Discrepencies VWAP
-
Hello,
I have several screeners running around stocks crossing the VWAP indicator intraday, but I have always noticed some false results.
Now that I’m looking closer, I see there is a discrepency between the VWAP indicator built in the platform, and the VWAP code I use in my screeners, since apparently I can not call the built-in indicator.
So in my screener, I calculate the VWAP as followed:
d = max(1, intradaybarindex) VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume)As you can see in the image attached, if I compare this code the the built in indicator, the shape is the same, but there is a slight shift…
Do you know why? is there a way to call the built in indicator?
There are a couple of issues. Your VWAP is inaccurate at the start of a day as it gives d a value of 1 for the first two bars. Try this instead:
d = intradaybarindex + 1 VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume) return vwapAlso if you read the description of the built in VWAP you will see that it is calculated using tick by tick data whereas yours is calculated using minute chart data. This is the most likely reason for the differing values.
Also bear in mind that when using the calculation in a screener that a screener can only use 254 bars and there are possibly 1440 bars in a day on a minute chart so this might give you incorrect screener results.
- You must be logged in to reply to this topic.
Author
Summary
This topic contains 2 replies,
has 2 voices, and was last updated by
6 years, 9 months ago.
Topic Details
| Forum: | ProBuilder: Indicators & Custom Tools |
| Language: | English |
| Started: | 05/08/2019 |
| Status: | Active |
| Attachments: | 2 files |
