Premium VWAP Trendfollow Strategy [wbburgin]This is a strongly-revised version of my VWAP Trendfollow Strategy, which follows a substantial reworking to address various structural inefficiencies with the script, such as the narrowing of the standard deviation band upon anchor reset. I will continue updating the original script with planned adjustments, this is a different proof-of-concept that builds off of the original script thesis with a different calculation method and execution.
This strategy is not built for any specific asset or timeframe, and has been backtested on crypto and equities from 1 min-1 day. The previous experimental strategy was heavily-correlated with the actual movement of the asset, which added unpalatable risk to the strategy and increased drawdown. This revised form has a more stable backtesting curve, but I want to heavily emphasize that I cannot guarantee that the strategy will be profitable for your circumstances. Backtesting only goes so far and every exchange has a different fee schedule, which can substantially eat into your profits. At the bottom I will explain the parameters behind the strategy results.
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The VWAP Trendfollow Strategy begins with a simple premise: to enter long when the price breaks above the upper standard deviation of a VWAP, and to close the position when the price breaks below the lower standard deviation of the VWAP. This is more effective than initiating the same strategy for a VWMA because the VWAP resets its anchor depending on your chosen anchor period, and the act of resetting its anchor also resets its standard deviation value. As a consequence, in sustained uptrends, the standard deviation is pulled upward to meet the price when the anchor resets, instead of requiring the price to fall all the way back down, as in the lower standard deviation band of the VWMA. This essentially acts as the VWAP itself raising the stop loss at each anchor period, which works well for the overall trend-following strategy.
However, this narrowing can still have consequences for a simple breakout strategy; as the price gradually oscillates towards above or below its standard deviation band, it may cross over the other and produce false signals. This oscillation is worrisome especially when fees are taken into account.
Thus, the premium VWAP Trendfollow strategy has a variable width which detects abnormal narrowing of the band, and adjusts it until it is reasonable to close the variability period. Additionally, a filter is added to the open/close signals to soften the frequency of signals without impacting performance significantly.
This script contains an ATR stop loss and an ATR take profit (which is also a difference between it and the original experimental script), with customizable inputs. The strategy results shown below are with initial capital of $1000, qty entry of 10%, and commissions of 0.06%. It works best on 24/7 instruments, like crypto, but I have found it also works with FAANG stocks or other high volatility / high volume assets. The issue with stocks, however, is that the price can jump/plummet because of abnormal events after-hours, which the strategy cannot pick up on until pre-trading begins the next morning. For that reason I suggest it be used on crypto and, because of its low % profitable (but high average winning trade in relation to its average losing trade), be used on an exchange that has minimal fees or volume-based discounts. In the unfortunate case that you cannot find a minimal fee or volume-discounted fee exchange (such as fellow Americans following the liquidity-retreat on Binance.US), I encourage you to test out the higher anchor periods for the higher timeframes, which will reduce the number of trades and increase the average % per trade.
Additionally, this is a long-term strategy used best for accumulation. It is currently long-only; that may change based off of user input.
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Disclaimer
Copyright by wbburgin.
The information contained in my Scripts/Indicators/Algorithms does not constitute financial advice or a solicitation to buy or sell any securities of any type. I will not accept liability for any loss or damage, including without limitation any loss of profit, which may arise directly or indirectly from the use of or reliance on such information.
All investments involve risk, and the past performance of a security, industry, sector, market, financial product, trading strategy, backtest, or individual's trading does not guarantee future results or returns. Investors are fully responsible for any investment decisions they make. Such decisions should be based solely on an evaluation of their financial circumstances, investment objectives, risk tolerance, and liquidity needs.
Vwapbands
Anchored VWAP (Auto High & Low)OVERVIEW
This script plots, and auto-updates, 3 separate VWAPs: a traditional VWAP, a VWAP anchored to a trends high, and another anchored to a trends low.
VWAP and Anchored VWAPs are commonly used by institutions responsible for the majority of market volume on a given day. Citadel Trading, for example, accounts for approximately 35% of all U.S. listed retail volume , largely executed through program trades over the course of a day, week, or month.
Because VWAP is a prominent market maker tool for executing large trades, day traders can use it to better anticipate trends, mean reversion, and breakouts.
This is most useful on charts with intraday time frames (1 minute, 5 minute etc.) commonly used for day trading. This is not ideal for larger time frames (1 hour or greater) commonly used for swing trading or identifying larger trends.
INPUTS
You can configure:
The size, color, and visibility of 6 different plots (VWAP, High Anchor, Low Anchor, Average of Anchors, Quarter Values, Interim Bands)
How smooth the average displays
INSPIRATION
1. "How To Measure Anything" by Douglas W. Hubbard
2. "Maximum Trading Gains With Anchored VWAP" by Brian Shannon
Better understanding probability and how to analyze risk (first book), as well as the tools market makers use (second book), has completely reframed how I approach day trading.
Candle Level of VWAP [By MUQWISHI]The " Price of Volume Weighted Average Price " (PVWAP) indicator calculates the VWAP standard deviation of bar price.
Features:
1. Ability to smooth the "Price of Volume Weighted Average Price" line.
2. Ability to choose the anchor period (timeframes).
Let me know if you have any questions.
Thanks.
AggBands (v1) [qrsq]The "AggBands" indicator is a custom trading indicator designed to provide a consolidated view of the price action across multiple assets or trading pairs. It combines the price data from multiple tickers and calculates an aggregated price using user-defined weights for each ticker.
The indicator starts by defining the tickers to be included in the aggregation. You can choose from predefined configurations such as "BTC PAIRS," "CRYPTO TOTAL MARKET CAP," "TOP 5 PAIRS," "TOP 5 MEMECOINS," "SPX," "DXY," or "FANG." Each configuration includes specific tickers or indices relevant to the chosen category.
The indicator then fetches the closing, high, and low prices for each ticker and applies the user-defined weights to calculate the aggregated prices. The aggregated prices are normalized within a specified length to provide a consistent scale across different assets or pairs.
Next, the indicator calculates the midpoint, which is the average of the highest high and lowest low of the aggregated prices over a specified aggregation period.
To assess the volatility, the indicator calculates the price range and applies the Average True Range (ATR) indicator to determine the volatility value. The standard deviation is then computed using the price range and aggregation period, with an additional scaling factor applied to the volatility value.
Based on the standard deviation, the indicator generates multiple bands above and below the midpoint. By default, three standard deviation bands are calculated, but the user can choose between one and five bands. The upper and lower bands are smoothed using various moving average (MA) types, such as Simple Moving Average (SMA), Exponential Moving Average (EMA), Smoothed Moving Average (SMMA/RMA), Weighted Moving Average (WMA), Volume Weighted Moving Average (VWMA), Volume Weighted Average Price (VWAP), or Arnaud Legoux Moving Average (ALMA). The user can also adjust the length, offset, and sigma parameters for the moving averages.
The indicator can optionally smooth the midpoint, upper bands, and lower bands using a separate set of moving average parameters.
The indicator can be useful for traders and analysts who want to gain a consolidated view of price movements across multiple assets or trading pairs. It helps identify trends, volatility, and potential support and resistance levels based on the aggregated price and standard deviation bands. Traders can use this information to make informed decisions about trading strategies, risk management, and market analysis.
VWAP Trendfollow Strategy [wbburgin]This is an experimental strategy that enters long when the instrument crosses over the upper standard deviation band of a VWAP and enters short when the instrument crosses below the bottom standard deviation band of the VWAP. I have added a trend filter as well, which stops entries that are opposite to the current trend of the VWAP. The trend filter will reduce total false breakouts, thus improving the % profitable while maintaining the overall returns of the strategy. Because this is a trend-following breakout strategy, the % profitable will typically be low but the average % return will be higher. As a rule, be sure to look at the average winning trade % compared to the average losing trade %, and compare that to the % profitable to judge the effectiveness of a strategy. Factor in fees and slippage as well.
This strategy appears to work better with the lower timeframes, and I was impressed with its results. It also appears to work on a wide range of asset classes. There isn't a stop loss or take profit built-in (other than the reversal signals, which close the current trade), so I would encourage you to expand on the strategy based on your own trading parameters.
You can toggle off the bar colors and the trend filter if you so desire.
Future updates to this script (or ideas of improving on it) might include a take profit level set at one standard deviation past the current level and a stop loss level set at one standard deviation closer to the vwap from the current level - or applying a multiple to the two based off of your reward/risk ratio.
About the strategy results below: this is with commissions of 0.5 % per trade.
Standard Deviation Buy Sell Signals [UOI]The "Standard Deviation Buy Sell Signals" which is a Mean and VWAP Deviation Super Pack that includes many additional features is an advanced technical analysis tool designed to assist traders in making well-informed decisions in the financial markets. It incorporates various functions and calculations to provide a comprehensive analysis of price movements, trends, and potential trading opportunities in different timeframes. The Super Pack combines elements of volume-weighted average price (VWAP), mean calculation on multiple time frames, standard deviation signals and bands, overbought and oversold signals, measures of central tendency, and multiple time frame calculations of mean reversion. A truly unique indicator.
Here is the details of the supper pack and what is included:
1. VWAP (Volume-Weighted Average Price): The Mean and VWAP Deviation Super Pack includes VWAP, which calculates the average price of a security weighted by its trading volume. This helps traders identify the average price at which a significant amount of trading activity has occurred and can serve as a reference point for determining whether the current price is overvalued or undervalued.
2. Standard Deviation Signals and Bands: The Super Pack incorporates standard deviation signals and bands to measure the volatility of price movements. By calculating the standard deviation of price data, it identifies price levels that deviate significantly from the average, indicating potential overbought or oversold conditions. The standard deviation bands provide visual boundaries that help traders assess the likelihood of a price reversal or continuation. The bands are hidden to avoid too many lines but you can enable them in the setting. See image below:
3. Overbought and Oversold Signals: Using the standard deviation calculations, the Mean and VWAP Deviation Super Pack generates overbought and oversold signals. These signals indicate when a security's price has moved to an extreme level, suggesting a potential reversal or correction in the near future. Traders can use these signals to time their entries or exits in the market. You can change the RSI number in the setting to get more or less signals.
4. Measures of Central Tendency: The Super Pack incorporates measures of central tendency, such as the mean, median, or mode, to provide a sense of the average or typical price behavior. These measures help traders identify the prevailing trend or price direction and assess the likelihood of a trend continuation or reversal. This provide reassurance of whether price is too far from center in multiple time frames.
5. Multiple Time Frame Calculation of Mean Reversion: The Mean and VWAP Deviation Super Pack employs multiple time frame calculations to identify mean reversion opportunities. It compares the current price with the historical average price over different time periods, allowing traders to identify situations where the price has deviated significantly from its mean and is likely to revert back to its average value. This can be useful for swing trading or short-term trading strategies.
By combining these various functions, the Mean and VWAP Deviation Super Pack provides traders with a comprehensive analysis of price dynamics, trend strength, potential reversals, and mean reversion opportunities. It aids in making more informed trading decisions and improving overall trading performance.
Why is this super pack indicator an essential trading strategy for every trader:
Standard deviation and mean reversion are valuable tools for traders, especially when the market is in a ranging phase. A ranging market is characterized by price movements that oscillate between defined support and resistance levels, with no clear trend in either direction. In such market conditions, standard deviation and mean reversion strategies can be particularly effective. Here's why:
1. Standard Deviation: Standard deviation is a statistical measure that quantifies the volatility or dispersion of price data around its average. In a ranging market, where prices tend to fluctuate within a certain range, standard deviation can help identify overbought and oversold levels. When the price reaches the upper end of the range, the standard deviation bands widen, indicating higher volatility and a potential selling opportunity. Conversely, when the price reaches the lower end of the range, the bands narrow, suggesting lower volatility and a potential buying opportunity. Traders can use these signals to anticipate price reversals and take advantage of the predictable nature of ranging markets.
2. Mean Reversion: Mean reversion is a concept that suggests prices tend to move back toward their average or mean over time. In a ranging market, where prices repeatedly move between support and resistance levels, mean reversion strategies can be highly effective. By identifying when the price has deviated significantly from its mean, traders can anticipate a potential reversal back toward the average. When the price reaches extreme levels, indicating overbought or oversold conditions, traders can enter positions in the opposite direction, expecting the price to revert to its mean. Mean reversion strategies can be implemented using various indicators, including Bollinger Bands, moving averages, or standard deviation bands.
3. Range Boundaries: In a ranging market, the upper and lower boundaries of the price range serve as reliable reference points for traders. Standard deviation and mean reversion strategies capitalize on the repetitive nature of price movements within these boundaries. Traders can set their entry and exit points based on the standard deviation bands or mean reversion signals to take advantage of price reversals near the range boundaries. By properly identifying and reacting to these levels, traders can profit from the price oscillations within the range.
4. Risk Management: Standard deviation and mean reversion strategies provide traders with clear entry and exit points, allowing for effective risk management. By placing stop-loss orders beyond the range boundaries or the standard deviation bands, traders can limit their potential losses if the price continues to move against their positions. Additionally, by taking profits near the opposite range boundary or when the price reverts back to the mean, traders can secure their gains and maintain a disciplined approach to trading.
Standard deviation and mean reversion strategies offer traders a systematic approach to capitalize on ranging markets. But the cherry on top is the overbought and oversold signals:
The concept of overbought and oversold levels is widely used in technical analysis to identify potential reversals in price trends. Typically, indicators like the Relative Strength Index (RSI) are employed to determine when an asset may be overbought or oversold. However, you have developed a unique approach by incorporating an interactive variable with RSI and Average True Range (ATR) to create a distinct overbought and oversold signal. Here's why this approach stands out:
1. Divergence: Your approach introduces a divergence concept by combining RSI and ATR. Traditionally, overbought and oversold signals rely solely on RSI readings. However, by considering the interaction between RSI and ATR, you bring a new dimension to these signals. The divergence occurs when the RSI indicates overbought conditions while simultaneously ATR crosses over into bearish territory, or when the RSI signals oversold conditions along with ATR crossing over into bullish territory. This divergence adds an extra layer of confirmation to the overbought and oversold signals.
2. Reduced False Signals: The incorporation of ATR in conjunction with RSI helps filter out false signals that may occur during trending market conditions or short squeezes. Trend days or periods of increased volatility can cause RSI to remain in overbought or oversold territory for an extended period, generating numerous signals that may not be reliable. By considering the crossing of ATR into bearish or bullish territory, your approach adds a dynamic element to the signal generation process. This interactive variable helps ensure that the overbought and oversold signals are not solely based on RSI getting hot, reducing the likelihood of false signals during trending or volatile periods.
3. Improved Timing: The interaction between RSI and ATR provides a more nuanced approach to timing overbought and oversold signals. By waiting for the ATR to confirm the RSI signal, you introduce an additional condition that enhances the precision of the timing. The bearish or bullish crossover of ATR serves as a confirmation that market conditions align with the overbought or oversold signal indicated by RSI. This combined approach allows for more accurate entry or exit points, increasing the potential profitability of trades.
4. Customization and Adaptability: By creating this interactive variable with RSI and ATR, you have developed a customizable approach that can be adapted to different trading styles and preferences. Traders can adjust the sensitivity of the signals by modifying the parameters of the RSI and ATR. This flexibility allows for a personalized trading experience and enables traders to align the signals with their specific risk tolerance and market conditions.
This approach to overbought and oversold signals utilizing RSI and ATR introduces a unique perspective to technical analysis. By incorporating divergence and interactive variables, you enhance the reliability of these signals while reducing false readings. This approach provides improved timing and adaptability, making it a valuable tool for traders seeking to identify potential reversals in price trends with greater accuracy and confidence.
HOW to avoid fake signals?
When it comes to trading with standard deviation as a strategy, it's important to note that on extreme trend days, this indicator may generate false signals. This occurs because standard deviation is primarily designed to measure volatility and deviations from the mean in a range-bound market. During strong trending periods, the price tends to move in one direction with minimal deviations, rendering the standard deviation less effective.
To avoid trading based solely on standard deviation during extreme trend days, it is advisable to incorporate additional indicators that can provide insights into the stock's trend or squeeze conditions. These indicators can help determine whether the market is experiencing a strong trend or a squeeze, allowing you to avoid false signals generated by standard deviation.
By utilizing complementary indicators such as trend-following indicators (e.g., moving averages, trendlines) or volatility indicators (e.g., Bollinger Bands), you can gain a more comprehensive understanding of the market environment. These indicators can help confirm whether the stock is in a trending phase or experiencing a squeeze, helping you avoid entering trades solely based on standard deviation during these extreme trend days.
In summary, while standard deviation is a valuable tool in range-bound markets, it may produce unreliable signals on extreme trend days. By incorporating other indicators that provide insights into the stock's trend or squeeze conditions, traders can better assess the market environment and avoid false signals generated by standard deviation during these periods. This approach enhances the overall effectiveness and accuracy of trading strategies, leading to more informed and profitable decision-making.
All-In-One Auto Anchored VWAPsA chart isn't trendy without a VWAP (which stands for volume weighted average price).
This indicator allows you to choose 3 different anchored VWAPs, and customize the anchor period from one of many different options, including:
- Daily
- Weekly
- Monthly
- Quarterly
- Yearly
- All Time
- Specific Pivots
- Specific Sessions
You can then choose whether you want to anchor to the open, highest or lowest value within that period.
The indicator will automatically update every time a new anchor point is triggered. Every VWAP has colors and standard deviation bands as an optional setting.
As interest in the script grows I will continue to add new features.
VWAP + 2 Moving Averages + RSI + Buy and SellIndicator: VWAP + 2 Moving Averages + RSI + Buy and Sell
Buy and Sell Arrows (Great for use alone or in conjunction with other scripts on the chart)
This indicator displays BUY (BUY) and SELL (SELL) arrows on the chart based on a combination of moving averages, VWAP and RSI. Arrows are a visual way to identify trading opportunities and can be useful for traders who want to follow a strategy based on these conditions.
The indicator uses two moving averages (20 and 50 periods) to identify upward crosses (buy) and downward crosses (sell). In addition, it takes into account VWAP (Volume Weighted Average Price) and RSI (Relative Strength Index) as additional filters to confirm buy and sell signals.
This script is great for use both independently and in conjunction with other indicators and strategies. You can combine it with other indicators and customize it to your preferences to create a more comprehensive trading strategy.
Please remember that this indicator is provided for educational purposes only and does not constitute financial advice. It is always recommended to carry out a thorough analysis before making any trading decisions.
Give this indicator a try and enjoy clear visualization of buy and sell arrows on your chart. Happy trading!
VWAP Bollinger Band Crossover Breakout with ResistanceCredit to © Jesus_Salvatierra for VWAP script
This script help you find a trend in momentum stock that is about to breakout and shows resistance point. This script utilizes Bollinger bands VWAP and is good for intra day charts.
VWAP, or Volume Weighted Average Price, is a technical analysis tool used to measure the average price a security trades at during a given time period, weighted by the trading volume for each price level. It is commonly used by traders and investors to identify the true average price of a security and to assess whether they are buying or selling at a fair price.
A Bollinger Band is a technical analysis tool that uses standard deviation to measure the volatility of a security. The Bollinger Band is typically composed of three lines: the upper band, the lower band, and the middle band. The middle band is a simple moving average of the security's price, while the upper and lower bands are calculated based on the standard deviation of the security's price.
A Bollinger Band crossover occurs when the price of a security crosses above or below one of the bands. When the price crosses above the upper band, it is considered overbought, while when it crosses below the lower band, it is considered oversold. Traders often use Bollinger Band crossovers as a signal to enter or exit a position, depending on their trading strategy.
The VWAP and Bollinger Band crossover are two separate technical analysis tools that can be used in conjunction with each other. When a security's price crosses above or below the Bollinger Band, traders may look to the VWAP to confirm whether the security is trading at a fair price. If the security is trading above the VWAP, it may be overvalued, while if it is trading below the VWAP, it may be undervalued. Similarly, traders may use the Bollinger Band crossover as a signal to enter or exit a position, while also taking into account the VWAP to assess whether the price is fair.
VWAP Supply and Demand ZonesThis is my 1st indicator enjoy.
Description of the VWAP Supply and Demand Zones indicator:
This indicator uses the Volume Weighted Average Price (VWAP) to identify potential supply and demand zones in the market. The VWAP is a popular indicator that shows the average price of a security weighted by volume over a specified period of time. It can be used as a benchmark to measure the efficiency of trading and to identify trends and price levels.
The indicator plots the VWAP as a blue line on the chart, and also plots two other lines above and below it, which represent the upper and lower bounds of the supply and demand zones. The width of these zones can be adjusted by changing the “Zone Width” input parameter.
The indicator also plots shapes on the chart to mark when a supply or demand zone is formed. A supply zone is formed when the price crosses above the VWAP and then falls back below it, indicating that there is more selling pressure than buying pressure at that level. A red triangle is plotted above the bar where this happens, and a red zone is drawn between the previous close and previous VWAP values.
A demand zone is formed when the price crosses below the VWAP and then rises back above it, indicating that there is more buying pressure than selling pressure at that level. A green triangle is plotted below the bar where this happens, and a green zone is drawn between the previous close and previous VWAP values.
The supply and demand zones can be used as potential areas of support and resistance, where traders can look for reversal or continuation signals. For example, if the price enters a supply zone from below, it may indicate that sellers are willing to sell at higher prices, which could lead to a bearish reversal. Conversely, if the price enters a demand zone from above, it may indicate that buyers are willing to buy at lower prices, which could lead to a bullish reversal.
The indicator can be applied to any timeframe or market, but it may work better on higher timeframes where volume data is more reliable. It can also be combined with other indicators or tools to confirm or filter signals.
Aggregated VWAP by AncheAbout this indicator
Aggregated VWAP shows you a combined VWAP of different assets which you can choose inside the options panel.
This allows you to select the same asset from multiple exchanges and the indicator plots a VWAP based on all the prices of the selected tickers.
The above image shows you the VWAP of the current asset (red, thick line) and an Aggregated VWAP of BTCUSD from this exchange + 5 others (black line). This clearly shows a discrepancy between both values.
How to use
Open the options of the indicator, at the bottom you will find 5 input fields to select 5 tickers. This allows you to select your asset from different exchanges so that their value gets computed inside the value for the Aggregated VWAP.
Inside the "style" settings you can change colors, lines, etc.
VWAP 3x Session Reset- This VWAP aims to be used with futures and forex.
- The VWAP is reset at the beginning of each session.
- 3 different sessions can be specified.
- The lines are not drawn when there is no active session.
- The upper and lower bands with standard deviation 2 are also drawn.
Info: The time zone of the picture is Europe/Berlin
VWAP Previous VWAP WMQY StdDev Extensions Nadro StyleDisplays Multi-TF VWAP with Std Dev Bands.
Developing VWAP and Std Dev Bands
Previous VWAP and Std Dev Bands
Previous VWAP Extensions
Some Examples
ASE Additionals v1ASE Additionals is a statistics-driven indicator that combines multiple features to provide traders with valuable statistics to help their trading. This indicator offers a customizable table that includes statistics for VWAP with customizable standard deviation waves.
Per the empirical rule, the following is a schedule for what percent of volume should be traded between the standard deviation range:
+/- 1 standard deviation: 68.26% of volume should be trading within this range
+/- 2 standard deviation: 95.44% of volume should be trading within this range
+/- 3 standard deviation: 99.73% of volume should be trading within this range
+/- 4 standard deviation: 99.9937% of volume should be trading within this range
+/- 5 standard deviation: 99.999943% of volume should be trading within this range
+/- 6 standard deviation: 99.9999998% of volume should be trading within this range
The statistics table presents five different pieces of data
Volume Analyzed: Amount of contracts analyzed for the statistics
Volume Traded Inside Upper Extreme: Calculated by taking the amount of volume traded inside the Upper Extreme band divided by the total amount of contracts analyzed
Volume Traded Inside Lower Extreme: Calculated by taking the amount of volume traded inside the Lower Extreme band divided by the total amount of contracts analyzed
Given the user’s inputs, they will see the upper and lower extremes of the day. For example, if the user changed the inner st. dev input to 2, 95.44% of the volume should be traded within the inner band. If the user changed the outer st. dev input to 3, 99.73% of the volume should be traded within the outer band. Thus, statistically, 2.145% ((99.73%-95.44%)/2) of volume should be traded between the upper and lower band fill.
In the chart above, the bands are the 2nd and 3rd standard deviation inputs. We notice that out of the 151 Million Contracts , the actual percentage of volume traded in the upper extreme was 2.7% , and the actual percentage of the volume traded in the lower extreme was 3.3% . Given the empirical rule, about 2.145% of the volume should be traded in the upper extreme band, and 2.145% of the volume should be traded in the lower extreme band. Based on the statistics table, the empirical rule is true when applied to the volume-weighted average price.
The trader should recognize that statistics is all about probability and there is a margin for error, so the bands should be used as a bias, not an entry. For example, given the +/-2 and 3 standard deviations, statistically, if 2.145% of the volume is traded within the upper band extreme, you shouldn’t look for a long trade if the current price is in the band. Likewise, if 2.145% of the volume is traded within the lower band extreme, you shouldn’t look for a short trade if the current price is in the band.
Additionally, we provide traders with the Daily, Weekly, and Monthly OHLC levels. Open, High, Low, and Close are significant levels, especially on major timeframes. Once price has touched the level, the line changes from dashed/dotted to solid.
Features
VWAP Price line and standard deviation waves to analyze the equilibrium and extremes of the sessions trend
Previous Day/WEEK/Month OHLC levels provide Major timeframe key levels
Settings
VWAP Equilibrium: Turn on the VWAP line
VWAP Waves: Turn on the VWAP standard deviation waves
Inner St. Dev: Changes the inner band standard deviation to show the percentage of volume traded within
Outer St. Dev: Changes the outer band standard deviation to show the percentage of volume traded within
Upper Extreme: Change the color of the upper VWAP wave
Lower Extreme: Change the color of the lower VWAP wave
Wave Opacity: Change the opacity of the waves (0= completely transparent, 100=completely solid)
Statistics Table: Turn on or off the statistics table
Statistics Table Settings: Change the Table Color, Text Color, Text Size, and Table Position
Previous Day/Week/Month OHLC: Choose; All, Open, Close, High, Low, and the color of the levels
OHLC Level Settings: Change the OHLC label color, line style, and line width
How to Use
The VWAP price line acts as the 'Fair Value' or the 'Equilibrium' of the price session. Just as the VWAP Waves show the session's upper and lower extreme possibilities. While we can find entries from VWAP , our analysis uses it more as confirmation. OHLC levels are to be used as support and resistance levels. These levels provide us with great entry and target opportunities as they are essential and can show pivots in price action.
Adaptive VWAP Stdev BandsIntroduction
Heyo, here are some adaptive VWAP Standard Deviation Bands with nice colors.
I used Ehlers dominant cycle theories and ZLSMA smoothing to create this indicator.
You can choose between different algorithms to determine the dominant cycle and this will be used as reset period.
Everytime bar_index can be divided through the dominant cycle length and the result is zero VWAP resets if have chosen an adaptive mode in the settings.
The other reset event you can use is just a simple time-based event, e.g. reset every day.
Usage
I think people buy/sell when it reaches extreme zones.
Enjoy!
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Credits to:
@SandroTurriate - VWAP Stdev Bands
@blackcat1402 - Dominant Cycle Analysis
@DasanC - Dominant Cycle Analysis
@veryfid - ZLSMA
(Sry, too lazy for linking)
I took parts of their code. Ty guys for your work! Just awesome.
Volume Weighted Average Price STHello everyone.
I am using vwap standard deviation to find trades.
Above standard deviation 1 is buy
Below standard deviation -1 is sell
Price crossunder of vwap after Buy signal is exit for long trade
Price crossover of vwap after Sell signal is exit for short trade
You can set target points(optional)
You can limit number of trades every day.
Background color changes to gray when today range matches to ATR(14) or you can enable label to see the value at last bar
Contact me for more details if you have any queries.
Aggregated Rolling VWAP +Edit of TradingView's original Rolling VWAP
Edit log:
Added Volume Aggregation Capabilities to the Script
- Price Action is impacted by volume executed in all exchanges. Even though a single exchange RVWAP can be useful, using aggregated data makes it more accurate and saves time in symbol switching.
- Aggregation is preset to be done for Bitcoin Spot Pairs. However this can be changed to Aggregate Volume from any other symbol at the bottom of the setup menu.
Added Symmetrical Deviations to the Script
- Symmetrical deviations create range of "tolerance" around the RVWAP at a fixed % distance. This helps in situations when price does not respect the exact RVWAP level and goes slightly above/under.
- Adding multiple Symmetrical Deviations at different percentage values can give relevant levels for scalping, entries and range trading.
Switched default option to manual TF instead of automatic TF
Added TF Presets for quick switching between different settings. (Feature intended for mobile charting)
Added ON/OFF Switch to all individual deviations to make it easier, faster and cleaner to display different data. (Feature intended for mobile charting)
VWAP+SMA+EMAThis is the only indicator combing the results of VWAP + 2 SMAs + 2 EMAs.
This is a free indicator. Enjoy using it.
Kunal Jain
JMF MTF historical Vwap map and static levels. What is a vwap map?
This is a Multi time frame Historical vwap heatmap. The study plots lines and maps out historical vwap zones based on closing vwap value of the time frame selected and the time frames high range. Show casing high volume concentration areas and low volume area's from each time frame chosen on chart.
Static Vwap Lines can be turned off in settings, as well as the map, you can use each individually or paired together for a more complete overview of the levels. You can also refine the search by using the "Gap %" input. This will filter out and search for average price's that have gapped up or down "X" percent from the previous days average price. Leaving you with Static vwaps and map zones from the most important "Gap Day's". This helps clean up the over all visual, but be careful choosing a higher gap percentage, that you don't lose too much granularity the map offers.
What will a "Static vwap and Map look like"
The look will vary greatly depending on where the stock is in its historical range. If the name is in a consolidation range with a lot of recent average prices directly above and below, you will have a heavy, crowded, Darker/intense heat signature from the map, You will also see levels in map mode over lapping and lines bundled together. These high traffic area's can act as great support or resistance since they are showing a congregation of historical average prices where participants have previously interacted. On the contrary, if you see "open air" in the map, or large areas of blank chart where no heat signature is mapping, this is an area of LOW volume and average prices. Current price will or can move quickly through these areas IF price accepts inside the open air range. If price does NOT accept inside the open air range, Then the blank low volume zone can and will act as support or resistance given the situation.
Capture the gaps.
I look to capture these "Gaps" created by the map and static levels both long or short. I have noticed over time that the higher time frame maps zones are WELL respected intraday, Daily, Weekly, Monthly etc. I look for areas where we are clearing a high volume zone, we break above, hold and accept into open air, and start to move through the open air zones up or down.
I also use the more granular smaller levels as support and resistance intraday while in plays.
Time frames and settings .
User has 3 inputs for seperate time frames to show. You can show a combo of all 3 timeframes, or you can show only a single time frame of your choosing, or two. Mix and match with the string input time frames.
Acceptable inputs are - 5,10,15,30,60,90,240,D,W,M,2D,4W,3M and so on. Any combination of string input timeframe should work, that means numbers (5,10,15,etc) or letters (D,W,M,etc) or combination of the two.
Look and feel
Each time frame has its own color input, transparency input, line style input, and line weight input. User can customize any of the lines or maps to their liking with a wide variety of styles, widths, and colors.
Any or all of the time frames can be enabled or disabled as well, to make the map as busy, or as calm as you would like.
Enjoy !
In the end I encourage any who tries the Heatmap to really sit down and spend some time playing around with the settings in order to find out how they like the map set up. I usually run the default settings on a intraday 5min chart, and then another instance of the study on a 15min chart with W,M,3M. plotted. That way I can see granular intraday levels, and macro long term levels in the same view. See what fit's you the best, and how you like to trade. Most of all ENJOY!
Good luck -
JMF.
IMPORTANT INFO -
As always, the creator of this code is NOT a licensed investment advisor. No output of this tool is to be taken as investment advice or a recommendation to buy or sell any security.
Trading is risky, any one using this tool acknowledges they CAN LOSE some if not all of their initial investment even with this tool enabled.
User assumes ALL RESPONSIBILITY when using this tool in their technical analysis .
Impatient TS VWAP BandsImpatient VWAP bands are based of Traderskew's VWAP bands but are for more impatient traders.
Wicking or crossing down through the upper band indicates a good short trade entry for range-bound trading periods while wicking or crossing up through the lower band indicates a good long entry in range-bound conditions.
By default, impatience is disabled. If it is turned on, adjusting impatience determines how quickly the bands approach price: higher impatience approaches price faster. Rebound indicates how far from price the bands bounce after hitting price.
VWAP BANDS [qrsq]Description
This indicator is used to find support and resistance utilizing both buying and selling volume. It can be used on lower and higher time frames to understand where price is likely to reject or bounce.
How it works
Instead of calculating the VWAP using the total volume, this script estimates the buying/selling volume and respectively calculates their individual VWAP's. The standard deviations of these are then calculated to create the set of two bands. The top bands being the VWAP from buying volume and bottom bands are from selling volume, with the option to use a double band on either pair.
How to use it
I like to use the bands for LTF scalping as well as HTF swings, I also like to use it alongside my SMA VWAP BANDS.
For scalping:
I tend to use either the 5m or 15m TF
I then set the indicator's TF to 1m
I will take a scalp based on the bands confluence with other PA methods, if price is being either supported or rejected.
For swings:
I tend to use a variety of TFs, including: 30m, 1H, 4H, D
I then set the indicator's TF to "Chart"
I will take a swing based on the bands confluence with other PA methods, if price is being either supported or rejected.
I also tend to use them on perpetual contracts as the volume seems to be more consistent and hence results in more accurate support and resistance.
SMA VWAP BANDS [qrsq]Description
This indicator is used to find support and resistance utilizing both SMA and VWAP. It can be used on lower and higher time frames to understand where price is likely to reject or bounce.
How it works
Rather than using the usual calculation for the VWAP, instead this script smooths the volume first with the SMA and then respectively calculates the smoothed multiplication of high, low and close price with the volume individually. These values are then divided by the smoothed volume to find individual VWAP's for each of the sources. The standard deviations of these are calculated, resulting in an upper, lower and middle band. It is essentially VWAP bands with some smoothed calculations in the middle.
How to use it
I like to use the bands for LTF scalping as well as HTF swings.
For scalping:
I tend to use either the 5m or 15m TF
I then set the indicator's TF to 1m
I will take a scalp based on the bands confluence with other PA methods, if price is being either supported or rejected.
For swings:
I tend to use a variety of TFs, including: 30m, 1H, 4H, D
I then set the indicator's TF to "Chart"
I will take a swing based on the bands confluence with other PA methods, if price is being either supported or rejected.
I also tend to use them on perpetual contracts as the volume seems to be more consistent and hence results in more accurate support and resistance.
All Moving Averages + VWAPCombines VWAP and Moving Average indicators into one single indicator.
VWAP Indicators
Anchored VWAP (you can change the anchor, default 1 day)
VWAP Standard Deviations (editable, default 1 and 2)
VWAP Fibonacci Deviations (editable, default 61.8% and 161.8%)
Fill Colors for the VWAP extensions to essentially create VWAP channels.
Moving Averages
5 Custom Moving Averages
Moving Average Types for each custom average
Most popular/widely used Moving Averages (algos and others use these most often, backtested. Some disabled by default)
List of most popular Moving Averages
5 EMA
13 EMA
20 EMA
26 EMA
34 EMA
50 EMA
50 SMA
100 EMA
100 SMA
200 EMA
200 SMA
400 SMA
Note: There are 52 weeks in a year, so 26 EMA is half of 52, 13 is half of 26.
Many traders use Moving Average Clouds, which use 5 and 13 for the first, 34 and 50 for the second.
SPY loves 200 SMA
