NASDAQ LEVEL II
TIME AND SALES
( more on Technical
eVWMA - Elastic Volume Weighted
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|eVWMA = [(N - v) * eVWMA.1 + v*p] / N
p = price
v = volume of bar
N = volume "period". This period can either be
specified (as a constant value) or computed as a multiple of the
recent average volume.
Presentation . . .
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Above is a 3-Minute Candlestick Chart of Dell
Computer (DELL) . The blue line represents the eVWMA using the
preferences seen below.
Preferences . . .
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- Volume total that is used to determine the period of the
Use Constant Value
- Use a constant number for the volume period.
Use __ Period Average Volume x __
- Here, you can specify a multiple of the average volume to
be used as the volume period. The average volume will be
computed using the bars and periodicity of the chart (simple
moving average using period specified). In a daily chart,
the average will be the daily average volume, if in a 3-minute
chart, it will be the average volume of 3-minute bars.
- Color, thickness, and style of the eVWMA line in the
Description . . .
|eVWMA is a statistical measure using the
volume to define the period of the moving average. It
incorporates volume information in a natural and logical way.
The eVWMA can be looked at as an approximation to the average price
paid per share. The ability to "Use Average Volume"
as your volume period, makes this indicator both symbol-independent
and timeframe independent. This allows the use to switch both
timeframe and symbol without having to change the volume period.
A more complete description of the eVWMA can be found on page 52
of the June 2001 issue of Stocks and Commodities Magazine.
to version 7.5, when the Volume Period was specified as "Use Average
Volume x __", the average was always computed with a period of 40 (40
period moving average of volume). This period has now been made an
option, and reads in the preferences as "Use __ Period Average Volume
x __". Also, all three available values/periods in the Volume Period
groupbox are now "Optimizable" (can be specified using V# variables).
These values/periods include the Constant Value, the new volume
smoothing Period, and Average Volume multiplier.