Volume weighting

Once upon a time I got very excited about volume-weighted stock prices. Prices associated with high volumes should have a greater weight, right? I'd calculate the vol-wgt'd price like so: Pvol-wgt = Pclose * Volume / (Average Volume) Then I'd go through every conceivable Buy-Sell strategy (based upon closing prices) and substitute volume-weighted closing prices. For some reason, I lost interest in that ritual. Can you see why? ----------------------------------------------- What's remarkable (to me, at least) is that the violent behaviour of the vol-wgt'd price don't change things so much. For example, long, long ago (and far, far away) I played with a Buy/Sell ritual called ADX: the Average Directional Index. When I introduced volume-weighting (and called the result VDX), it don't hardly change the Buy/Sell signals. For example: (Without weighting it's ADX. With weighting it's VDX.) Indeed, only 3 of the 30 DOW stocks have their (current) signals changed.