|AG| VWAP ANALYSIS

14 dic 2020

|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/hermes/doc/antiforgery/stats.pdf

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,

20 dic 2020

Note di rilascio

-> Adding New Calculations

 EVWAP => Exponential Volume Weighted Average Price

 Volume-Volatility VWAP => Volume -Volatility Weighted Average Price or Double VWAP by Duyck all credits of this calculation

20 dic 2020

Note di rilascio

-> Minor Corrections

23 dic 2020

Note di rilascio

-> Code Corrections

26 dic 2020

Note di rilascio

                                                                                                         
-> Adding New Calculation Time Weighted Average Price or TWAP
  -> For this calculation working with ohcl4 and could be changed only manually in code, not in the input panel