Vwap

[conr 10]

Hello, What is the typical period setting for the vwap on an intraday ES chart? i.e. 10, 15, 20 etc. Specifically on the 5 min. chart.

 

Thanks.

[sevensa 10]

Hello, What is the typical period setting for the vwap on an intraday ES chart? i.e. 10, 15, 20 etc. Specifically on the 5 min. chart.

 

Thanks.

 

VWAP doesn't have a period setting. I would suggest to Google VWAP to read up a little bit on what it is and how it is calulated.

[thrunner 10]

Hello, What is the typical period setting for the vwap on an intraday ES chart? i.e. 10, 15, 20 etc. Specifically on the 5 min. chart.

 

Thanks.

VWAP is the volume weighted average price of all the bars that has been traded from the specified start time to the current bar. It is usually reset every trading day, although some traders seem to think VWAP values can be spanned across days and weeks.

 

VWAP doesn't have to be updated that frequently but the starting time will affect the current VWAP value. Some software by default will start at the new session, some at the beginning of next day (00:00), some at regular session start (09:30). It is more important to know what VWAP value your fellow traders are looking at by knowing what their starting time value is set.

 

For S&P 500 futures emini ES which is nearly continuously traded, reset at 00:00 or the new day seems to work.

[conr 10]

The reason I asked was because a blog I follow, he mentioned a 20 period vwap for the ES. Yest. his was 4 pts. higher than mine at the end of the day.

[stanlyd 10]

When that article said 20 period , I believe it's 20 days.