/**
* Volume Weighted Moving Average (VWMA) Indicator
* Moving average weighted by trading volume for better price representation
*/
/**
* Calculate Volume Weighted Moving Average
* @param prices Array of closing prices
* @param volumes Array of volume data
* @param period Period for VWMA calculation (default 20)
* @returns VWMAData object
*/
export function calculateVWMA(prices, volumes, period = 20) {
if (prices.length < period || volumes.length < period) {
return null;
}
// Use the most recent 'period' data points
const recentPrices = prices.slice(-period);
const recentVolumes = volumes.slice(-period);
// Calculate VWMA: Σ(Price × Volume) / Σ(Volume)
let priceVolumeSum = 0;
let volumeSum = 0;
for (let i = 0; i < period; i++) {
priceVolumeSum += recentPrices[i] * recentVolumes[i];
volumeSum += recentVolumes[i];
}
const vwma = volumeSum > 0 ? priceVolumeSum / volumeSum : 0;
// Calculate average volume
const avgVolume = volumeSum / period;
// Get current price
const currentPrice = prices[prices.length - 1];
const currentVolume = volumes[volumes.length - 1];
// Price vs VWMA
const priceVsVwma = ((currentPrice - vwma) / vwma) * 100;
let position = 'equal';
if (currentPrice > vwma * 1.0001) {
position = 'above';
}
else if (currentPrice < vwma * 0.9999) {
position = 'below';
}
// Determine trend based on VWMA slope (compare with previous VWMA)
let trend = 'neutral';
if (prices.length >= period + 1 && volumes.length >= period + 1) {
const prevPrices = prices.slice(-period - 1, -1);
const prevVolumes = volumes.slice(-period - 1, -1);
let prevPriceVolumeSum = 0;
let prevVolumeSum = 0;
for (let i = 0; i < period; i++) {
prevPriceVolumeSum += prevPrices[i] * prevVolumes[i];
prevVolumeSum += prevVolumes[i];
}
const prevVwma = prevVolumeSum > 0 ? prevPriceVolumeSum / prevVolumeSum : 0;
if (vwma > prevVwma * 1.0001) {
trend = 'bullish';
}
else if (vwma < prevVwma * 0.9999) {
trend = 'bearish';
}
}
// Calculate volume efficiency (ratio of current volume to average)
const volumeEfficiency = currentVolume / avgVolume;
// Calculate trend strength based on volume confirmation
let strength = 0;
if (trend !== 'neutral') {
// Base strength on VWMA slope and volume confirmation
const slopeStrength = Math.abs(priceVsVwma) * 2;
const volumeStrength = Math.min(volumeEfficiency, 2) * 25; // Max 50 from volume
strength = Math.min(100, slopeStrength + volumeStrength);
}
return {
vwma,
priceVsVwma,
position,
trend,
avgVolume,
volumeEfficiency,
strength
};
}
/**
* Calculate multiple VWMAs for different periods
* @param prices Array of closing prices
* @param volumes Array of volume data
* @param periods Array of periods to calculate VWMA for
* @returns Array of VWMAData objects
*/
export function calculateMultipleVWMA(prices, volumes, periods = [10, 20, 50]) {
return periods
.map(period => calculateVWMA(prices, volumes, period))
.filter((vwma) => vwma !== null);
}
/**
* Get VWMA crossover signal
* @param fastVwma Fast VWMA data
* @param slowVwma Slow VWMA data
* @returns Crossover signal
*/
export function getVWMACrossoverSignal(fastVwma, slowVwma) {
// Check if fast VWMA crosses above slow VWMA (bullish)
// or below slow VWMA (bearish)
const fastAboveSlow = fastVwma.vwma > slowVwma.vwma;
const priceAboveFast = fastVwma.position === 'above';
if (fastAboveSlow && priceAboveFast) {
return 'bullish_crossover';
}
else if (!fastAboveSlow && fastVwma.position === 'below') {
return 'bearish_crossover';
}
return 'neutral';
}
