Elastic Volume-weighted MA

What is an Elastic Volume-weighted MA?

The elastic volume-weighted moving average (eVWMA), introduced by Christian Fries, is a recursive average in which volume sets each bar's influence. Each update scales the prior value by (N minus volume) over N and adds price scaled by volume over N, where N is a chosen volume budget. Structurally it is an EMA whose smoothing constant is the bar's share of that budget instead of a fixed number: heavy bars move it sharply, quiet bars barely move it, and a zero-volume bar leaves it unchanged.

Fries proposed setting N to the number of shares outstanding, under a model in which each trade randomly replaces existing holdings; the line then approximates the average price at which the current shareholder base acquired its shares. That makes the eVWMA a cost-basis reading, closer in spirit to an anchored VWAP than to a fixed-window average. Where float data does not exist, implementations substitute a multiple of recent cumulative volume, and that choice dominates the line's speed.

How traders use it

• As a participation-weighted trend line: slope, side-of-line and crossover logic all work as with any average, with the property that only volume-backed moves relocate the line quickly.
• As a cost-basis proxy: with a float-scale budget, price stretched far above the eVWMA is read as holders sitting on large open profits, a condition worth knowing, though not a timing signal by itself.
• As a self-adjusting base for bands and envelopes, since its responsiveness tracks activity rather than requiring a period parameter tuned per market.

eVWMA vs other volume-weighted averages