EVWMA

Elastic Volume-Weighted Moving Average — Fries' "elastic" recurrence whose smoothing weight is the bar's volume relative to the running window-volume.

Quick reference

Field	Value
Family	Moving Averages
Input type	Candle (uses close and volume)
Output type	f64
Output range	unbounded; tracks the input price scale
Default parameters	period = 20
Warmup period	period
Interpretation	Volume-mass adaptive average: dominant-volume bars pull the average toward their close.

Formula

V_sum_t  = Σ volume_i over the last `period` candles
EVWMA_t  = ((V_sum_t − volume_t) · EVWMA_{t-1} + volume_t · close_t) / V_sum_t

A bar whose volume is small compared to V_sum barely moves the average; a bar whose volume dominates the window pulls EVWMA strongly toward that bar's close. Unlike Vwma (a per-bar weighted mean), EVWMA's recurrence makes the weighting elastic over time — past bars keep mattering through the running EVWMA_{t-1} term.

Parameters

Name	Type	Default	Constraint	Source
period	usize	20	>= 1	Evwma::new (evwma.rs:56)

period == 0 returns [Error::PeriodZero]. Python default comes from #[pyo3(signature = (period=20))]; the Node constructor takes period explicitly. The public class is EVWMA in both bindings.

Inputs / Outputs

use wickra::{Indicator, Evwma, Candle};
// Evwma: Input = Candle, Output = f64
const _: fn(&mut Evwma, Candle) -> Option<f64> = <Evwma as Indicator>::update;

Only close and volume are read.

• Python. update(candle) returns float | None; batch(close, volume) returns a 1-D float64 np.ndarray with NaN warmup.
• Node. update(close, volume) returns number | null; batch(close, volume) returns an Array<number> with NaN warmup.

Warmup

warmup_period() returns period. The volume window must fill before the recurrence is defined, so the first output lands on candle period (index period − 1), seeded with that candle's close. Pinned by warmup_emits_first_value_at_period.

Edge cases

• Constant close. ((V_sum − v)·c + v·c) / V_sum = c for any volume, so a flat close is reproduced exactly regardless of the volume distribution (test constant_series_yields_the_constant).
• Zero-volume window. If every bar in the window has volume == 0, V_sum = 0 and the recurrence is undefined; EVWMA seeds to the first such close and holds it until non-zero volume arrives (test zero_volume_window_holds_value).
• Reference. EVWMA(2) on (10,1), (20,3), (30,1) → None, 20.0, 22.5 (test reference_value_period_2).
• Reset. reset() clears the window, volume sum and running value.

Examples

Rust

use wickra::{Candle, Evwma, Indicator};

fn main() -> Result<(), Box<dyn std::error::Error>> {
    // EVWMA(2): (close, volume) = (10, 1), (20, 3), (30, 1).
    let mk = |c: f64, v: f64, ts: i64| Candle::new(c, c, c, c, v, ts).unwrap();
    let mut e = Evwma::new(2)?;
    println!("{:?}", e.update(mk(10.0, 1.0, 0))); // None  (window not full)
    println!("{:?}", e.update(mk(20.0, 3.0, 1))); // Some(20.0)
    println!("{:?}", e.update(mk(30.0, 1.0, 2))); // Some(22.5)
    Ok(())
}

Python

import numpy as np
import wickra as ta

e = ta.EVWMA(2)
close  = np.array([10.0, 20.0, 30.0])
volume = np.array([1.0, 3.0, 1.0])
print(e.batch(close, volume))  # [nan 20.  22.5]

Node

const ta = require('wickra');
const e = new ta.EVWMA(2);
e.update(10, 1);
console.log(e.update(20, 3)); // 20
console.log(e.update(30, 1)); // 22.5

Interpretation

EVWMA folds participation into the average: it advances toward the latest close in proportion to how much of the window's volume that bar carried.

1. Volume-confirmed trend. EVWMA only moves decisively when the move comes with volume — a high-volume breakout pulls it sharply, a low-volume drift barely shifts it.
2. As a dynamic support/resistance. Because heavy-volume bars anchor it, EVWMA tends to track the "fair value" the bulk of traded volume agreed on, making it a natural mean-reversion reference.

Common pitfalls

• Comparing it to Vwma one-for-one. VWMA is a windowed weighted mean; EVWMA is a recurrence with memory through its prior value — they diverge whenever volume is uneven.
• Feeding zero-volume synthetic bars. They contribute nothing; on an all-zero-volume window EVWMA simply holds.

References

• Christian P. Fries, "Elastic Volume Weighted Moving Average", Wilmott Magazine, 2001.

See also

• Vwma — windowed volume-weighted mean.
• Vwap — cumulative volume-weighted average price.
• Sma / Ema — volume-agnostic baselines.