else
realVama = ArrayUnshift(
realVama,
calculateVAMA(c, v)
)
end
Save('vama:vama', Grab(realVama, 0, data_cap))
if plot then
Plot(0, 'VAMA('..period..', '..increment..')', realVama, {c = Cyan, w = 2})
end
DefineOutput(ListNumberType, realVama, 'VAMA values array', 'Plot, IsRising, IsFalling, CrossOver, CrossUnder, IsSmallerThan, IsBiggerThan')1 Comment
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Amazing Pshai! Thanks so much for making this happen!