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Range Weighted Moving Average (amaRWMA) 5 *
Version 1.0 March 12, 2017

The Range Weighted Moving Average (RWMA) is weighted moving average which uses the square of the range of the bar as weighting factor. The exact formula for the weighting factor has the bar range replaced with the number of tick levels covered by the bar.

Volatility is driven by volume and is approximately proportional to the square root of volume. Therefore it is possible to use the squared range as a proxy for volume. This is interesting when genuine volume figures are not available. This would be the case

- for FOREX data that comes without historical backfill for volume
- for instruments that are driven by other markets outside of the regular session

In these cases the VWMA may be distorted, whereas the RWMA will still return proper results.


Category NinjaTrader 8 Indicators and More 
 
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Details: Range Weighted Moving Average (amaRWMA)
Category: NinjaTrader 8 Indicators and More 


October 20th, 2017
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Keywords: average moving range rwma volatility vwma weighting
 


 
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