Average VWAP

[jrc-eng 10]

I just joined this forum. I got a lot of information from here and good indicators. VWAP indicator is very good. However, I think it will be very good if we could have an average VWAP for at least 5 days of trading. 5 days of averaging will give us a true understanding where the price/share ratio is. If any one can come out with an idea or code for TS, please share with us.

If any one is for the challenge, would it be possible to make a variable input to select how many days?

[sevensa 10]

I just joined this forum. I got a lot of information from here and good indicators. VWAP indicator is very good. However, I think it will be very good if we could have an average VWAP for at least 5 days of trading. 5 days of averaging will give us a true understanding where the price/share ratio is. If any one can come out with an idea or code for TS, please share with us.

If any one is for the challenge, would it be possible to make a variable input to select how many days?

 

Why do you say that 5 days will give a true understanding of where the price/share ratio is? Why 5 days and not 3 or 10?

[Trader333 10]

In my view any vwap measure outside of intra-day is of little use at all.

 

 

Paul

[hegh 10]

hello,

 

on what platform?

If you use Ninja Trader, I have already posted several versions, one with daylookback.

 

Vwap - Page 2 - NinjaTrader Support Forum

 

post #153

 

adrien

[jrc-eng 10]

The platform is TS (tradestation). The reason behind 5 days or more average vwap is because you will be able to see from previous days where the vwap for the intraday will be incompare with the previous average days. If you are a long, you do not want to buy above the average vwap. Buying between the intraday vwap and average vwap should not be a good idea in my opinion. Anyway, the number of days to look back could be an input on the indicator that you can set (i.e. 3 or 5 or 7 or 10, etc). If they can post the Ninja trader indicator on a text form to see of it can be translated to TS, it will be appreciated. Or if someone can come with the TS code it will be great. Cheers.

[Tams 20]

I just joined this forum. I got a lot of information from here and good indicators. VWAP indicator is very good. However, I think it will be very good if we could have an average VWAP for at least 5 days of trading. 5 days of averaging will give us a true understanding where the price/share ratio is. If any one can come out with an idea or code for TS, please share with us.

If any one is for the challenge, would it be possible to make a variable input to select how many days?

 

 

if you can do a hand calculation...

then illustrate your thoughts with

a plot of the results in a chart mock up,

maybe I can help.

[BlowFish 10]

Input:
SD3(false),
PlotOldVWAP (false),
NumberofDays (1);

if date > date[1] then
begin
n = n + 1;
if n = NumberofDays then 
begin	
	s = 0;
	n = 0;
	VWAP1 = VWAP;
	SD1 = SD;
	VWAP = 0;
	SumWeights = 0;
	SumWeightsOld = 0;
	VWAPOld = 0;
end;

 

I use something like this. If it's a new day increment a counter. If the counter is up to n days fire your reset code. You can tack that on to the front of the VWAP code in the indicator section here. Should probably change it to decrement a counter and compare to zero, more efficient like that, not sure what I was thinking that day .