Volume Probability Weighted Moving Average (VPWMA)

Overview

The Volume Probability Weighted Moving Average represents an evolution in moving average technology by combining volume-weighted calculations with probability distributions. This indicator assigns higher weights to price movements that occur on significant volume and fall within statistically probable ranges, effectively filtering out noise while remaining responsive to genuine market moves. The result is a smoother yet more accurate representation of the underlying trend compared to traditional moving averages.

The VPWMA calculation involves analyzing the distribution of prices and volumes over the lookback period, calculating probability scores based on statistical deviations, and then weighting each price point by both its volume and probability factor. This dual-weighting approach ensures that the indicator responds strongly to high-volume moves within expected ranges while dampening the impact of outliers or low-volume fluctuations, making it particularly effective in volatile markets.

Interpretation & Trading Signals

Example Usage

Code examples will be available once the Rust implementation is complete.