OPEN-SOURCE SCRIPT
Time Weighted Average Price (TWAP)
TWAP is a tool used by algorithm based traders that allows them to distribute their orders throughout the day without disturbing price or having their positions known to rival traders in the market.
It's similar to VWAP and serves the same function, except it lacks the volume aspect. This can be an issue when position entry/exit may be affected by slippage. The main benefit of TWAP is deciding how to distribute orders throughout the chosen timeframe.
However, just like the VWAP traders will normally use it as a moving average or target for price action to pull into.
There is an option to change the timeframe that TWAP is calculated on.
References:
empirica.io/blog/twap-strategy/
arxiv.org/ftp/arxiv/papers/1206/1206.5324.pdf
It's similar to VWAP and serves the same function, except it lacks the volume aspect. This can be an issue when position entry/exit may be affected by slippage. The main benefit of TWAP is deciding how to distribute orders throughout the chosen timeframe.
However, just like the VWAP traders will normally use it as a moving average or target for price action to pull into.
There is an option to change the timeframe that TWAP is calculated on.
References:
empirica.io/blog/twap-strategy/
arxiv.org/ftp/arxiv/papers/1206/1206.5324.pdf
Script open-source
Dans le plus pur esprit TradingView, l'auteur de ce script l'a publié en open-source, afin que les traders puissent le comprendre et le vérifier. Bravo à l'auteur! Vous pouvez l'utiliser gratuitement, mais la réutilisation de ce code dans une publication est régie par nos Règles. Vous pouvez le mettre en favori pour l'utiliser sur un graphique.
Vous voulez utiliser ce script sur un graphique ?
My published indicators: tradingview.com/u/NeoButane/
Sorry if I haven't replied to your message yet, I'm a bit backlogged :)
Sorry if I haven't replied to your message yet, I'm a bit backlogged :)
Clause de non-responsabilité
Les informations et les publications ne sont pas destinées à être, et ne constituent pas, des conseils ou des recommandations en matière de finance, d'investissement, de trading ou d'autres types de conseils fournis ou approuvés par TradingView. Pour en savoir plus, consultez les Conditions d'utilisation.