Awesome indicator that will plot on your chart up to 3 different VWAPs and optionally up to 3 standard deviations for each one.
Each VWAP can be configured to be a Rolling or Anchored VWAP and to automatically adapt its period depending on the current chart timeframe. For example, you can configure each VWAP to be a rolling 30min VWAP for timeframes below 30M, a session-anchored VWAP between 30M and 1D timeframes, a rolling monthly VWAP for a 1D timeframe and a quarterly VWAP for a weekly timeframe.
You can disable any of the three VWAPs or any of its standard deviations bands.
For session-anchored VWAPs the script will automatically set session times depending on the current futures contract (only for US and EUR futures) if desired. You can disable this feature and manually input session start and end times.
Release Notes
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Added the option to display each of the three VWAPS and optionally also each of their standard deviations as bands resulting from applying the calculations not only at the HLC/3 of each bar (or the source input selected in params) but also at the highs and the lows of bars. This way you will not get single lines but areas, zones that once broken can give more confidence to your trades.
Release Notes
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Added more periods for VWAPs and also the possibility to anchor them to dividend or split dates.
Release Notes
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Fixed error calculating 2- or 3-day rolling VWAPs because the calculations were not taking into account weekends. Also added many more options for VWAP periods.
Release Notes
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Added 4D and 5D periods for rolling and/or anchored VWAPs
Release Notes
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Added optional Labels and optional price display in them. Improved automatic session times for chart symbol.
Incredible. HUGE thanks to you for publishing this and sharing the code. Amazin.
Linktind
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@czoa, thanks for a great indicator! May I please ask you when we for example select 1D rolling VWAP how many days back this VWAP is calculated (i.e. what is the length)?
czoa
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@Linktind, hi, thanks. If it is a rolling 1D VWAP it will be calculated for the previous 24 hours for each bar.
Linktind
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@czoa, thanks I understand. What I am trying to find out is how many bars it takes into its calculation. So, for example, simple 20 day moving average takes 20 daily candles in its calculation...
czoa
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@Linktind, the indicator doesnt count bars for rolling vwaps, therein lies its "magic". If you set it to a 24 hour vwap the indicator will take the last 24 hours into its calculation, regardless of you being in a 1min or 60min chart