VWAP Weekly Monthly & Yearly

The VWAP is a ratio that measures daily the total volume of trade in a security, as well as its average price. The volume-weighted average price can also be calculated over a given period.

This indicator calculate and plot the VWAP for the Weekly, Monthly and Yearly periods. It needs, of course, that the instrument has Volumes.

//PRC_VWAP weekly,monthly,yearly
//28.09.2016
//Nicolas @ www.prorealcode.com
//Sharing ProRealTime knowledge

//calculation periods
if DayOfWeek=0 or (dayofweek[1]=5 and dayofweek<>5) then
 weekbar=barindex
endif
if month<>month[1] then
 monthbar=barindex
endif
if year<>year[1] then
 yearbar=barindex
endif

once dWeekly=1
once dMonthly=1
once dYearly=1
dWeekly = max(dWeekly, barindex-weekbar)
dMonthly = max(dMonthly, barindex-monthbar)
dYearly = max(dYearly, barindex-yearbar)

VWAPweekly = SUMMATION[dWeekly](volume*typicalprice)/SUMMATION[dWeekly](volume)
VWAPmonthly = SUMMATION[dMonthly](volume*typicalprice)/SUMMATION[dMonthly](volume)
VWAPyearly = SUMMATION[dYearly](volume*typicalprice)/SUMMATION[dYearly](volume)

RETURN VWAPweekly as "VWAP Weekly", VWAPmonthly style(line,2) as "VWAP Monthly", VWAPyearly style(line,3) as "VWAP Yearly"

//PRC_VWAP weekly,monthly,yearly

//28.09.2016

//Nicolas @ www.prorealcode.com

//Sharing ProRealTime knowledge

//calculation periods

if DayOfWeek=0 or (dayofweek[1]=5 and dayofweek<>5) then

weekbar=barindex

endif

if month<>month[1] then

monthbar=barindex

endif

if year<>year[1] then

yearbar=barindex

endif

once dWeekly=1

once dMonthly=1

once dYearly=1

dWeekly = max(dWeekly, barindex-weekbar)

dMonthly = max(dMonthly, barindex-monthbar)

dYearly = max(dYearly, barindex-yearbar)

VWAPweekly = SUMMATION[dWeekly](volume*typicalprice)/SUMMATION[dWeekly](volume)

VWAPmonthly = SUMMATION[dMonthly](volume*typicalprice)/SUMMATION[dMonthly](volume)

VWAPyearly = SUMMATION[dYearly](volume*typicalprice)/SUMMATION[dYearly](volume)

RETURN VWAPweekly as "VWAP Weekly", VWAPmonthly style(line,2) as "VWAP Monthly", VWAPyearly style(line,3) as "VWAP Yearly"

volume vwap

Risk disclosure:

No information on this site is investment advice or a solicitation to buy or sell any financial instrument. Past performance is not indicative of future results. Trading may expose you to risk of loss greater than your deposits and is only suitable for experienced investors who have sufficient financial means to bear such risk.

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Filename : download the ITF files

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Nicolas • 09/28/2017 #
code updated with a better accuracy to calculate automatically the VWAP periods.

karlito • 09/28/2017 #
bonjour Nicolas pas de possibilité de contournement pour la trimestrielle ? merci
- Nicolas • 09/28/2017 #
  Je pense que ça doit être possible à faire bien sûr. Merci d’ouvrir un sujet dans le forum probuilder stp.

Anthony Williams • 09/28/2017 #
bonjour, tout nouveau ici, je recherche, concernant les vwap, l’indicateur vwap sur plusieurs UT comme ici, mais avec les PREVIOUS daily, weekly, et + en rajout ?! si vous avez un lien, merci…
- Nicolas • 09/28/2017 #
  Il n’existe pas encore dans la bibliothèque, merci de formuler une demande dans le forum approprié.

BERTJES82 • 09/28/2017 #
Hi Nicolas, is it possible to adjust the starting date of the VWAP on the charts? Thanks in advance…
- Nicolas • 09/28/2017 #
  Yes, have a look there: https://www.prorealcode.com/prorealtime-indicators/vwap-date-anchored/

Dadoo • 09/28/2017 #
Merci Nicolas!

Iván I personally like it in daily timeframe

oliTR Many thanks Ivan, I copy/paste your code to try it but could only get a constant stable unif...

Iván Hi, I've copied the code above and it works... what asset are you trying? $indices array ...

Ciccarelli Franco Sembra molto interessante e volevo dei chiarimenti se possibile :Le righe commentate vanno l...

KumoNoJuzza Thank you @philippe59139 !! We finally have the VAL / VAH to play with. Could you attach th...

Nicolas Il doit y avoir impérativement plus d'unités affichées que le paramètre "BarsLimit". Ceci ét...

steffen_burat Hello Nicolas, I have a cumulative histogram update problem, the indicator often updates ...

taklause Hello Nicolas, if I try to use your indicator in a trading system, the error on prc pops up ...

Rafa Hi Nicolas! I can´t install this indicator. it installs in a separate window not as an av...

Nicolas Add it on the price, see how: https://www.prorealcode.com/blog/video-tutorials/how-to-add-an...

Frankyslo1 No consigo instalarlo en el precio en PRL-version 10

Khaled As this section of the forum is in English, I'll reply in English. I'm using PRT v11, so I d...

sal157011 Don't understand where it says: "Volume Pressure Histogram: Columns plotted in positive are ...

Khaled Not sure to understand the question. However, the columns (Histogram) represent the variable...

Alai-n Cela fonctionne très bien !!! Super Merci

andreabarbuscia Ciao Nicolas, molto bello questo indicatore, l'ho apprezzato molto. Lo sto testando insieme...

Alai-n Je poste ici un lien afin de mieux appréhender le CVD-Cumulative Volume Delta : https://www....

DELBERT Bonsoir , Nicolas , j'ai transféré votre indicateur sur ma PRT 10,3 et j'ai un méssage d'ére...

Nicolas Vous pouvez essayer en remplacant la ligne avec: vwapsd = sqrt(average[lengthz](square(clo...

DELBERT Bonsoir , merci Nicolas , a bientôt .

ChemaGeek Bonjour Nicolas, j'ai récemment découvert cet indicateur (Regularized Momentum 2017) et je l...

YvesRobert Bonjour, nouveau sur PRT (qq jours), j'essaie un peu de voir quel type d'indicateur me convi...

Jigsaw20000 Bonjour, Je voudrais mettre le liens du code en format .itf mais je n'y arrive pas , quelqu'...

Corto78 Il faut aller dans la liste des ProBacktest & Trading Automatique (là ou tu as créer ton...

Malloc Bonjour, Votre système a l'air intéressant et prometteur mais en l'état il est inutilisable...

Ichimoku Reading I don't know in this case, I just downloaded it again and no problem for me. Try to downloa...

Ichimoku Reading What's the error that appears ?

Suzu Yuk Yes, it worked with 1Tick with 200 K . Thank you very much.

Daniele Maddaluno If you need to use it in PRT v11 take a look at this topic: https://www.prorealcode.com/top...

Monobrow Hi Daniele Thank you for the indicator, it looks very good. However, I have a problem so...

Anonymous Thanks very much for sharing, look forward to testing this idea out.

Barrabas15 Apparently, according to the attached data, there is an error in the indicator code. Attach...

Barrabas15 The files are at the end of the following link: https://www.prorealcode.com/topic/time-seg...

robertogozzi Thank you Barrabas15, the correct code is at https://www.prorealcode.com/topic/time-segmente...

Nicolas esta possible

bolsatonimora2 Hola Nicolas, perdona la molestia, pero podrias codificar el screener para rupturas de sopor...

Nicolas Utilice los foros para solicitar una codificación personalizada.

GARNIEPI hello I am looking for an anchored vwap intraday, indicator which allows you to visualize th...

withoutwings To be able to flexibly wrap around the full 24h (i.e. past midnight), or to use just a singl...

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