HYE Mean Reversion VWAP [Strategy]An RSI filtered version of PJ Sutherland's Jaws Mean Reversion algorithm using volume weighted average price (VWAP) instead of simple moving average (SMA).
"Long" on the close when;
1-) 2 period VWAP closes 3% or more below the 5 period VWAP ,
2-) 5 period exponential average of the 2 period RSI is below 30.
"Exit Long" on the close when;
1-) 2 period VWAP closes above the 5 period VWAP.
"Short" on the close when;
1-) 2 period VWAP closes 3% or more above the 5 period VWAP ,
2-) 5 period exponential average of the 2 period RSI is above 70.
"Exit Short" on the close when;
1-) 2 period VWAP closes below the 5 period VWAP.
*** You can change the needed percentage for long and short trades, periods of VWAPs and RSI levels.
*** You can select the trend direction: "Long Only" , "Short Only" or "Both". Default is "Long Only".
I used the "VWAP with period" indicator code of @neolao. Special thanks to @neolao.
Indicator Link:
Recherche dans les scripts pour "vwap"
Consolidation VWAP's [QuantVue]Introducing the Consolidation VWAP's Indicator , a powerful tool designed to identify consolidation periods in stock advance and automatically anchor three distinct VWAPs to key points within the consolidation.
Consolidation Period Identification:
The indicator automatically detects periods of consolidation or areas on the chart where a stock's price moves sideways within a defined range. This period can be seen as the market taking a "breather" as it digests the previous gains. Consolidations are important because they often act as a base for the next move, either continuing the previous uptrend or reversing direction.
Consolidation requirements can be customized by the user to match your instrument and timeframe.
Maximum Consolidation Depth
Minimum Consolidation Length
Maximum Consolidation Length
Prior Uptrend Amount
Anchored VWAP, or Anchored Volume-Weighted Average Price, is a technical analysis tool used to determine the average price of a stock weighted by volume, starting from a specific point in time chosen by the analyst.
Unlike traditional VWAP, which starts at the beginning of the trading session, the anchored VWAP allows traders to select any point on the chart, such as a significant event, price low, high, or a breakout, to begin the calculation.
VWAP incorporates price and volume in a weighted average and can be used to identify areas of support and resistance on the chart.
VWAP Anchored to Consolidation High: This VWAP is anchored at the highest price point within the identified consolidation period. It helps traders understand the
average price paid by buyers who entered at the peak of the consolidation.
VWAP Anchored to Consolidation Low: This VWAP is anchored at the lowest price point within the consolidation. It provides insights into the average price paid by
buyers who entered at the lowest point of the consolidation.
VWAP Anchored to Highest Volume in the Consolidation: This VWAP is anchored at the price level with the highest trading volume during the consolidation. It reflects the average price at
which the most trading activity occurred, often indicating a key support or resistance level.
The indicator also allows the trader to see past consolidation areas and previous anchored VWAP's.
Give this indicator a BOOST and COMMENT your thoughts!
We hope you enjoy.
Cheers!
GMS: GW-VWAPAlright, as per usual with these, I end up adapting an existing indicator to what I want to accomplish. So this is based off the built in VWAP indicator. I added in the gummy worm to easily identify the trend, as well as the related bands to identify potential areas to either reverse position or to trim an existing one.
The middle part of the bands are the gummy worm version of VWAP. It is the VWAP using the high and another VWAP using the low. The black line is HL2 VWAP (technically 3 VWAPs).
The bands follow what I was mentioning above. So the outer most part of the bands are the high & low VWAP (with the same multiplier) and the inner bands are the HL2 VWAP.
Of course you can set whatever input source you want for these. The default is how I use it. If you want to get rid of the bar color just go to the indicator settings and un-select it at the bottom.
Source code is open so feel free to poke around.
Hope this helps,
Andre
Harmonic Rolling VWAP (Zeiierman)█ Overview
The Harmonic Rolling VWAP (Zeiierman) indicator combines the concept of the Rolling Volume Weighted Average Price (VWAP) with advanced harmonic analysis using Discrete Fourier Transform (DFT). This innovative indicator aims to provide traders with a dynamic view of price action, capturing both the volume-weighted price and underlying harmonic patterns. By leveraging this combination, traders can gain deeper insights into market trends and potential reversal points.
█ How It Works
The Harmonic Rolling VWAP calculates the rolling VWAP over a specified window of bars, giving more weight to periods with higher trading volume. This VWAP is then subjected to harmonic analysis using the Discrete Fourier Transform (DFT), which decomposes the VWAP into its frequency components.
Key Components:
Rolling VWAP (RVWAP): A moving average that gives more weight to higher volume periods, calculated over a user-defined window.
True Range (TR): Measures volatility by comparing the current high and low prices, considering the previous close price.
Discrete Fourier Transform (DFT): Analyzes the harmonic patterns within the RVWAP by decomposing it into its frequency components.
Standard Deviation Bands: These bands provide a visual representation of price volatility around the RVWAP, helping traders identify potential overbought or oversold conditions.
█ How to Use
Identify Trends: The RVWAP line helps in identifying the underlying trend by smoothing out short-term price fluctuations and focusing on volume-weighted prices.
Assess Volatility: The standard deviation bands around the RVWAP give a clear view of price volatility, helping traders identify potential breakout or breakdown points.
Find Entry and Exit Points: Traders can look for entries when the price is near the lower bands in an uptrend or near the upper bands in a downtrend. Exits can be considered when the price approaches the opposite bands or shows harmonic divergence.
█ Settings
VWAP Source: Defines the price data used for VWAP calculations. The source input defines the price data used for calculations. This setting affects the VWAP calculations and the resulting bands.
Window: Sets the number of bars used for the rolling calculations. The window input sets the number of bars used for the rolling calculations. A larger window smooths the VWAP and standard deviation bands, making the indicator less sensitive to short-term price fluctuations. A smaller window makes the indicator more responsive to recent price changes.
-----------------
Disclaimer
The information contained in my Scripts/Indicators/Ideas/Algos/Systems does not constitute financial advice or a solicitation to buy or sell any securities of any type. I will not accept liability for any loss or damage, including without limitation any loss of profit, which may arise directly or indirectly from the use of or reliance on such information.
All investments involve risk, and the past performance of a security, industry, sector, market, financial product, trading strategy, backtest, or individual's trading does not guarantee future results or returns. Investors are fully responsible for any investment decisions they make. Such decisions should be based solely on an evaluation of their financial circumstances, investment objectives, risk tolerance, and liquidity needs.
My Scripts/Indicators/Ideas/Algos/Systems are only for educational purposes!
Adaptive VWAP Stdev BandsIntroduction
Heyo, here are some adaptive VWAP Standard Deviation Bands with nice colors.
I used Ehlers dominant cycle theories and ZLSMA smoothing to create this indicator.
You can choose between different algorithms to determine the dominant cycle and this will be used as reset period.
Everytime bar_index can be divided through the dominant cycle length and the result is zero VWAP resets if have chosen an adaptive mode in the settings.
The other reset event you can use is just a simple time-based event, e.g. reset every day.
Usage
I think people buy/sell when it reaches extreme zones.
Enjoy!
---
Credits to:
@SandroTurriate - VWAP Stdev Bands
@blackcat1402 - Dominant Cycle Analysis
@DasanC - Dominant Cycle Analysis
@veryfid - ZLSMA
(Sry, too lazy for linking)
I took parts of their code. Ty guys for your work! Just awesome.
Quarterly Rolling VWAP# Quarterly Rolling VWAP Indicator
This custom indicator calculates and displays a Volume-Weighted Average Price (VWAP) that resets at the beginning of each quarter, providing traders with a medium-term perspective on price action relative to trading volume.
## Key Features:
1. **Quarterly Reset**: The VWAP calculation automatically resets at the beginning of each quarter, allowing for a rolling analysis that adapts to changing market conditions.
2. **Standard Deviation Bands**: The indicator includes two sets of bands based on standard deviations from the VWAP, helping to identify potential support and resistance levels.
3. **Customizable Appearance**: Users can adjust the colors of the VWAP line and bands, as well as control the visibility and transparency of the bands.
4. **Flexible Band Multipliers**: The distance of the bands from the VWAP can be adjusted using customizable multipliers.
## Indicator Logic:
1. **Quarterly Detection**:
- The script uses a function `isNewQuarter()` to determine the start of a new quarter.
- It calculates the timestamp for the start of the current quarter and checks for changes in this value.
2. **VWAP Calculation**:
- The `calcVWAP()` function computes the Volume-Weighted Average Price.
- It maintains running sums of price * volume and volume, which reset at the start of each quarter.
- The VWAP is calculated as the ratio of these sums.
3. **Standard Deviation Calculation**:
- The `calcStdDev()` function computes the standard deviation of price from the VWAP.
- It uses a similar approach to VWAP, maintaining running sums that reset quarterly.
4. **Band Calculation**:
- Two sets of bands are calculated using the VWAP, standard deviation, and user-defined multipliers.
- Upper and lower bands are plotted at 1x and 2x the standard deviation by default, but these are customizable.
5. **Plotting**:
- The main VWAP line is plotted with user-defined color and width.
- Bands are plotted conditionally based on user preference.
- The area between bands is filled with a semi-transparent color for better visualization.
## Trading Applications:
- **Medium-Term Trend Analysis**: The quarterly VWAP provides a broader perspective on price trends compared to daily or weekly VWAPs.
- **Support and Resistance**: The VWAP line and bands can act as dynamic support and resistance levels.
- **Mean Reversion Strategies**: Traders can look for potential reversals when price reaches the outer bands.
- **Volatility Assessment**: The width of the bands gives an indication of recent price volatility relative to volume.
- **Quarter-over-Quarter Comparison**: By resetting each quarter, the indicator allows for easy comparison of price action across different quarters.
This Quarterly Rolling VWAP indicator is particularly useful for traders focusing on medium-term strategies or those who want to incorporate a broader market context into their analysis. It combines the power of volume-weighted pricing with a quarterly perspective, offering a unique tool for technical analysis
QTY@RISK VWAP based calculationVWAP Volatility-Based Risk Management Calculator for Intraday Trading
Overview
This script is an innovative tool designed to help traders manage risk effectively by calculating position sizes and stop-loss levels using the Volume Weighted Average Price (VWAP) and its standard deviation (StdDev). Unlike traditional methods that rely on time-based calculations, this approach is time-independent within the intraday timeframe, making it particularly useful for traders seeking precision and efficiency.
Key Concepts
VWAP (Volume Weighted Average Price): VWAP is a trading benchmark that represents the average price a security has traded at throughout the day, based on both volume and price. It provides insight into the average price level over a specific period, helping traders understand the market trend.
StdDev (Standard Deviation): In the context of VWAP, the standard deviation measures the volatility around the VWAP. It provides a quantifiable range that traders can use to set stop-loss levels, ensuring they are neither too tight nor too loose.
How the Script Works
1. VWAP Calculation: The script calculates the VWAP continuously as the market trades, integrating both price and volume data.
2. Volatility Measurement: It then computes the standard deviation of the VWAP, giving a measure of market volatility.
3. Stop-Loss Calculation: Using user-defined StdDev factors, the script calculates two stop-loss levels. These levels adjust dynamically based on market conditions, ensuring they remain relevant throughout the trading session.
4. Position Sizing: By incorporating your risk tolerance, the script determines the appropriate position size. This ensures that your maximum loss per trade does not exceed your predefined risk value.
How to Use the Calculator
1. Select Two VWAP StdDev Factors: Choose two standard deviation factors for calculating stop-loss levels. For example, you might choose 0.5 and 0.75 to set conservative and aggressive stop-losses respectively.
2. Set Your Trading Account Size: Enter your total trading capital. For example, $50,000.
3. Maximum Lot Size: Define the maximum number of shares you are willing to trade in a single position. For instance, 200 shares.
4. Risk Value per Trade: Input the maximum amount of money you are willing to risk on a single trade. For instance, $50.
5. Plotting Options: If you wish to visualize the stop-loss levels, enable the plot option and choose the price base for the plot, such as the closing price or the average of the high and low prices (hl2).
Example of Use
1. Initial Setup: After the market opens, wait for at least 15 minutes to ensure the VWAP has stabilized with sufficient volume data.
2. Parameter Configuration: Input your desired parameters into the calculator. For instance:
- VWAP StdDev Factors: 0.5 and 0.75
- Trading Account Size: $50,000
- Maximum Lot Size: 200 shares
- Risk Value per Trade: $50
- Plot Option: On, using "hl2" or "close" as the price base
3. Execution: Based on the inputs, the script calculates the position size and stop-loss levels. If the calculated stop-loss falls within the selected VWAP StdDev range, it will provide you with precise stop-loss prices.
4. Trading: Use the calculated position size and stop-loss levels to execute your trades confidently, knowing that your risk is managed effectively.
Advantages for Traders
- Time Independence: By relying on VWAP and its StdDev, the calculations are not dependent on specific time intervals, making them more adaptable to real-time trading conditions.
- Focus on Strategy: Novice traders can focus more on their trading strategies rather than getting bogged down with complex calculations.
- Dynamic Adjustments: The script adjusts stop-loss levels dynamically based on evolving market conditions, providing more accurate and relevant risk management.
- Flexibility: Traders can tailor the calculator to their risk preferences and trading style by adjusting the StdDev factors and risk parameters.
By incorporating these concepts and using this risk management calculator, traders can enhance their trading efficiency, improve their risk management, and ultimately make more informed trading decisions.
Aggregated VWAP by AncheAbout this indicator
Aggregated VWAP shows you a combined VWAP of different assets which you can choose inside the options panel.
This allows you to select the same asset from multiple exchanges and the indicator plots a VWAP based on all the prices of the selected tickers.
The above image shows you the VWAP of the current asset (red, thick line) and an Aggregated VWAP of BTCUSD from this exchange + 5 others (black line). This clearly shows a discrepancy between both values.
How to use
Open the options of the indicator, at the bottom you will find 5 input fields to select 5 tickers. This allows you to select your asset from different exchanges so that their value gets computed inside the value for the Aggregated VWAP.
Inside the "style" settings you can change colors, lines, etc.
SMA VWAP BANDS [qrsq]Description
This indicator is used to find support and resistance utilizing both SMA and VWAP. It can be used on lower and higher time frames to understand where price is likely to reject or bounce.
How it works
Rather than using the usual calculation for the VWAP, instead this script smooths the volume first with the SMA and then respectively calculates the smoothed multiplication of high, low and close price with the volume individually. These values are then divided by the smoothed volume to find individual VWAP's for each of the sources. The standard deviations of these are calculated, resulting in an upper, lower and middle band. It is essentially VWAP bands with some smoothed calculations in the middle.
How to use it
I like to use the bands for LTF scalping as well as HTF swings.
For scalping:
I tend to use either the 5m or 15m TF
I then set the indicator's TF to 1m
I will take a scalp based on the bands confluence with other PA methods, if price is being either supported or rejected.
For swings:
I tend to use a variety of TFs, including: 30m, 1H, 4H, D
I then set the indicator's TF to "Chart"
I will take a swing based on the bands confluence with other PA methods, if price is being either supported or rejected.
I also tend to use them on perpetual contracts as the volume seems to be more consistent and hence results in more accurate support and resistance.
MAC-Z VWAP Indicator [LazyBear]This a modified MAC-Z using Z-VWAP. Since this uses VWAP, the signals are derived indirectly from both volume and price action.
I have also included a way to smooth MACZ-VWAP, you can enable it via options page.
Note that this will not work on any FX pair, as volume is not available.
Referenced indicators:
Z-distance from VWAP:
MAC-Z Indicator:
Z-Score:
Complete list of my indicators:
GDoc: docs.google.com
Chart:
wnG - VWAP MOD Modified version of VWAP :
Classic VWAP with 6 levels based on the Average True Range to identify the distance and distribution of the prices around the VWAP.
There are 2 calcul methodologies for the bands
- Last 24 Hours Average True Range
- Progressive Average True Range starting from 00:00
As prices tend to move around the VWAP level, favor LONG positions in the GREEN ZONE (and SHORT in the RED ZONE).
How to use it :
Avoid taking long position when price is in the RED ZONE
Avoid taking short position when price is in the GREEN ZONE
==> Adjust the settings depending on your timeframe and asset
Chart Champions - Part 1 - nPOC - Levels - VWAPsThank you for sparing you time to read my indicator.
This indicator has been created as a suite of 3. This was to ensure that those with only the Free Trading View account could benefit (with their restriction to 3 indicators). Please ensure you install each indicator and read each indicator write up to fully understand what has tried to achieved.
Chart Champions – Part 1 –Lvls nPOC VWAPS
This indicator is broken down into:
• Levels
• VWAPS
• Naked Point of Control
Levels
It displays the levels to the right of the price Axis to enable the user to have a cleaner chart.
The below levels will automatically appear:
dOpen – pdHigh – pdLow – pdEQ – pwEQ
Optional Levels include:
mOpen – pmOpen – pdOpen – dbyOpen – wOpen – pwOpen
VWAPs
Optional VWAPs
Daily (including pdVWAP close) – Weekly – Monthly
Naked Points of Control (nPOC)
To view the nPOC move the chart back in time to pick up the nPOCs.
Chart Champions – Part 2 – CCV IBs POC
This indicator is broken down into:
• Chart Champions Value
• Initial Balance
• Points of Control
Chart Champions Value (CCV)
CCV is based on the 80% rule of the dOpen opening outside of the pdVAH/pdVAL. Please do you own research to fully understand how this trading strategy works (readily avaliable online).
Initial Balance (IB)
IB is based on the first 60 minutes of the market opening. It captures the highest and lowest points within that 60 minutes. Please do you own research to fully understand how this trading strategy works (readily avaliable online).
Points of Control (POCs)
POC are the price levels where the most volume was traded.
Developing POC (dPOC) will constantly move with volume/price action through out the day.
Optional POCs
Previous Day POC (pdPOC) – Day Before Yesterday POC (dbyPOC)
Chart Champions – Part 3 – Sessions - Manual Input
This indicator is broken down into:
• Manual Inputs (daily, weekly, monthly)
• IGOR SessionsTtimes
• Pre + Market Openings
Manual Input
Daily x3
Weekly x 3
Monthly x 3
This allows the trader to put in specific levels.
IGOR Session Times
This is a user specific requirement to highlight cetain times during the day, displayed at the bottom of the chart in the colour strip.
Pre + Market Openings
This allows the user to see when pre market trading has started and with the live maket has started, displayed at the top of the chart in colours.
A huge thank you goes out to:
Stackoverflow users AnyDozer and Bjorn.
TV user ahancock for allow me use of this code.
Disclaimer the lower the timeframe the more information it processes.
Multi VWAP from Gaps [MW]Multi VWAP from Gaps
Introduction
The Multi VWAP from Gaps tool extends the concept of using the Anchored Volume Weighted Average Price, popularized by its founder, Brian Shannon, founder of AlphaTrends. It creates automatic AVWAPS for anchor points originating at the biggest gaps of the week, month, quarter and year. Currently, most standard VWAP tools allow users to place custom anchored VWAPs, but the routine of doing this for every equity being watched can become cumbersome. This tool makes that process multi-times easier. Considering that large gaps can represent a shift in market structure, this tool provides unique and immediate insight into how past daily price gaps can and have affected price action.
Settings
LABEL SETTINGS
Show Biggest Gap of Week | Month | Quarter : Toggle labels that identify the location of the biggest gaps for the selected time period.
Show Big Labels : Toggle labels from showing the date and gap size to just showing a single letter (W/M/Q/Y) designating the time period that the gap is from.
Hide All Labels : Turn labels off and on.
MAX VWAP LINES
Max Weekly | Monthly | Quarterly | Yearly Lines : How many VWAP lines, starting from today, should be shown for the specified time period. Max: 5
SHOW VWAP LINES
Show Weekly | Monthly | Quarterly | Yearly Lines : This feature allows you to remove lines for the specified time period.
Calculations
This indicator does not provide buy or sell signals. It is simply the VWAP calculated starting from an “anchor point”, or start time. It is calculated by the summation of Price x Volume / Volume for the period starting at the anchor point.
How to Interpret
According to Brian Shannon, VWAP is an objective measure of what the average trader has paid for a particular equity over a given period, and is the value that large institutional investors frequently use as a trade signal. Therefore, by definition, when the price is above an AVWAP, buyers are in control for that period of time. Likewise, if the price is below the AVWAP, sellers are in control for that period of time.
VWAPs that coincide with important events, such as FOMC meetings, CPI reports, earnings reports, have added significance. In many cases, these events can cause gaps to happen in day-to-day price movement, and can affect market structure going forward.
Practically speaking, price action can tend to change direction when a significant VWAP is hit, voiding buy and sell signals. Like moving averages, this indicator can show, in real-time, how a buy or sell signal should be interpreted. A significant AVWAP line is a point of interest, and can serve as strong support or resistance, because large institutions may be using those values for entries or exits. For a great analysis of how to use AVWAP, visit the AlphaTrends channel on Youtube here or you can buy Brian Shannon’s “Anchored VWAP” book on Amazon.
Other Usage Notes and Limitations
It's important for traders to be aware of the limitations of any indicator and to use them as part of a broader, well-rounded trading strategy that includes risk management, fundamental analysis, and other tools that can help with reducing false signals, determining trend direction, and providing additional confirmation for a trade decision. Diversifying strategies and not relying solely on one type of indicator or analysis can help mitigate some of these risks.
Additionally, in order to build the VWAP calculations, past data is needed that may not be available on shorter timeframes. The workaround is that for some longer-term VWAP lines on shorter timeframes, you may see less than the total of lines that you selected in settings. This is particularly the case with quarterly VWAP lines on the 5 minute timeframe for some equities.
Acknowledgements
This script uses the MarketHolidays library by @Protervus. Also, for debugging, the JavaScript-style Debug Console by @algotraderdev was invaluable. Special thanks to @antsmuzic for helping review and debug the script. And, of course, without Brian Shannon's books, videos, and interviews, this indicator would would not have happened.
|AG| VWAP ANALYSIS|AG| VWAP ANALYSIS
The volume-weighted average price (VWAP) is a trading benchmark used by traders that gives the average price security has traded throughout the day, based on both volume and price.
It is important because it provides traders with insight into both the trend and value of the security.
VWAP is calculated by adding up the $ traded for every transaction (price multiplied by the number of shares traded) and then dividing by the total shares traded.
A detailed formula and calculations could be found here:
-> fanf2.user.srcf.net
Actually, TradingView has an option for Anchored Vwap is a really good implementation for specific analysis.
The following script takes into account the #Time_Period_Change and plots the VWAP calculation.
The #Time_Period Available for this script are:
-> Day
-> Week
-> Monthly
-> Quarter
-> Year
1. The option that we have is the SOURCE:
-> HLC3 (High, Low, Close)/3 is the right way to calculate VWAP.
-> But I included other traditional options:
-> open, high, low, close, hl2, hlc3, ohlc4
2. The option of Turn ON/OFF VWAP
-> Timeframe selection:
-> All, 1. Day, 2. Week, 3. Month, 4. Quarter, 5. Year, 6. >=Weekly, 7. >=Montlhy
-> With this, we could select the time for plotting the VWAP. And some cool features such as >= that we are going to plot different Timeframes VWAP calculations.
-> Vwap Label:
-> We could select if show labels or not
3. The option of Turn ON/OFF Previous VWAP Level
-> VWAP of one selected Time Period is going to end with a final price this level most of the time is retested and gives us a good opportunity for entry into one trade.
Or could be used as Stop Loss.
-> Timeframe selection:
-> 1. Day, 2. Week, 3. Month, 4. Quarter, 5. Year, 6. >=Weekly, 7. >=Montlhy, 8. >=Daily
-> Factor
-> The factor options lead as increment the extension of the previous time period.
-> Example: D is the normal time period and with factor, we change from 1D to 2D in order to extend previous levels of VWAP.
->The Factor option is only available in 1. Day and 2. Week. With a Min Value of 1 and a Maximum Value of 50.
-> Labels:
-> We could select if show labels or not
4. The option of Turn ON/OFF Standard Deviation Bands
-> Label:
-> We could select if show labels or not
-> Timeframe selection:
-> 1. Day, 2. Week, 3. Month, 4. Quarter, 5. Year
5. The option of Turn ON/OFF Previous Standard Deviation
-> Timeframe selection:
-> None, 1. Day, 2. Week, 3. Month, 4. Quarter, 5. Year, 6. >=Weekly, 7. >=Montlhy, 8. Quarter & Year
-> STDEV LEVEL
-> Since there are different options for Standard Deviation I included 4 options
-> 1
-> 2
-> 3
-> User Selection
-> In this option we could select any NUMBER for STVDEV 0.25 of step.
-> Label:
-> We could select if show labels or not
6. The Lockback Setting
-> This Script also includes an option to only plot a certain amount of days back.
The main reason in order to have a more clear chart.
-> We could select between:
-> PLOT ALL
-> CUSTOM
-> If we select Custom Then we could select the Number of Days Back that is going to be plotted.
7. Color Theme
Here we select the color (Visual Desing)
-> Color Theme
-> Text Color
-> Here I use the recent input.color option added for TradingView making the color selection really simple
8. Time Period Highlighter
-> In this option, we could select one time period in order to plot one tiny background and identify the change in the time period.
-> Timeframe selection:
-> 1. Day, 2. Week, 3. Month, 4. Quarter, 5. Year
9. Label Offset
-> Finally, this option leads us to change the position of the labels into the X-axis by default 20.
This script has many options the combinations and the possibilities of making different analyses are bast.
Here some examples of what we could make:
DEFAULT SETTING:
PREVIOUS VWAP FOR TIME PERIOD >= WEEK
(work good as S&D levels)
PREVIOUS VWAP Week WITH A FACTOR OF 4
STANDARD DEVIATION BANDS - DAY
STANDARD DEVIATION BANDS - WEEK
STANDARD DEVIATION BANDS - MONTH
STANDARD DEVIATION BANDS - QUARTER
STANDARD DEVIATION BANDS - YEAR
PREVIOUS STANDARD DEVIATION - DAY SDTV 3
PREVIOUS STANDARD DEVIATION - WEEK SDTV 3
USING STANDARD DEVIATION BANDS - WEEK
WITH LOCKBACK -> PLOT ALL
WITH CUSTOM 30 DAYS
I think the options possibilities of analysis using #VWAP are truly awesome.
I like the relationship that one previous VWAP has with Standard Pivot Points.
Good Luck,
Anderson,
Kviatek - Multi Hour VWAPThis is an experimental script, that plots 24 VWAPs, each starting at a new hour and lasting for 24hours.
After using session anchored VWAPs i kept wondering if the price reacts to VWAPs that begin at periods lower than sessions.
Color of each VWAP changes upon crossovers of the following VWAP, giving us an understanding of trends and whether we're trading with the trend or against it.
By the nature of the script I recommend using it on low timeframes, 5 and 15-minute ones ideally.
Litzo VWAPA basic VWAP that shows both session and weekly VWAP in one.
Defaults: source HLC3
Session VWAP: Price above : Line=Green. Price Below: Line=Red
Weekly VWAP: Price above: Line=Blue, Price Below: Line=Orange
Advanced VWAP [CryptoSea]The Advanced VWAP is a comprehensive volume-weighted average price (VWAP) tool designed to provide traders with a deeper understanding of market trends through multi-layered VWAP analysis. This indicator is ideal for those who want to track price movements in relation to VWAP bands and detect key market levels with greater precision.
Key Features
Multi-Timeframe VWAP Bands: Includes multiple VWAP bands with different lookback periods (5, 10, 25, and 50), allowing traders to observe short-term and long-term price behavior.
Smoothed Band Options: Offers optional smoothing of VWAP bands to reduce noise and highlight significant trends more clearly.
Dynamic Median Line Display: Plots the median line of the VWAP bands, providing a reference for price movements and potential reversal zones.
VWAP Trend Strength Calculation: Measures the strength of the trend based on the price's position relative to the VWAP bands, normalized between -1 and 1 for easier interpretation.
In the example below we can see the VWAP Forecastd Cloud, which consists of multiple layers of VWAP bands with varying lookback periods, creating a dynamic forecast visualization. The cloud structure represents potential future price ranges by projecting VWAP-based bands outward, with darker areas indicating higher density and overlap of the bands, suggesting stronger support or resistance zones. This approach helps traders anticipate price movement and identify areas of potential consolidation or breakout as the price interacts with different layers of the forecast cloud.
How it Works
VWAP Calculation: Utilizes multiple VWAP calculations based on various lookback periods to capture a broad range of price behaviors. The indicator adapts to different market conditions by switching between short-term and long-term VWAP references.
Smoothing Algorithms: Provides the ability to smooth the VWAP bands using different moving average types (SMA, EMA, SMMA, WMA, VWMA) to suit various trading strategies and reduce market noise.
Trend Strength Analysis: Computes the trend strength based on the price's distance from the VWAP bands, with a value range of -1 to 1. This feature helps traders identify the intensity of uptrends and downtrends.
Alert Conditions: Includes alert options for crossing above or below the smoothed median line, as well as touching the smoothed upper or lower bands, providing timely notifications for potential trading opportunities.
This image below illustrates the use of smoothed VWAP bands, which provide a cleaner representation of the price's relationship to the VWAP by reducing market noise. The smoothed bands create a flowing cloud-like structure, making it easier to observe significant trends and potential reversal points. The circles highlight areas where the price interacts with the smoothed bands, indicating potential key levels for trend continuation or reversal. This setup helps traders focus on meaningful movements and filter out minor fluctuations, improving the identification of strategic entry and exit points based on smoother trend signals.
Application
Strategic Entry and Exit Points: Helps traders identify optimal entry and exit points based on the interaction with VWAP bands and trend strength readings.
Trend Confirmation: Assists in confirming trend strength by analyzing price movements relative to the VWAP bands and detecting significant breaks or touches.
Customized Analysis: Supports a wide range of trading styles by offering adjustable smoothing, band settings, and alert conditions to meet specific trading needs.
The Advanced VWAP by is a valuable addition to any trader's toolkit, offering versatile features to navigate different market scenarios with confidence. Whether used for day trading or longer-term analysis, this tool enhances decision-making by providing a robust view of price behavior relative to VWAP levels.
Origin VWAP: OVWAPDraw a VWAP support/resistance line anchored to the origin of the data series (like a daily VWAP, but from the beginning of time, never resetting).
Ideally the origin would be the first bar after the IPO. Tradingview (or your connected broker) doesn't always have a complete dataset, and in that case the OVWAP will be 'wrong', but converging to the correct value over time.
You can try to simulate this with the built-in VWAP indicator but it has several bugs and limitations. Firstly, the longest time period is century, but it is not 100 years, ie. a rolling century but the beginning of the century: 21 years ago. Secondly, even if your dataset is less than 21 years, if you use a lower time frame then the built-in VWAP's origin becomes the left-most loaded bar (about 5,000 bars ago) - it will draw the wrong value. The new Anchored VWAP drawing tool can't be used on lower time frames as it won't draw the line at all unless it sees the point where you anchored it.
You may want to cut 'n paste this code to use in some larger strategy. Unfortunately that's probably not possible. This script uses the 'resolution=' option of 'study()' set to '1W', so the whole script runs at the 1 week resolution. You would think it would be possible to instead use the 'security()' function to request data at the '1W' resolution, but it just resamples the current data set and so is limited to the rightmost 5,000 bars.
Look in the options to enable standard deviation lines.
(JS) VWAP BandsThis is a pretty simple script here - I took the VWAP and combined it with Bollinger Bands.
The bands can vary a lot based on chart resolution, so I wanted to make sure the resolution could be modified so you can use the resolution you're most comfortable with, or find the most success with.
Length:
Length of bars used to calculate the bands.
Standard Deviation Band 1-3:
There's three bands all together, this option allows you to modify the number of standard deviations per band.
VWAP Period:
This modifies when you want the VWAP to begin (Session, Week, Month, Year).
Offset:
This moves the VWAP and the bands the amount of bars you select, default is of course set to zero.
Source:
This selects the source of calculation, HLC/3 is the default VWAP calculation.
This is a pretty self explanatory script, I thought being able to see the standard deviations of the VWAP could prove to be useful - hope you all like it!
2 VWAP with selective timeframe and Display liked Ichimoku CloudSET:CKP
This is my first indicator of VWAP that I fork from the original script by public script "VWAP Periodic".
You can see that original script by type "VWAP Periodic" from "New" in "Pine Indicator".
The reason that I want to share my script is only one thing. That I need to discuss, Is this indicator can identify the trend and can use it to adapt to the "Buy-On-Dip" strategy?
Double VWAP can show you 2 lines of VWAP form different periods as my default is "Week" and "Month" timeframe.
Not at all, it fulfils with the background of the simple colour which can be defined Trend just liked "Ichimoku Cound" (Yes indeed, green is uptrend and red is downtrend).
I hope this indicator will help :)
Wishing you good health and get wealth too. :) :) :)
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สวัสดีครับมิตรสหายทุกท่าน อินดิเคเตอร์ที่ผมจะมานำเสนอมิตรสหายนี้ เป็นอินดี้ที่จะแสดงเส้น VWAP ได้ทั้งหมด 2 เส้น โดยท่านสามารถระบุ Timeframe ของ VWAP ที่ท่านต้องการได้เลยครับ
ก่อนอื่นผมของออกตัวก่อนครับ ว่าอินดิเคเตอร์นี้ผมโฟร์คมาจาก Original Public Script จากใน Pinescript แห่ง Trading View นี่ละครับ จากอินดิเคเตอร์ที่มีชื่อว่า "VWAP Periodic" ซึ่งท่านสามารถ กดดู Original Script ได้จากการกดที่
1) ไพน์อินดิเคเตอร์
2) กดเลือกคำว่า "ใหม่"
3) หาอินดิเคเตอร์ที่ชื่อว่า "VWAP Periodic"
้เท่านี้ท่านก็จะได้สคลิปต้นแบบที่ผมนำมาปรับใช้ได้ทันทีครับ
แต่กระนั้นแล้ว ผมจะเปิดโชว์สคริปของผมที่นำมาโฟร์คแล้วให้ทุกท่านได้รับชมกันด้านล่างในส่วนของโค้ดนะครับ
จุดประสงค์ของอินดิเคเตอร์นี้คือได้ฟังแนวคิดของ VWAP จากกัลยาณมิตรเทรดเดอร์ด้วยกันแล้วรู้สึกคลิ๊ก กับอินดิเคเตอร์นี้มากครับ
จะมีอะไรดีไปกว่าการได้รู้ต้นทุนราคาของแต่ละช่วงเวลา ทั้งไทม์เฟรมที่ใหญ่อย่างระดับ "เดือน (เส้นสีเขียว)" และ ระดับ "สัปดาห์ (เส้นสีแดง)" ได้พร้อมกันและดูแท่งเทียนเพื่อ "จับจังหวะซื้อ"(ในไทม์เฟรม ระดับ วัน) ที่ราคาต่ำกว่าค่า VWAP อีกเล่าอรชุน
จุดประสงค์หลักของอินดิเคเตอร์นี้ คือมีไว้เพื่อระบุเทรนด์โดยอาศัยการดูระยะห่างของเส้น VWAP ทั้ง 2 เส้นนี้ และระบุ "จุดกลับตัว" เมื่อก้อนเมฆสีเขียวและแดงเริ่มหายไป เสมือนกับอินดิเคเตอร์ "เมฆหมอกแห่งอิชิโมคุ"
นอกจากนี้เมื่อราคาหุ้นปรับตัวเป็นเทรนด์ขาขึ้นแล้ว เรายังสามารถซื้อเฉลี่ยขาขึ้น หรือใช้กลยุทธ์ Buy-on-Dip ได้อีกด้วยครับ โดยเฉลี่ยซื้อเมื่อราคาตกย่อมาอยู่ที่เส้นสีเขียว แบบนี้เป็นต้นครับ
ผมหวังว่าอินดิเคเตอร์นี้จะเป็นประโยชน์ให้แก่มิตรสหาย และกัลยาณมิตรเทรดเดอร์ทุกท่านนะครับ
ผมขออวยพรให้ทุกท่านมีความสุข ออกจากสนามแข่งหนูนี้ ได้รับอิสระภาพทางการเงิน และ "มีสุขภาพที่แข็งแรง" Work life balance ทุกท่านครับ
ขอบคุณครับ :) :) :)
(JS) Interchanging ATR & VWAP BandsOkay so this is pretty simple, but I think it's a great tool for day trading especially. I just took the default VWAP and Keltner channel scripts and combined them together.
The top option allows you to choose which one you'd prefer to use, "Use ATR instead of VWAP" .
The next options, "ATR Source", "KC Length", and "ATR Length" are the parameters for the ATR Bands.
"Number of Bands" allows you to choose how many bands you'd like to be on display (you can choose 1-8).
"Use Expoential MA" and "Band Style" are more default parameters from Keltner Channels used to set up the ATR Bands.
The "ATR Bands" are just stacked Keltner Channels separated by 1 ATR each, whereas the "VWAP Bands" are separated by standard deviation just like the default script from Trading View.
In these example chart, you can see the weekly VWAP with 8 deviation bands and 5 ATR bands with Keltner Channels.
Z-Score Triggered VWAP# Z-Score Triggered VWAP Indicator
This custom indicator combines Volume-Weighted Average Price (VWAP) with Z-Score analysis to create a dynamic, volume-sensitive trading tool. It's designed to identify significant volume events and adjust the VWAP calculation accordingly, providing traders with a more responsive and adaptive price average.
## Key Features:
1. **Z-Score Triggered VWAP**: The indicator calculates a new VWAP when the volume Z-Score crosses above a user-defined threshold, allowing it to adapt to significant volume events.
2. **Customizable Timeframes**: Users can set different timeframes for Z-Score calculation and VWAP plotting, enabling multi-timeframe analysis.
3. **Dynamic Bands**: The indicator plots two sets of bands around the VWAP, calculated using standard deviation multipliers, which can be customized by the user.
4. **Visual Cues**: New VWAP start points are marked with yellow circles, helping traders identify where calculations reset.
5. **Real-time Information**: The current Z-Score and VWAP start information are displayed on the chart, providing immediate context.
6. **Flexible Appearance**: Users can customize colors and choose whether to display bands, enhancing chart readability.
7. **Multiple Alert Conditions**: The indicator includes alert conditions for price crossovers of the VWAP and all band levels.
## How It Works:
1. The indicator calculates the volume Z-Score on a user-specified timeframe, comparing current volume to historical volume over a lookback period.
2. When the volume Z-Score exceeds the threshold, a new VWAP calculation is triggered, resetting the cumulative values used in the VWAP formula.
3. The VWAP is continuously calculated and plotted on the chart, along with upper and lower bands based on price deviation from the VWAP.
4. Traders can use the VWAP line and bands to identify potential support/resistance levels and overbought/oversold conditions.
5. The Z-Score trigger helps ensure that the VWAP remains relevant by adapting to significant changes in trading volume.
## Trading Applications:
- **Dynamic Support/Resistance**: Use the VWAP and bands as potential support and resistance levels that adapt to changing market conditions.
- **Trend Identification**: The slope of the VWAP can help identify the overall trend direction.
- **Mean Reversion**: Look for potential reversals when price reaches the outer bands.
- **Volume Analysis**: The Z-Score trigger points highlight periods of unusual volume, which may precede significant price moves.
- **Risk Management**: Use the bands as potential stop-loss or take-profit levels.
This indicator is suitable for traders who want a more dynamic alternative to traditional VWAP indicators, especially those trading in markets with variable volume patterns. It combines volume analysis with price action, providing a comprehensive view of market behaviour
Rolling VWAP [QuantraSystems]Rolling VWAP
Introduction
The Rolling VWAP (R͜͡oll-VWAP) indicator modernizes the traditional VWAP by recalculating continuously on a rolling window, making it adept at pinpointing market trends and breakout points.
Its dual functionality includes both the dynamic rolling VWAP and a customizable anchored VWAP, enhanced by color-coded visual cues, thereby offering traders valuable flexibility and insight for their market analysis.
Legend
In the Image you can see the BTCUSD 1D Chart with the R͜͡oll-VWAP overlay.
You can see the individually activatable Standard Deviation (SD) Bands and the main VWAP Line.
It also features a Trend Signal which is deactivated by default and can be enabled if required.
Furthermore you can find the coloring of the VWAP line to represent the Trend.
In this case the trend itself is defined as:
Close being greater than the VWAP line -> Uptrend
Close below the VWAP line -> Downtrend
Notes
The R͜͡oll-VWAP can be used in a variety of ways.
Volatility adjusted expected range
This aims to identify in which range the asset is likely to move - according to the historical values the SD Bands are calculated and thus their according probabilities displayed.
Trend analysis
Trending above or below the VWAP shows up or down trends accordingly.
S/R Levels
Based on the probability distribution the 2. SD often works as a Resistance level and either mid line or 1. SD lines can act as S/R levels
Unsustainable levels
Based on the probability distributions a SD level of beyond 2.5, especially 3 and higher is hit very seldom and highly unsustainable.
This can either mean a mean reversion state or a momentum slowdown is necessary to get back to a sustainable level.
Please note that we always advise to find more confluence by additional indicators.
Traders are encouraged to test and determine the most suitable settings for their specific trading strategies and timeframes.
Methodology
The R͜͡oll-VWAP is based on the inbuilt TV VWAP.
It expands upon the limitations of having an anchored timeframe and thus a limited data set that is being reset constantly.
Instead we have integrated a rolling nature that continuously calculates the VWAP over a customizable lookback.
To also keep the base utility it is possible to use the anchored timeframes as well.
Furthermore the visualization has been improved and we added the coloring of the main VWAP line according to the Trend as stated above.
The applicable Trend signals are also part of that.
The parameter settings and also the visualizations allow for ample customizations by the trader.
For questions or recommendations, please feel free to seek contact in the comments.
