Elastic volume weighted moving average (volume weighted average price)

Here you find a few thoughs of mine on moving averages. Documents available:


  Elastic Moving Averages, Technical Analysis of Stocks & Commodities, June 2001.
Note: This article can be ordered through Yahoo!.Shopping.

Available online:

The Distribution of Share Prices and Elastic Time and Volume Weighted Moving Averages. Revised version (preprint) available as PDF File. (August 2000, Revised April 2002)
Note: Submitted for publication.

Earlier work on this topic (obsolete):

Introduction to the Elastic Volume Weighted Moving Average (eVWMAV) approximating the Average Price Paid per Share. Preliminary version (preprint) available as PDF File. (December 2000)
Note: Rough and unfinished, yet I hope it is a useful introduction.

Sample Excel Sheet: eVWMAV_case_study.xls

Appendix: A recursive formula for the Kurtosis of an approximation to the distribution of share prices. Working paper available as PDF File (August 2001).
Note: This is an appendix to the August 2000 paper.

Sample implementations for Investor/RT, TradeStation, TradingSolutions, MetaStock, NeuroShell Trader, WaveWise and Wealth-Lab.com can be found at June 2001 Traders Tips of S&C.

Other resources on the internet:

Please contact me for further information.
Note: If you would like to be notified when this page has been updated write to evwma@christian-fries.de with subject "notify me".

Last update: May 1, 2002