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VWAP, Vol & RTH Stats (Custom Layout)VWAP, Volume & RTH Stats Box This indicator displays a data table in the top-right corner of the chart designed for intraday liquidity analysis. It fetches the true "Daily" volume to ensure accuracy regardless of the timeframe used. It specifically isolates Regular Trading Hours (RTH) to calculate the daily range performance (Max Squeeze % and Max Drop %), filtering out pre-market noise to show the true strength of the move. Includes full customization for dimensions, margins, and colors.
Indicatore Pine Script®
di Giac94
Triple Anchored Volume Weighted Average Price [JustinPrime]This indicator provides three separate Volume Weighted Average Price (VWAP) calculations, each anchored from different key points on the chart: High Anchored VWAP: Resets from the highest price reached since the start date. Low Anchored VWAP: Resets from the lowest price since the start date. Start Date VWAP: Calculated from the trading data beginning at the user-defined start date. Features: Selectable Timeframe: Choose from timeframes like 1 minute, 5 minutes, 15 minutes, 1 hour, daily, and weekly. Custom Start Date: Set a specific start date for the VWAP calculations. Source Data: Uses high, low, and close prices (HLC3) for calculations. How to Use: Adjust the start date to focus on significant market periods or events. Differentiate each VWAP with unique colors for clarity.
Indicatore Pine Script®
di JustinPrime
2
AVWAP Band✨ AVWAP Band by Mars ✨ The AVWAP Band indicator eliminates the guesswork of selecting multipliers for your VWAP analysis. Instead of using arbitrary deviations, this indicator provides three distinct VWAP lines calculated from different price points - giving you a complete VWAP band with just one tool. What Makes This Different From Standard VWAP Traditional VWAP indicators use multipliers (1.0, 2.0, 3.0) which require constant adjustment across different markets and timeframes. The AVWAP Band simplifies this by using natural price points: Low-based VWAP (green) - acts as support High-based VWAP (red) - acts as resistance HL2-based VWAP (gray) - acts as the centerline Key Features Reduces cognitive load - no more guessing which multiplier to use User-selected anchor point (click to set date) Customizable colors and line styles Built-in alerts for all crossover/crossunder events Visual anchor point marker How To Use It After adding the indicator to your chart, you have to click on your anchor point Watch for price reactions at each VWAP line Look for crossovers between price and the different VWAPs Use the HL2 VWAP as a centerline to determine overall bias Trading Applications Support/Resistance levels for intraday trading Mean-reversion signals when price touches band extremes Trend confirmation when price holds above/below centerline Range identification between upper and lower bands Volatility assessment based on band width Customization Options Toggle each VWAP line individually Adjust line colors to match your chart theme Control line width and transparency Enable/disable anchor point label This indicator simplifies VWAP analysis by giving you natural price-based bands without the need to adjust multipliers across different markets. The high, low, and HL2 sources create a complete VWAP picture with just one tool. VIDEO Feedback and suggestions welcome!
Indicatore Pine Script®
di marsrides
3
EVWAPThis indicator plots two Volume-Weighted Average Price (VWAP) lines anchored to earnings events: EVWAP (Earnings Day): Resets VWAP on the day of the earnings release. EVWAP (Post-Earnings Day): Resets VWAP on the first trading day after earnings. These earnings-based VWAPs help identify average price zones impacted by earnings, providing insight into post-earnings support/resistance and potential trend shifts. Works on all timeframes. Useful for traders analyzing price reactions around earnings reports.
Indicatore Pine Script®
di SelfUnmade
1
MultiWAPThe VWAP tracks the average price, giving weight to each candle based upon its' relative volume. In other words, high-volume candles move the VWAP faster than low-volume candles. On a good day, market maker: -Buys the dip -Pumps past resistance, causing bullish FOMO -Sells into the bullish FOMO, causing bearish FOMO -Buys the dip (rinse and repeat) By default, MultiWAP begins at the first visible bar. Range low/high - tracks the most recent high/low Upper VWAP - tracks retail's average buy price (MM is selling) Lower VWAP - tracks MM's average buy price (MM is buying) If price closes below the lower VWAP or the range low, the lower VWAP and range low are reset. If price closes above the upper VWAP or the range high, the upper VWAP and range high are reset. Resets are indicated by the dots. Resetting either VWAP moves it close to last price, making it easy to breach again. A down-trend that lasts many bars will produce a string of green dots. When the accumulation phase ends, price pulls away from the lower VWAP, so it stops resetting. The ABSENCE of green dots tells you that we're in the markup phase/up-trend. An up-trend that lasts many bars will produce a string of red dots. When the distribution phase ends, price pulls away from the upper VWAP, so it stops resetting. The ABSENCE of red dots tells you that we're in the markdown phase/down-trend. By default, the net result is two VWAP's that automatically anchor themselves to the most recent, significant, and visible, high and low. Usage: For any timeframe, I recommend starting zoomed way out. Find the last green dot and drop an "Anchored VWAP" there. Now, zoom in until that candle is no longer visible. Find the last green dot and drop an anchored VWAP there. Continue doing so until you notice the lower VWAP getting reset to basically the same place. This works the same, in reverse, during down-trends.
Indicatore Pine Script®
di Kerbal
1
Spot v Perp aggrRollingVWAPThis indicator is a rolling VWAP that shows an aggregated BTC VWAP for both spot markets and futures markets Spot VWAP is shown in BTC orange while perp VWAP is shown in blue This is useful for identifying which market (spot or perps) is pushing trending moves If the spot VWAP is more closely following the trend, then spot is pushing the move If the perp VWAP is more closely following the trend, then perps are pushing the move e.g. In the following picture you can see that the move down was followed much more closely by the spot VWAP, therefore you can assume that the move is being pushed my spot
Indicatore Pine Script®
di TraderKalis
1
[VJ] Mega Supertrend for IntradayThis is a simple intraday strategy for working on Stocks or commodities based out on Super Trend and intraday's best friend - VWAP . You can modify the start time and end time based on your timezones. Session value should be from market start to the time you want to square-off Important: The end time should be at least 2 minutes before the intraday square-off time set by your broker Comment below if you get good returns Strategy: Tweaked Super trend with VWAP Indicators used : Super trend is simple and easy to use indicator and gives a precise reading about an on going trend.It is built with two parameters, namely period and multiplier.The Buy and Sell signal modifies once the indicator tosses over the closing price. When the Super trend closes above the Price, a Buy signal is generated, and when the Super trend closes below the Price, a Sell signal is generated. In this case we use it only for direction . Multiplier is a vital input for Super trend. If the multiplier value is too high, then lesser number of signals is made. Volume is important as we don’t want to get stuck with a stock which has few takers, even if you think it is priced attractively. Thus, the VWAP was created to take into account both volume as well as Price so that the potential trader would make the trading decision or not. In simple terms, the Volume Weighted Average price is the cumulative average price with respect to the volume Buying/Selling when the closing price starts moving up/down and farther from the VWAP, there is pressure among the traders to sell/buy, a general belief kicks in that it might be that the stock is overvalued/undervalued .This is the time when we couple the Super trend to take our entries Usage & Best setting : Choose a good volatile stock and a time frame - 5m. ST multiplier : 3 There is stop loss and take profit that can be used to optimise your trade The template also includes daily square off based on your time.
Strategia Pine Script®
di vikris
2
Custom_AVWAP_Harpal's-AnchorsAutomated VWAP Indicator written in PineScript for TradingView charts. Automatically Anchored at key swing H/L levels extracted from price and volume time-series. Indicator takes one Argument, "LookBack (# of Periods)", and then for a given security finds three key anchors, the highest and lowest values in the 'hlc3' column (average of high low and close on the daily timeframe) in the last 'LookBack' # of days. The script displays up to three color coded time-series corresponding to a trailing Volume Weighted Average Price beginning at the anchor dates corresponding to the anchor points listed above.
Indicatore Pine Script®
di ak2k2
5
ZenAlgo - LevelsThis script combines multiple anchored Volume-Weighted Average Price (VWAP) calculations into a single tool, providing a continuous record of past VWAP levels and highlighting when price has tested them. Typically, VWAP indicators show only the current VWAP for a single anchor period, requiring you to either keep re-anchoring manually or juggle multiple instances of different VWAP tools for each timeframe. By contrast, this script automatically tracks both the ongoing VWAP and previously completed VWAP values, along with real-time detection of “tests” (when price crosses a particular VWAP level). It’s especially valuable for traders who want to see how price has interacted with VWAP over several sessions, weeks, or months—without switching between separate indicators or manually setting anchors. Below is a comprehensive explanation of each component, why multiple VWAP lines working together can be more informative than a single line, and how to adjust the script for various markets and trading styles: Primary VWAP vs. Historical VWAP Lines - Standard VWAP indicators typically focus on the current line only. This script also calculates a primary VWAP, but it “locks in” each completed VWAP value when a new time anchor is detected (e.g., new weekly bar, new monthly bar, new session). As a result, you retain an ongoing history of VWAP lines for every completed anchored period. This is more powerful than manually setting up multiple VWAP tools—one for each desired timeframe—because everything is handled in a single script. You avoid chart clutter and the risk of forgetting to reset your manual VWAP at the correct bar. Why Combine Multiple Anchored VWAP Lines in One Script? - Viewing several anchored VWAP lines together offers synergy . You see not only the current VWAP but also previous ones from different sessions or months, all within the same chart pane. This synergy becomes apparent if multiple historical VWAP lines cluster near the same price level, indicating a potentially significant zone of volume-based support or resistance. Handling this manually would involve repeatedly setting separate VWAP indicators, each reset at specific points, which is time-consuming and prone to error. In this script, the process is automated: as soon as the anchor changes, a completed VWAP line is stored so you can observe how price eventually reacts to it, repeatedly or not at all. Automated “Test” Detection - Once a historical VWAP line is set, the script tracks when price crosses it in subsequent bars. If the high and low of a bar span that line, the script marks it in red (both the line and its label). It also keeps a counter of how many times each line has been tested. This method goes beyond a simple visual approach by quantifying the retests. Because all these lines are created and managed in one place, you don’t have to manually label the lines or check them one by one. Advantages Over Manually Setting Multiple VWAPs You save screen space: Instead of layering several VWAP indicators, each with unique settings, this single script plots them all on one overlay. Automation: When a new anchor period begins, the script “closes out” the old VWAP and starts a new one. You never need to remember to reset it manually. Retest Visualization: The script not only draws each line but also changes color and updates the label automatically if a line gets tested. Doing this by hand would be labor-intensive. Unified Parameters: All settings (e.g., array size, max distance, test count limit) apply uniformly. You can manage them from one place, instead of configuring multiple separate tools. Extended Insight with Multiple VWAP Lines Since VWAP reflects the volume-weighted average price for each chosen period, historical lines can show zones where the market had a fair-value consensus in previous intervals. When the script preserves these lines, you see potential support/resistance areas more distinctly. If, for instance, price continually pivots around an old VWAP line, that may reveal a strong volume-based level. With several older VWAP lines on the chart, you gain an immediate sense of where these volume-derived averages have appeared and how price reacted over time. This wider perspective often proves more revealing than a single “current” VWAP line that does not reflect previous anchor sessions. Handling of Illiquid Markets and Volume Limitations VWAP is inherently tied to volume data, so its reliability decreases if volume reporting is missing or if the asset trades with very low liquidity. In such cases, a single large trade might momentarily skew the VWAP, resulting in “false” test signals when the high/low range intersects an abnormal price swing. If you suspect the data is incomplete or the market is unusually thin, it’s wise to confirm the validity of these VWAP lines before using them for any decision-making. Additionally, unusual market conditions—like after-hours trading or sudden high-volatility events—may cause VWAP to shift quickly, setting up multiple lines in a short time. Key User-Configurable Settings Hide VWAP on Day timeframe and above : Lets you disable the primary VWAP plot on daily or higher timeframes for a cleaner view. Anchor Period : Select from Session, Week, Month, Quarter, Year, Decade or Century. Controls how frequently the script resets and preserves the VWAP line. Offset : Moves the current VWAP line by a specified number of bars if you need a shifted perspective. Max Array Size : Caps how many past VWAP lines the script will remember. Prevents clutter if you’re charting very long histories. Max Distance : Defines how far back (in bar index units) a line is kept. If a line’s start bar is older than this threshold, it’s removed, keeping the chart uncluttered. Max Red Labels : Limits the number of tested (red) VWAP lines that appear. If price tests a large number of old lines, only the newest red labels remain once you hit the set limit. Workflow Overview As soon as a new anchor period begins (e.g., a new weekly candle if “Week” is chosen), the script ends the current VWAP and stores that final value in its internal arrays. It creates a dotted line and label representing the completed VWAP, and keeps track of whether it has been tested or not. Subsequent bars may then cross that line. If a bar’s high/low includes the line’s value, it’s flagged as tested, labeled red, and a test counter increases. As new anchored periods come, old lines remain visible—unless they fall outside your maxDistance or you exceed the maximum stored line count. Real-World Benefits Combining multiple VWAP lines—ranging, for example, from session-based lines for intraday perspectives to monthly or quarterly lines for broader context—provides a layered view of the volume-based fair price. This can help you quickly spot zones where price repeatedly intersects old VWAPs, potentially highlighting where bulls or bears took action historically. Because this script automates the management of all these lines and flags their retests, it removes a great deal of repetitive manual work that would typically accompany multiple, separate VWAP indicators set to different anchors. Limitations & Practical Use As with any volume-related tool, the script depends on reliable volume data. Assets trading on smaller venues or during illiquid periods may produce spurious signals. The script does not signal buy or sell decisions; rather, it helps visually map out where volume-weighted averages from previous periods might still be relevant to market behavior. Always combine the insight from these historical VWAP lines with your existing analytical approach or other technical and fundamental tools you use. Conclusion This script unifies past and present VWAP lines into one overlay, automatically detecting new anchor resets, storing the final VWAP values, and indicating whenever old lines are retested by price. It offers synergy through the simultaneous display of multiple historical VWAP lines, making it quicker and easier to detect potential support/resistance zones and better reflect changing market volumes over time. You no longer need to manually create, configure, or reset multiple VWAP indicators. Instead, the script handles all aspects of line creation, retest detection, and clutter management, giving you a robust framework to observe how historical VWAP data aligns with current price action. By understanding the significance of multiple anchored VWAP lines, you can assess market structure from multiple angles in a single view. As always, ensure you confirm the reliability of the volume data for your particular asset and use these lines in conjunction with other analyses to form a well-rounded perspective on current market behavior.
Indicatore Pine Script®
di ZenAlgo_Official
1
VWAP Diario + VWAP 08:00-12:00 ventanas NYWhat it plots Daily VWAP (main line) Anchored to the current trading day and only visible between 19:00 and 16:50 New York (UTC-5) to prevent any “ghost” segments. Dynamic color: turns green when price closes above (bullish bias) and red when price closes below (bearish bias). Optional standard-deviation/percentage bands (off by default). 08:00–12:00 VWAP (morning line) Resets at 08:00 NY and shows until 12:00 NY only. Acts as a morning value guide for early direction and pullbacks. Clean rendering: Both lines use strict time masks and line breaks, so nothing is drawn outside their windows. You can toggle either line on/off. How to Read It Daily VWAP ≈ “fair value” of the whole session; use it for directional bias and confluence. 08:00–12:00 VWAP ≈ “fair value” of the morning; helps refine entries during the open. Alignment: Bullish environment: price and 08–12 VWAP sit above the Daily VWAP. Rotation/mixed: price oscillates between the two lines. Bearish: price and 08–12 VWAP sit below the Daily VWAP. Two Mechanical Playbooks Recommended charts: 1-minute for entries, 5-minute for context on NQ/Nasdaq100. Primary execution window: 09:30–12:00 NY. A) Trend Play (Break → Pullback to VWAP) Goal: Join the day’s impulse with value confirmation. Rules Bias filter before 09:30 Bullish: 08–12 VWAP ≥ Daily VWAP; Bearish: 08–12 ≤ Daily. First push 09:30–09:45 breaks the initial range high (bull) or low (bear). Entry (pullback into confluence) Wait for a pullback that tags/wicks the 08–12 VWAP or the Daily VWAP in the direction of bias. Go long on bullish rejection (close back above); short on bearish rejection. Stop-loss Beyond the rejection wick or the touched VWAP (e.g., 1–1.5× ATR(1m/5m)). Take-profit TP1 = 1R (scale 50%); TP2 = 2–3R or day extremes (HOD/LOD). If bands are on, consider exiting on a clean tag of the opposite band. Management Move to breakeven at 1R; exit early if price reclaims the opposite side of Daily VWAP. Avoid when the morning is choppy and price sits glued between the two VWAPs. B) Mean-Reversion Play (Controlled Reversal at Daily VWAP) Goal: Capture a return to value after an overstretch and a clean rejection. Rules Stretch condition Fast move away from Daily VWAP (3–5 bars) or beyond Band #1/#2 if enabled. Rejection signal at Daily VWAP A bar that touches Daily VWAP and closes back on the opposite side (pin/engulfing/strong close). Entry Long if a selloff rejects above Daily VWAP. Short if a rally rejects below Daily VWAP. Stop-loss Just beyond the rejection wick or ~1× ATR(1m). Take-profit TP1 = 1R or the 08–12 VWAP; TP2 = 2–3R or a prior consolidation. Management If price crosses and holds on the other side of Daily VWAP (2 closes), cut the idea. Avoid during high-impact news or when the session is strongly trending (prefer Play A). Quality Filters Volatility: Ensure ATR(14, 1m) or the 09:30–09:45 range exceeds your minimum. Spread/liquidity: Skip abnormal spreads at the open. News: If a red-level release is imminent, wait 2–3 bars after the print. Coherence: Prefer trades when 08–12 and Daily VWAP don’t conflict. Risk & Trade Management Risk per trade: 0.25%–0.5% account risk. Daily cap: 2–3 trades; stop for the day at –1R to –1.5R. No over-reentry: Don’t chase if price is sitting exactly on a VWAP; wait for separation. Log your metrics: setup type (A/B), confluences, distance to VWAP at trigger, time, R multiple. Quick Pre-Trade Checklist Bias aligned? (price vs Daily and 08–12 VWAP) Choose Trend or Mean-Reversion play Clear confluence at the VWAP line? Realistic stop (≤ ~1.5× ATR 1m)? Any imminent news? TP plan: TP1 = 1R → BE, TP2 = 2–3R.
Indicatore Pine Script®
di AlanBartonRevival
VWAP CALENDARThe VWAP CALENDAR indicator plots up to 20 anchored Volume-Weighted Average Price (VWAP) lines on your chart, each starting from a user-defined date and time (e.g., April 20, 2024). Designed for simplicity, it helps traders visualize VWAPs for key events or dates, with customizable labels and colors. The indicator is optimized for crypto markets (e.g., BTC/USD) but works with any symbol providing volume data. Features: Multiple VWAPs: Configure up to 20 independent VWAPs, each with a custom anchor date and time. Dynamic Labels: Labels update in real-time, aligning precisely with each VWAP line’s price level, positioned to the right of the chart for clarity. Customizable Settings: Adjust label text (e.g., “Event A”), line colors, line widths (1–5 pixels), text colors, and text sizes (8–40 points, default 22). Bubble or No-Background Labels: Choose between bubble-style labels (with colored backgrounds) or plain text labels without backgrounds. Timeframe Support: Accurate on daily, 4-hour, 1-hour, and 30-minute charts for anchors within ~1.5 years (e.g., April 20, 2024, from August 2025). Limitations: VWAP accuracy for anchors like April 20, 2024 (~477 days back) is reliable on 1-hour and larger timeframes. Below 30-minute (e.g., 15-minute, 24-minute), VWAPs may start later or be unavailable due to TradingView’s 5,000-bar historical data limit. For distant anchors, use 4-hour or daily charts to ensure accuracy. Requires sufficient chart history (e.g., premium account or deep exchange data) for older anchors on 1-hour or 30-minute charts. Usage Notes: Set anchor dates via the indicator settings (e.g., “2024-04-20 00:00”). Enable/disable individual VWAPs as needed. Zoom out to load maximum chart history for best results, especially on 1-hour or 30-minute timeframes. Ideal for crypto symbols with continuous trading data, but verify data availability for other markets. Disclaimer: This is a free indicator provided as-is
Indicatore Pine Script®
di fragilety
VWAP + Engulfing CandlesHere’s a clear breakdown of what your merged Pine Script does: --- ### 📌 **Indicator Name: VWAP + Engulfing Candles** * This custom TradingView indicator **plots VWAP (Volume Weighted Average Price)** along with **up to 3 dynamic bands** around it. * It also **detects Bullish and Bearish Engulfing Candlestick Patterns**, displaying visual markers and triggering alerts. --- ## 🔹 **1. VWAP Section** ### ➤ **Main Features:** * Calculates VWAP anchored to a **customizable time period**: * Options: Session, Week, Month, Quarter, Year, Decade, Century, Earnings, Dividends, Splits. * Optional **hiding of VWAP on Daily/Weekly/Monthly charts** to reduce clutter. ### ➤ **Bands Around VWAP:** * Up to **3 bands** can be plotted above and below the VWAP. * Bands can be based on either: * **Standard Deviation** of the price from VWAP (volatility-based), or * **Percentage** deviation from VWAP (fixed range). * You can control: * Whether each band is shown * Band width via multiplier (e.g., 1x, 2x, 3x) ### ➤ **Plot Colors:** * VWAP: Blue * Bands: Green (1x), Olive (2x), Teal (3x) * Band fill areas are semi-transparent. --- ## 🔹 **2. Engulfing Candlestick Pattern Detector** ### ➤ **Bullish Engulfing Criteria:** * Current candle opens **below** or **equal to** the close of the previous candle. * Current candle opens **below** the previous candle's open. * Current candle closes **above** the previous candle’s open. ### ➤ **Bearish Engulfing Criteria:** * Current candle opens **above** or **equal to** the close of the previous candle. * Current candle opens **above** the previous candle’s open. * Current candle closes **below** the previous candle’s open. ### ➤ **Visual Signals:** * 🔼 Green triangle **below bar** for **Bullish Engulfing** * 🔽 Red triangle **above bar** for **Bearish Engulfing** ### ➤ **Alerts:** * The script includes two alert conditions: * One for Bullish Engulfing * One for Bearish Engulfing These alerts can be used to automate notifications for potential reversal points. --- ## 🛠️ **Use Cases** * **Trend following or reversal spotting**: VWAP helps identify the average trading price; engulfing patterns often signal reversals. * **Intraday and swing trading**: Works best on timeframes like 5m, 15m, 1h for intraday, or 4h, 1D for swing. * **Mean reversion strategies**: Bands help spot overbought/oversold areas relative to VWAP.
Indicatore Pine Script®
di jaydipali622018
VWAP Kalman FilterOverview This indicator applies Kalman filtering techniques to Volume Weighted Average Price (VWAP) calculations, providing a statistically optimized approach to VWAP analysis. The Kalman filter reduces noise while maintaining responsiveness to genuine price movements, addressing common VWAP limitations in volatile or low-volume conditions. Technical Implementation Kalman Filter Mathematics The indicator implements a state-space model for VWAP estimation: - Prediction Step: x̂(k|k-1) = x̂(k-1|k-1) + v(k-1) - Update Step: x̂(k|k) = x̂(k|k-1) + K(k) - Kalman Gain: K(k) = P(k|k-1) / (P(k|k-1) + R) Where: - x̂ = estimated VWAP state - K = Kalman gain (adaptive weighting factor) - P = error covariance - R = measurement noise - Q = process noise - v = optional velocity component Core Components Dual VWAP System - Standard VWAP: Traditional volume-weighted calculation - Kalman-filtered VWAP: Noise-reduced estimation with optional velocity tracking - Real-time divergence measurement between filtered and unfiltered values Adaptive Filtering - Process Noise (Q): Controls adaptation to price changes (0.001-1.0) - Measurement Noise (R): Determines smoothing intensity (0.01-5.0) - Optional velocity tracking for momentum-based filtering Multi-Timeframe Anchoring - Session, Weekly, Monthly, Quarterly, and Yearly anchor periods - Automatic Kalman state reset on anchor changes - Maintains VWAP integrity across timeframes Features Visual Components - Dual VWAP Lines: Compare filtered vs. unfiltered in real-time - Dynamic Bands: Three-level deviation bands (1σ, 2σ, 3σ) - Trend Coloring: Automatic color adaptation based on price position - Cloud Visualization: Highlights divergence between standard and Kalman VWAP - Signal Markers: Crossover and band-touch indicators Trading Signals - VWAP crossover detection with Kalman filtering - Band touch alerts at multiple standard deviation levels - Velocity-based momentum confirmation (optional) - Divergence warnings when filtered/unfiltered values separate Information Display - Real-time VWAP values (both standard and filtered) - Trend direction indicator - Velocity/momentum reading (when enabled) - Divergence percentage calculation - Anchor period display Input Parameters VWAP Settings - Anchor Period: Choose calculation reset period - Band Multipliers: Customize deviation band distances - Display Options: Toggle standard VWAP and bands Kalman Parameters - Length: Base period for calculations (5-200) - Process Noise (Q: Higher values increase responsiveness - Measurement Noise (R): Higher values increase smoothing - Velocity Tracking: Enable momentum-based filtering Visual Controls - Toggle filtered/unfiltered VWAP display - Band visibility options - Signal markers on/off - Cloud fill between VWAPs - Bar coloring by trend Use Cases Noise Reduction Particularly effective during: - Low volume periods (pre-market, lunch hours) - Volatile market conditions - Fast-moving markets where standard VWAP whipsaws Trend Identification - Cleaner trend signals with reduced false crosses - Earlier trend detection through velocity component - Confirmation through divergence analysis Support/Resistance - Filtered VWAP provides more stable S/R levels - Bands adapt to filtered values for better zone identification - Reduced false breakout signals Technical Advantages 1. Optimal Estimation: Mathematically optimal under Gaussian noise assumptions 2. Adaptive Response: Self-adjusting to market conditions 3. Predictive Element: Velocity component provides forward-looking insight 4. Noise Immunity: Superior noise rejection vs. simple moving average smoothing Limitations - Assumes linear price dynamics - Requires parameter optimization for different instruments - May lag during sudden volatility regime changes - Not suitable as standalone trading system Mathematical Background Based on control systems theory, the Kalman filter provides recursive Bayesian estimation originally developed for aerospace applications. This implementation adapts the algorithm specifically for financial time series, maintaining VWAP's volume-weighted properties while adding statistical filtering. Comparison with Standard VWAP Standard VWAP Issues Addressed: - Choppy behavior in low volume - Whipsaws around VWAP line - Lag in trend identification - Noise in deviation bands Kalman VWAP Benefits: - Smooth yet responsive line - Fewer false signals - Optional momentum tracking - Statistically optimized filtering Alert Conditions The indicator includes several pre-configured alert conditions: - Bullish/Bearish VWAP crosses - Upper/Lower band touches - High divergence warnings - Velocity shifts (if enabled) --- This open-source indicator is provided as-is for educational and trading purposes. No guarantees are made regarding trading performance. Users should conduct their own testing and validation before using in live trading.
Indicatore Pine Script®
di yundore