Volume weighted Hull moving average

The Volume weighted Hull moving average indicator provides a highly responsive trend-following tool that combines the lag-reduction of the Hull Moving Average (HMA) with volume-weighting to emphasize price action occurring during high-activity periods.

Usage

The Volume weighted Hull moving average (HVWMA) is primarily used for trend identification and identifying potential reversals. Because it incorporates volume into the calculation, the indicator reacts more aggressively to price movements accompanied by high trading volume, making it more sensitive than a standard HMA.

• Trend Direction: The indicator line changes color based on its slope. A green line indicates an upward trend (rising HVWMA), while a red line indicates a downward trend (falling HVWMA).
• Crossover Signals: Traders can monitor for color changes as early signals of momentum shifts.
• Geometric Smoothing: For assets with extreme price volatility or wide price ranges, the "Geometric" setting can be enabled to process the data logarithmically, which helps normalize the output across different price levels.

Details

The HVWMA is constructed by replacing the standard Weighted Moving Average (WMA) components of the traditional Hull Moving Average formula with Volume-Weighted Moving Averages.

1. Volume-Weighted WMA: The script calculates a specialized WMA where price is multiplied by volume, then divided by the sum of volume over the specified period. This ensures that bars with higher volume have a greater impact on the average.
2. HMA Logic: The script follows the standard HMA structure: WMA(2 * WMA(source, n/2) - WMA(source, n), sqrt(n)). By using volume-weighted versions of these WMAs, the resulting indicator remains smooth while significantly reducing lag during high-volume spikes.
3. Logarithmic Calculation: When the Geometric option is enabled, the source price is transformed using a natural logarithm before calculation. The final output is then transformed back using the exponential function, which can provide more consistent results on assets with exponential growth or high volatility.

Settings

• Length: The lookback period for the calculation. Smaller values increase responsiveness, while larger values provide more smoothing.
• Source: The price input used for the calculation (e.g., Close, HL2, OHLC4).
• Geometric: A toggle that applies a logarithmic transform to the source data before calculation, intended for use with volatile price action.
• Line Width: Adjusts the visual thickness of the indicator line on the chart.

FAQ

How does HVWMA differ from a standard Hull Moving Average? The HVWMA incorporates volume data into the weighting process. While a standard HMA only considers price and time, the HVWMA gives more weight to price points where higher trading activity occurred, allowing it to react faster to high-volume breakouts or reversals.

What is the benefit of using the Geometric setting? The Geometric setting uses logarithmic calculations, which is beneficial when analyzing assets that have moved significantly in price (such as certain stocks or cryptocurrencies). It helps maintain the indicator's proportionality across different price scales.

How can I access this indicator? You can get access on the LuxAlgo Library for charting platforms like TradingView, MetaTrader (MT4/MT5), and NinjaTrader for free.