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gorx1

Volume Weighted Deviations

gorx1  
Moving Averages Volume Weighted Moving Average (VWMA) Volatility Volume Weighted Average Price (VWAP) deviation average standard weighted
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movingaverage vwma volatility vwap deviation average standard weighted
Volume !weighted!
deviations.
Important: I don't really know how people generally compute deviations from VWAP/VWMA, but smth tells me generally it's just a Av Dev/St Dev based on mean, not on appropriate basis, like volume weighted mean in our case. This version is mathematically correct, it first calculates weighted mean, than utilizes this weighted in mean in AvDev & StDef functions modified to take into account weights.
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