Sliding VWAP code

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  • 09/04/2023 at 8:37 PM #220333 quote
    KumoNoJuzza
    Participant
    New

    Hi,

    I have found code of VWAP for intraday with a starting time, but I am unable to amend it to get a sliding VWAP as per the attached snapshot.

    Is it possible to compute something like?

    // VWAP Computation
Timestart=Time-010000
if time=Timestart then
d=0

else
d=d+1
if volume >0 then
VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume)
endif
endif

    Thanks for your help

    VWAP-configuration.png VWAP-configuration.png
    09/05/2023 at 7:06 AM #220346 quote
    JS
    Participant
    Senior

    Hi @KumoNoJuzza

    Try this one:

      

    SlidingPeriod = 120 //in minutes
GTF = GetTimeFrame
N = Round(SlidingPeriod / (GTF/60))

VW = Close * Volume
VolumeSum = Summation[N](Volume)
VolumeWeightedSum = Summation[N](VW)

VWAP = VolumeWeightedSum / VolumeSum

Return VWAP Coloured("Red")
    KumoNoJuzza and Nicolas thanked this post
    Scherm­afbeelding-2023-09-05-om-08.03.35.png Scherm­afbeelding-2023-09-05-om-08.03.35.png
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Sliding VWAP code


ProOrder: Automated Strategies & Backtesting

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KumoNoJuzza @kumonojuzza Participant
Summary

This topic contains 1 reply,
has 2 voices, and was last updated by JS
2 years, 5 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 09/04/2023
Status: Active
Attachments: 2 files
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