Volume Weighted Moving Average (VWMA)

The volume-weighted moving average gives a louder bar a louder vote. A close on heavy volume pulls the average more than a close on a quiet bar. It is an SMA with volume as the weight. It is not VWAP. VWAP is cumulative from an anchor, usually the session, and uses a typical price. VWMA is a rolling window of closes.

When volume rises on up closes, VWMA tends to sit above the SMA. When the heavy bars are down, it sits below. The gap between VWMA and SMA is a simple way to see whether the recent participation agrees with the average close.

Use VWMA as a trend average in markets where volume is real and comparable from bar to bar. Pullbacks to a rising VWMA are a location, same as any average. The volume weight means a single block print can tug the line. Know your feed.

Using VWMA on forex spot feeds where "volume" is tick count, and treating it as share volume. Also confusing it with the session VWAP and expecting it to reset at the open.

A rolling window forgets. A huge bar N+1 periods ago no longer affects VWMA, even if that bar was the event of the month. VWAP, anchored at the event, remembers until you move the anchor.