The VWAP Oracle

27 paź 2025

Overview
The VWAP Oracle is a sophisticated overlay indicator that elevates VWAP (Volume Weighted Average Price) from a simple benchmark to an intelligent oracle for intraday and swing decisions. It offers flexible anchoring (rolling MVWAP, weekly, monthly, yearly) with session options, augmented by heuristic "AI/ML" elements for trend forecasting, dynamic S/R identification, and mean-reversion pullback strategies. A comprehensive dashboard delivers at-a-glance intel on trends, roles, touch history, and trade stats, complemented by visual zones, entry shapes, and alerts. Tailored for active traders in equities, forex, or futures, this iteration refines state handling and role logic for seamless execution on Pine v6.
Core Mechanics
Built around robust VWAP computations with layered analytics:

VWAP Framework: Primary line via user-selected type—Rolling (volume-weighted over lookback bars for agility), or Anchored (resets on week/month/year changes). HLC3 source standard; regular or 24h sessions. Toggles for secondary lines (e.g., weekly in orange for context).
Heuristic Enhancements: ATR safeguards (min tick fallback) normalize zones (± sensitivity * ATR for touches) and distances (e.g., 3x for setups). Linear regression over lookback derives slope (ATR-scaled for cross-asset comparability), flagging strong trends (> threshold) with rising/falling confirmation and volume >20-bar SMA.
Role & Proximity Engine: Scans enabled VWAPs globally—assigns nearest as support (price above, higher value prioritized) or resistance (below, lower prioritized), e.g., "Weekly" if closest. Tracks main VWAP touches for strength tiers (Weak <3, Moderate 3-4, Strong 5-7, Proven ≥8).
Pullback Strategy: In validated trends (slope + price move + volume), distant deviations (> ATR multiple) trigger "awaiting" state. Confirms entries on fresh touches with directional candles (close > open for longs), setting ATR-based stops (1x offset from VWAP) and targets (2x extension). Manages to hit (success tally) or breach (reset); daily/anchor resets clear stats.

Outputs: Trend-colored VWAP (blue/red in strong regimes, gray in range), role-tinted zones (green/red fill), triangles for entries, labels for outcomes.
Why This Mashup Adds Value & Originality
Traditional VWAPs are passive lines; multi-anchor plots add clutter without synthesis. Here, the fusion of anchored/rolling VWAPs with regression-normalized "AI" slope (volatility-adjusted for invariance) and touch-based strength scoring forms a predictive layer—e.g., "Proven" supports from 8+ interactions signal higher-probability bounces than raw levels. Stateful pullback logic (distant setup → touch entry → managed exit) with explicit breach cancels differentiates it from basic deviation oscillators, while the 11-row dashboard (trend icons, nearest roles, live success %) consolidates what would take multiple indicators. Global role reassignment (no function var limits) ensures accuracy, creating a unified "oracle" for confluence without redundancy—ideal for evolving static VWAP into adaptive decision support.
How to Use

Configuration: Overlay on chart. VWAP: Pick Rolling for scalps (252-bar default); enable weeklies for bias. AI: ATR 14, sensitivity 0.5 (tighter for precision). Trade: 3x min distance setups, 2x/1x target/stop. Visuals: Dashboard top-right, zones on, signals toggled.
Dashboard Readout (semi-opaque black, size-adjustable):

Header/Type: "The VWAP Oracle" + active (e.g., "Rolling (MVWAP)").
Trend: 🔵/🔴 Strong or ⚪ Range—align trades accordingly.
Nearest S/R: "Main" support (green) for bounces; "Monthly" resistance (red) for fades.
Strength/Role: "Strong (5 touches)"; "Support" for current main bias.
Position: "🔄 Pullback Setup" flags opportunity; "⏳ Awaiting" pre-entry.
Success/Setup: "80% (4/5)"; 🟢 Long Active if running; volume "✅ Strong" validates.


Execution: Strong bull + distant alert → Long on green triangle touch → Trail to target label (✓) or stop (✗). Use zones for invalidation; alerts cover setups/hits. Suits 15m-4H on majors like NAS100.
Pro Tips: Backtest resets (daily intraday); tweak slope threshold (1.5) for noise.

Limitations & Disclaimer
Touches and entries confirm on close, introducing minor lag; rolling VWAP smooths but may trail sharp moves. Slope can oscillate in transitions—add manual filters. Stats reset periodically (e.g., daily), so sample sizes vary; "success" is backward-looking. No auto-sizing—cap risk at 1% equity. v6-optimized, but verify on live data. Not advice; simulate trades, as history ≠ future. Feedback welcome in comments.

12 sty

Informacje o Wersji

Malama's VWAP Oracle is a sophisticated execution system that transforms standard Volume Weighted Average Price analysis into a predictive "Oracle" for institutional market flow. By fusing Rolling MVWAP (Moving Volume Weighted Average Price) with Anchored Multi-Timeframe logic, this tool acts as a context-aware engine that identifies high-probability reversals and continuation plays.

Designed for active equities, futures, and forex traders, this proprietary script is now open to the public, offering a closed-source, institutional-grade decision engine.

🔱 What's New (Upgrade from Legacy)
For traders migrating from the previous "Makenlegacy" version, the Oracle engine has been completely rebuilt to offer Universal Functionality:

Dynamic Main Line (The Big Change): You are no longer locked to the "Daily Session" VWAP. You can now select Rolling (MVWAP), Anchored Weekly, or Anchored Yearly as your primary trend line. This allows Swing Traders to use the same "Sniper" logic as Day Traders.

Rolling VWAP Engine: Added a customizable "Rolling" mode (default 252 bars), preferred by institutional algorithms because it eliminates arbitrary daily resets and provides a fluid trend baseline.

Session Control: Added a "Full 24h" vs. "Regular" toggle. Crypto and Futures traders can now force the calculation on 24-hour data even if their chart view is set to regular hours.

Smart Visualization: The script now automatically hides secondary lines (like the Weekly VWAP) if you select them as your Main VWAP to prevent chart clutter.

⚙️ Key Features
1. The Sniper Strategy Core
The Oracle features a built-in logic engine to catch precision entries:

Trend Filter: Validates macro bias (default 200 EMA).

Kill Zone: Identifies the specific price band (0.15% deviation) where reactions are probable.

Confirmation Triggers: Automatically detects Wicks and Engulfing candles inside the zone.

Visual Signals: Plots clearly labeled BUY and SELL tags on the chart.

2. Smart Context Filtering
The Oracle scrubs the chart of bad data:

Lunch Chop Filter: Automatically grays out the background during low-volume hours (11:30-13:30) to prevent overtrading.

Pinch Detection: Turns the VWAP line Yellow when bands compress, signaling a breakout is imminent.

RSI Divergence: Plots diamond markers to confirm hidden momentum shifts.

3. The Oracle Dashboard
A comprehensive 13-row Head-Up Display (HUD) provides instant telemetry:

VWAP Type & Session: Displays exactly which mode (Rolling/Daily) and session (Reg/24h) is active.

Anchored Deviation: Real-time Sigma (σ) readings to identify overextended price.

ML Score: A proprietary momentum score combining Price Position, Volume, and Volatility.

Status Monitor: Live updates on trade states (e.g., "WAITING BREAK," "LUNCH PAUSE," or "PINCHED").

🛡️ How It Works
Select Your Mode: Choose "Rolling" for fluid action or "Daily" for session levels.

Check the Dashboard: Ensure Trend aligns with your bias and ML Score supports momentum.

Wait for the Setup: The script scans for price entering the "Reaction Zone."

Execute on Signal: Enter when a BUY or SELL label appears.

Pro Tip: Use the "Wait for Candle Break" setting to filter out fake-outs.

🎨 Visuals
Dynamic VWAP: Blue (Standard) or Yellow (Pinch).

Anchored VWAP: Secondary White line for higher-timeframe context.

Bands: Semi-transparent bands for standard deviation limits.

Signals: Clear text labels for entry timing.

Disclaimer: This tool is for educational purposes only. Trading involves significant risk. Always backtest strategies and manage risk appropriately.