Volume Weighted MACD (VWMACD)
fast_period = 12 (2–200) • slow_period = 26 (2–200) • signal_period = 9 (2–200) Overview
Volume Weighted MACD enhances Gerald Appel's original MACD indicator by replacing the exponential moving averages with Volume Weighted Moving Averages (VWMAs). This modification incorporates volume data directly into the calculation, giving more weight to price movements that occur on higher volume. The result is an indicator that better reflects the true market sentiment by emphasizing price changes backed by significant trading activity while diminishing the impact of low-volume price movements.
The calculation involves computing two VWMAs (typically 12 and 26 periods) where each price point is weighted by its corresponding volume. The VWMACD line is the difference between these two VWMAs, while the signal line remains a traditional 9-period EMA of the VWMACD line. This hybrid approach maintains the smoothing benefits of the signal line while leveraging volume-weighted data for the main indicator, creating a more responsive and reliable momentum oscillator.
Interpretation & Trading Signals
Crossover Signals:
- Bullish Crossover: VWMACD line crosses above signal line (buy signal)
- Bearish Crossover: VWMACD line crosses below signal line (sell signal)
- Volume Confirmation: Stronger signals when crossovers occur with high volume
Zero Line Analysis:
- Above Zero: Short-term volume-weighted trend stronger than long-term (bullish)
- Below Zero: Short-term volume-weighted trend weaker than long-term (bearish)
- Zero Line Cross: Significant trend change when VWMACD crosses zero
Divergence & Histogram:
- Bullish Divergence: Price makes lower lows while VWMACD makes higher lows
- Bearish Divergence: Price makes higher highs while VWMACD makes lower highs
- Histogram Expansion: Growing momentum in the current direction
- Histogram Contraction: Weakening momentum, potential reversal ahead
Example Usage
Code examples will be available once the Rust implementation is complete.
Performance Analysis
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