mortdiggiddy

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.
リリースノート: Added in support to show the previous STDEV = 1 Closing values for each of the 5 VWAP time intervals.
リリースノート:
  • Updated to Pine V4.
  • Added lines and labels for current VWAP values.
  • Label size and opacity can be adjusted.
  • Lines are shown when the label offset > 0.
  • Line width and style can be adjusted.
  • Use the boolean check buttons to hide/show the labels/lines for each of the 5 VWAP types.
  • Use the boolean check box "Show Price" to hide/show all labels/lines.
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Thank you. Very sophisticated programming. I don't use MA's or oscillators, only the Vwap and Volume Profile, but I find these longer-term vwaps very helpful.

That said, my preferred ones are from taking the last significant swing high and lows and plotting a vwap from those dates.
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@CaperAsh, you’re welcome
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oh my god i am in love
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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.
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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.
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Hi. I love this script. But can you add an option to move the labels slightly further to the right?
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Hi @mortdiggiddy , I suppose you don't trade Crypto. Do you feel vwap (and other trend/range indicators) would be useful for Crypto market too (even though that market does not have a strict session opening/closing...)? Best.
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@Dageraad, I am not sure how valuable this would be for crypto. VWAP depends on good reporting of volume, or at least proportional volume cross sections.
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Thank you for a great tool! Can you also make it anchored or somehow allow to set a time, when there is another session? The default setups don't work on different markets.
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mortdiggiddy Gashnikob
@Gashnikob, There is a new anchored VWAP indicator provided by trading view. I can see about anchoring this to take advantage of the STDEV bands. One useful trick may be to anchor it to an ex-div or an earnings date.
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