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This isn't exactly like Arms' implementation and also isn't the most
efficient code but here's a simplified version (unverified) that
demonstrates the concept. Basically, you are giving more weight to the
price on bars with heavier volume.
{function: volume_weighted_average}
input: price(numeric), period(numeric);
var: price_vol(price*volume), avg(price);
price_vol = price * volume;
avg = summation(price_vol,period) / summation(volume,period);
volume_weighted_average = avg;
--
Dennis
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