Multi-Timeframe VWAP

Shows the Daily, Weekly, Monthly, Quarterly, and Yearly VWAP .

Also shows the previous closing VWAP , which is usually very near the HLC3 standard pivot for the previous time frame. i.e. The previous daily VWAP closing price is usually near the current Daily Pivot . Tickers interact well with the previous Daily and Weekly closing VWAP .

Enabling the STDEV bands shows 3 separate standard deviation levels, defaulted at 1, 2, and 3. The lookback period for the bands is always changing with each new bar, since the standard deviation is calculated from the current bar to the beginning of the period. This is different from bollinger bands , as the lookback is constant (usually 20 periods is the textbook default).

The STDEV bands interval of interest can be changed from Day (D), Week (W), Month (M), Quarter (Q), Year (Y).

Tickers tend to bounce very well on Daily, Weekly, and Yearly VWAP (Yes... Year). Use this code and observe the Year VWAP on several major symbols through the past few years and eyes will be opened.
Informacje o Wersji: Added in support to show the previous STDEV = 1 Closing values for each of the 5 VWAP time intervals.
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oh my god i am in love
I'm sure you've probably explained it already but can I use this to just view the 5min VWAP on the 1min chart?
mortdiggiddy PatrickKonig
@PatrickKonig, VWAP is virtually time independent, so yes.
Thanks mate..Finally all important vwaps in one indi...God bless you
brilliant indicator @mortdiggiddy. have you ever considered strategizing this / transforming it into into an algo / trading bot? how much more code would it take?
mortdiggiddy dahveed_miller
@dahveed_miller, not that much code. You can do backtests on the different VWAP levels for trades. Mostly I have found that different VWAPs (daily, weekly, monthly, etc) can be used for deciding "the trend" direction.

I have also found that pullback trades (going long after a pullback) while the price is traveling in the upper STD1 - STD2 band have a very high degree of success. These are basically momentum trades. Works the same way when going short.
+1 Odpowiedź
Thanks for this, I am very much looking forward to spending some time with it. I did have a question: I'm fairly new to FX trading, and I keep seeing conflicting opinions on the value of tick-based volume data that is provided by one's brokerage. I can certainly see both sides of it and was wondering if you had any thoughts -- as someone who has clearly thought a lot about volume and its place in a trader's toolbox.
+1 Odpowiedź
mortdiggiddy jlgriffiths
@jlgriffiths, Given that VWAP is somewhat time dependent because it uses the HLC3 * volume as the foundation of the calculation, there may be some differences when comparing VWAP on time based vs tick based charts.

For most items including the USD based FX pairs there are futures counterparts that generally behave * a little * better with VWAP than the raw spot FX. The same is true of the equity futures like ES1!, YM1!... vs. say SPX500USD or US30USD CFD counterparts.

Sometimes you will see E61! (Euro FX front month futures contract) hit daily, weekly, monthly, etc. VWAP * perfectly * but EURUSD will just miss its own respective VWAP.

As long as volume is proportional from one time instance to the next VWAP will perform correctly. FXCM or OANDA may register that this 1 hour candle had a volume of 5000 and that the next one had 2500. If the real Interbank values were more like 50,000 and 25,000 the VWAP calculation will be identical because the proportional volume is the same.
+1 Odpowiedź
does this work on thinkorswim?
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