Multi-Day VWAP — Indicator by mortdiggiddy (2024)

FAQs

Multi-Day VWAP — Indicator by mortdiggiddy? ›

The multi-day version tracks the VWAP for N days back, by averaging the previous N - 1 day bars VWAP and the current VWAP for the current bar (chart interval). This is very different that simply using a volume weighted moving average , since the closing VWAP values are used for the historical day bars.

VWAP is calculated by multiplying the typical price by volume and then dividing by total volume. A simple moving average incorporates price but not volume. The SMA is calculated by totaling closing prices over a certain period (say 10 days) and then dividing the total by the number of periods (10).

The Multi-Day Rolling VWAP indicator for intraday timeframes allows you to track the Volume Weighted Average Price (VWAP) over multiple days, specifically for 1-day, 2-day, 3-day, 4-day, and 5-day periods. This indicator beyond the standard daily VWAP provides a broader perspective on price trends and market sentiment.

Relative Strength Index (RSI): RSI can be used in conjunction with VWAP to identify overbought or oversold conditions, providing additional confirmation for potential trade setups.

Typical Timeframes

Many VWAP indicators also come with an upper and lower trend line that is similar to a Bollinger Band. The intraday time frame VWAP value can change depending on the time frame of the chart. A 5-minute or 15-minute VWAP is typical when trading intraday to illustrate the trend.

For intraday trading, the best way to use VWAP is by initiating a buy order when the price falls below it and executing a sell order when the price rises above. Given that prices are subject to fluctuation during the day, vigilant monitoring of these changes is crucial for successful trading.

3-Day VWAP means the daily volume weighted average of actual trading prices measured in hundredths of cents of the Common Stock of the Company on the Trading Market for the three consecutive Trading Days immediately prior to a Subsequent Closing Date.

Moving Averages, such as the simple moving average (SMA) or exponential moving average (EMA), are foundational tools for trend analysis. Combining VWAP with a moving average can help traders identify the broader trend while using VWAP for intraday trade execution.

VWAP Backtesting Results

The Volume Weighted Average Price (VWAP) indicator didn't yield profits for day traders using standard candlestick/OHLC charts, resulting in a 30% win rate.

General Strategies

If the price is above VWAP, it is a good intraday price to sell. If the price is below VWAP, it is a good intraday price to buy. However, there is a caveat to using this intraday. Prices are dynamic and what appears to be a good price at one point in the day may not be by day's end.

Where to anchor VWAP? ›

Technical Level Anchoring: Traders can anchor the VWAP to technical levels such as the highest high, lowest low, highest volume, recent gap, or Blue Raindrop. These levels provide a reference point that can help identify support and resistance areas and gauge market sentiment.

Unlike the traditional Volume Weighted Average Price (VWAP), which resets daily and provides the average price of a security within a single trading day, the Anchored VWAP provides a more flexible view by allowing traders to set an anchor point from which the calculation begins.

You can use the following steps to calculate the free VWAP indicator: Calculate the stock's average price by considering the prices of the first 5-minutes of the trading day. You can do this by adding the stock's high, low, and close prices during the time frame and then dividing it by 3.

The VWAP 5 filter calculates the VWAP over the past five trading days for each stock. It is calculated by multiplying the price of each trade by the volume traded and dividing the sum by the total volume traded over this five-day period.

VWAP 2 represents the Volume Weighted Average Price calculated over the last 2 trading day. It is calculated by multiplying the price of each trade by the volume of that trade, summing up these values, and dividing the total by the cumulative volume traded over the period.

The 30-day VWAP is equivalent to the average of the daily VWAP over a 30-day period. So, to calculate the 30-day VWAP, you would have to add up the daily closing VWAP for each day, then divide the total by 30.

VWAP = (Sum of (Price x Volume)) / Total Volume

Volume is the number of shares traded at that given time. The sum of (Price x Volume) represents the total dollar value of all trades in the security over time. Total volume is the total number of shares traded over the specified period.