2-3 Day VWAP

  • This topic has 1 reply, 2 voices, and was last updated 1 week ago by avatarIván.
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  • #238349

    Anyone have a good solution for a rolling 2 and 3 day vwap that properly ignores non-trading days? If I use the standard PRT VWAP and set it to 2 days, nothing shows up on monday on stocks and ETFs that don’t trade on the weekends.  I thought about using a 5 day anchored vwap on mondays but the switching back and forth really doesn’t appeal to me.

    #238366

    Maybe this code can give you an idea:

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