VWMA Crossover

This LemonSqueazy script manually calculates the VWMA by iterating over the length of the window and summing the products of the price and volume, and then dividing by the sum of the volume.

The speed of the VWMA (Volume-Weighted Moving Average) is determined by the length parameter used in its calculation. This parameter specifies the number of periods (e.g., days, hours, minutes) over which the VWMA is calculated. A shorter length results in a faster VWMA that is more responsive to recent price and volume changes, while a longer length results in a slower VWMA that is smoother and less sensitive to recent fluctuations.

Here is a detailed breakdown of the VWMA calculation:

Calculation of VWMA:

Sum of the product of price and volume: Multiply the closing price by the volume for each period within the specified length.

Sum of the volume: Sum the volume for each period within the specified length.

VWMA: Divide the sum of the product of price and volume by the sum of the volume.

Mathematically, the VWMA for a given length
𝑛
is calculated as follows:

\[ \text{VWMA}n = \frac{\sum{i=0}^{n-1} (\text{Price}_i \times \text{Volume}i)}{\sum{i=0}^{n-1} \text{Volume}_i} \]

Where:

Price
𝑖
is the closing price at period
𝑖
.

Volume
𝑖
is the trading volume at period
𝑖
.

The speed of the VWMA depends on the chosen length
𝑛
. A shorter length (e.g., 9 periods) results in a faster VWMA that reacts quickly to changes in price and volume, while a longer length (e.g., 21 periods) results in a slower VWMA that provides a more smoothed average.

In our script, you can adjust the fast_length and slow_length parameters to change the speed of the fast and slow VWMAs, respectively. This allows you to customize the responsiveness of the VWMAs to suit your trading strategy.