Volume Weighted EMA?

[NinjaTrader_ChelseaB]

Hello cpppower,

Unfortunately, I've had to remove the link from your post.

To ensure a fair forum environment that isn't filled with advertisement, our policy is to remove links to third party sites that are not educational.

It can helpful to discuss a vendor product, however if you have links to non-educational material such as product sites please consider sending these as a private message to the recipient, or provide a link to a google search for the product name.

If this is an open source script you have created, you may also consider submitting the script to the User App Share.

https://forum.ninjatrader.com/forum/ninjascript-file-sharing/user-app-submission

[cpppower]

I have found Elastic Volume Weighted Moving Average for NinjaTrader 8 here:â [redacted]

[NinjaTrader_ChelseaB]

Hello bltdavid,

Most items were moved to the User App Share of the NinjaTrader Ecosystem site.

I wasn't able to locate a script with the exact name EVWMA, VEMA, or volume weighted macd for NinjaTrader 7.

Below are links to a few searches on the User App Share. You may see something that fits I have overlooked.

https://ninjatraderecosystem.com/user-app-share-results/?fwp_usa_search=volume%20weighted

https://ninjatraderecosystem.com/user-app-share-results/?fwp_usa_search=macd

https://ninjatraderecosystem.com/user-app-share-results/?fwp_usa_search=vema

The NinjaTrader Ecosystem website is for educational and informational purposes only and should not be considered a solicitation to buy or sell a futures contract or make any other type of investment decision. The add-ons listed on this website are not to be considered a recommendation and it is the reader's responsibility to evaluate any product, service, or company. NinjaTrader Ecosystem LLC is not responsible for the accuracy or content of any product, service or company linked to on this website.

[bltdavid]

This would be one approach yes, there's also one already in the sharing - http://www.ninjatrader.com/support/f...1&pp=15&page=4

This link is completely dead.
Is there a way it can be fixed?

[raffu]

Hi,

here is the version for NT8, source code!

VEMA: [redacted]

You are welcome, someone asked that from me.

[NinjaTrader_Bertrand]

This would be one approach yes, there's also one already in the sharing - http://www.ninjatrader.com/support/f...1&pp=15&page=4

[sharkie]

Is there an EVWMA

I am looking to create a volume weighted MACD , I found such indicator but it was not working properly, I thought the best think to do is to take the MACD indicator code and replacve each EMA with a volume weighted EMA , thoughts ? Ideas ?

[NinjaTrader_Ben]

Hello,


Try the default indicator VWMA. There is also a VOLMA which is an EMA of VOL.

If neither of those meet your needs I suggest consulting one of our 3rd party NinjaScript Consultants here:

http://www.ninjatrader.com/webnew/partners_onlinetrading_NinjaScript.htm

[J_o_s]

Has someone made an Volume Weighted EMA? I've tried it with the above guidance of Anachronist, however I didn't came much farther than the code that he quotes. Anyone else have an suggestion for how to proceed further?

[anachronist]

This is happening, but it only happens if I have the Volume[0] added to the regular EMA equation.

The picture you uploaded looks fine to me. You're plotting the exponential moving average of price*volume. What did you expect? If you want to scale your result back down to price values, you need to divide your result by the EMA of volume.

That first formula you posted in this thread isn't even correct. A volume-weighted average is simply
(average of price*volume) / (average volume).
It doesn't matter if you calculate the 'average' as simple average, exponential average, or some other smoothing method. In your case, you want EMA(price*volume)/EMA(volume).

Once you understand what the indicator means, it becomes clear how to implement it. I'd do it something like this:

(variables)
private DataSeries pv;

(initialization)
pv = new DataSeries(this);

(onbarupdate)
pv.Set(Input[0] * Volume[0]);
double vema = EMA(Volume,period)[0];
if (vema == 0.0) vema=1.0;
Value.Set(EMA(pv,period)[0] / vema);

For brevity, I didn't include code to initialize the plot or declare 'period'.
-Alex

[GGAG33]

Okay you guys I'm having a problem...

This is happening, but it only happens if I have the Volume[0] added to the regular EMA equation.

Any suggestions on how I can fix it.

Value.Set(CurrentBar == 0 ? Input[0] : Input[0] * Volume[0] * (2.0 / (1 + Period)) + (1 - (2.0 / (1 + Period))) * Value[1]);

[NinjaTrader_JoshP]

GGAG33,

You will have to test the accuracy of the code yourself. We are not experts on the format you are trying to convert from and as such we are not in a position to advise you. Please see this tip on debugging that you can use to help determine if you are getting accurate values: http://www.ninjatrader-support.com/v...ead.php?t=3418

[GGAG33]

Please see the Help Guide.

http://www.ninjatrader-support.com/HelpGuideV6/helpguide.html?Input

http://www.ninjatrader-support.com/H...ValueAndValues

Value.Set(CurrentBar == 0 ? Input[0] : Input[0] * Volume[0] (2.0 / (1 + Period)) + (1 - (2.0 / (1 + Period))) * Value[1]) / Input[1] * (K * Volume[0] - (1 - (2.0 / (1 + Period))) * Value[1]

Look right?

[NinjaTrader_JoshP]

Please see the Help Guide.

http://www.ninjatrader-support.com/HelpGuideV6/helpguide.html?Input

http://www.ninjatrader-support.com/HelpGuideV6/helpguide.html?ValueAndValues

[GGAG33]

GGAG33,

That is standard C# code. NinjaTrader is not built on a simple scripting language. You have the full power of a true programming language at your finger tips.

I know that its C#, my problem is that how do I know what Input[0] is or Value[1] is?

It says nothing about it.