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?
Click the link below to download our Free Exponential VWAP indicator for NinjaTrader. The download contains unlocked code, so you are able to easily modify it as needed. If you need assistance modifying the code, please contact our very experienced NinjaTrader programmer .
Exponential VWAP Indicator for NinjaTrader 8 (670 downloads)