OPEN-SOURCE SCRIPT
Hamming Windowed Volume Weighted Moving Average
Applying a window to the filter weights provides sometimes extra control over the characteristics of the filter.In this script an hamming window is applied to the volume before being used as a weight.In general this process smooth the frequency response of a filter.
Lets compare the classic vwma with hamming windowed vwma
Something i noticed is that windowed filters depending on their period (high ones in general) tend to make less bad crosses with the price (at least with the hamming window)
Here are some data regarding number of crosses with period 50 with the hamming vwma in orange and the classic vwma in purple
Feel free to use the hamming window when using weighted filter.
Lets compare the classic vwma with hamming windowed vwma
Something i noticed is that windowed filters depending on their period (high ones in general) tend to make less bad crosses with the price (at least with the hamming window)
Here are some data regarding number of crosses with period 50 with the hamming vwma in orange and the classic vwma in purple
Feel free to use the hamming window when using weighted filter.
Open-source script
In true TradingView spirit, the creator of this script has made it open-source, so that traders can review and verify its functionality. Kudos to the author! While you can use it for free, remember that republishing the code is subject to our House Rules.
Check out the indicators we are making at luxalgo: tradingview.com/u/LuxAlgo/
"My heart is so loud that I can't hear the fireworks"
"My heart is so loud that I can't hear the fireworks"
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.
Open-source script
In true TradingView spirit, the creator of this script has made it open-source, so that traders can review and verify its functionality. Kudos to the author! While you can use it for free, remember that republishing the code is subject to our House Rules.
Check out the indicators we are making at luxalgo: tradingview.com/u/LuxAlgo/
"My heart is so loud that I can't hear the fireworks"
"My heart is so loud that I can't hear the fireworks"
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.