# Exponential VWAP Indicator

Two of the most common indicators I see used by traders are the EMA (Exponential Moving Average) and VWAP (Volume Weighted Average Price). Typically, traders prefer the EMA to a standard moving average because it will react faster to price movements, causing less lag than a standard moving average. Because the VWAP indicator uses a standard average calculation, we can remove some of the lag in this indicator by simply making it use an exponential formula. Our new Exponential VWAP indicator does just that, removing the lag that is present in standard VWAP indicators!

## VWAP Indicator Comparison The chart above shows three moving averages, all of which are set to use a period of 30 bars for their calculations. The EMA appears to have the most lag, and is the only indicator that does not take volume in to account. The VWAP (or VWMA) looks to have less lag than the EMA, and the Exponential VWAP has the least lag of all three indicators. Are you intrigued? • • denis poirier on September 26, 2016 at 8:35 pm

THANKS WILL TRY IT

• • Frank van de Zanden on December 26, 2016 at 5:01 pm

Thanks.

• • jamie on June 22, 2017 at 8:25 am

will this work in ninjatrader 8?

• • Free Indicators on June 22, 2017 at 1:06 pm
Author

• • Ivan A Gil on July 14, 2020 at 4:04 pm

Thank you very much for such a great work. This is by far the best moving average I have ever used.

I would like to make my own version of this indicator in Python. Does anybody knows how to calculate the exponential VWAP?

I am asking because I am a beginner C# programmer so even though I opened the NinjaScript code of this indicator, still I couldn’t figure it out. There are two particular lines I don’t understand:

alpha = 1-2/((double)Period+1);

I guess this is defining alpha as a constant of double precision type which is always going to contain the result of this mathematical operation:

1-2(Period+1)

I guess, but I am not certain about it.

On top of that there is the fact that the indicator has one plot defined this way:

But the plot VWEMA never gets a value, still it draws the indicator on the chart. To me, it looks like magic.

So I gave up and I am looking for the formula to calculate the Exponential VWAP so I can make my own version of this indicator in Python.

Any help would be greatly appreciated.

Ivan Gil

• • alberto carbone on July 16, 2020 at 12:46 pm

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