Elastic Volume Weighted Moving Average & Envelope [LazyBear]

Elastic Volume Weighted Moving Average (eVWMA) is a statistical measure using the volume to define the period of the moving average. The eVWMA can be looked at as an approximation to the average price paid per share. Multiplier is usually the number of shares, but it can be approximated using cumulative sum of volume (Enable it via "Use Cumulative Volume" option) or sum of volume over "n" periods.

I have also added an option to draw eVWMA envelope (eVWMA on HLC).

More info:

List of all my indicators:
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// @author LazyBear 
// List of all my indicators:
study("Elastic Volume Weighted Moving Average [LazyBear]", shorttitle="EVWMA_LB", overlay=true)
useCV=input(false, type=bool, title="Use Cumulative Volume")
renderBands=input(false, type=bool, title="Draw Envelope")
nbfs = useCV ? cum(volume) : sum(volume, length)
calc_evwma(price, length, nb_floating_shares) =>
    data = (nz(data[1]) * (nb_floating_shares - volume)/nb_floating_shares) + (volume*price/nb_floating_shares)

m=calc_evwma(medianSrc, length, nbfs)
plot(m, color=maroon, linewidth=2, title="evwma")
plot(renderBands ? calc_evwma(high, length, nbfs): na, color=red  , linewidth=2, title="evwma+")
plot(renderBands ? calc_evwma(low, length, nbfs) : na, color=green, linewidth=2, title="evwma-")
back testing on this on certain setting on one day is incredible, better still with heiken ashi on, just did one stock 91.85%, means 45 wins and 4 losses, every time closed above the evwma, and went up next day higher. So for example... xyz closes on heiken ashi candle above evwma on certain period on one day, you bought on close, next day, first half hour goes higher, so you can get out quick, or sell most shares hold the rest, cause if play right stocks, they often go up days after. I tested a sma, similar setting and found on O (Realty income) where was above the sma line, but dead on, so not above on evwma, and they copied each other closely mind you, so had i followed at the time the sma, would bought and it went down next day. combine this with other things, volume moving averages and bollinger band and regression channel and should be on to 80 to 90% winner. most fascinating. No offense, tried lot of lazy bear indicators and despite high likes, 1000 some of them plus, I'm like no, no good, no matter what settings i use, back testing not that great where as this much better, so congrats.... :)...
This IS a VERY useful indicator. If you want to trade in a very simple and smart manner, this indicator will help you massively in your trading efforts. Read up on MIDAS is the best thing you can do to under stand how to implement this tool. In a nutshell, only enter a trade when price converges with the line plotted by this indicator. It signifies a "true" value in price. One caveat, you can only use this tool on instruments where volume is measured. So Spot Forex is not compatible ((typical of Forex, not this indicator)), unfortunate for Forex traders, but perhaps that crowd can use a futures equivalent.

Thanks LazyBear for the addition!!!
+3 Reply
eVWMA looks very useful in my first test. Thanks as always for sharing with us.
+1 Reply
Wonder what is the use of this indicator? Is it for showing oversold/bought conditions, S/R levels?
+1 Reply
LazyBear PRO joe_vijay
This is moving average. You can substitute this in any xMA strategy.
+1 Reply
Interesting, the math works /a lot/ differently than I thought it would just reading the title, I will definitely play with this one, gives me some new ideas.
+1 Reply
yes, this is an interesting concept. Reference I listed explains the reasoning behind the derivation, don't miss.
+1 Reply
Oh, CUMULATIVE volume.
I'll show myself out.
+4 Reply
+1 Reply
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