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Sliding VWAP code

KumoNoJuzza · 2023-09-04T19:37:09+00:00

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

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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
09/05/2023 at 7:06 AM #220346 quote
JS
Participant

Master
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
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Sliding VWAP code

ProOrder: Automated Strategies & Backtesting

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KumoNoJuzza @kumonojuzza Participant

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

Topic Details

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

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Sliding VWAP code

Stuck on this ProBuilder code?

Sliding VWAP code ProOrder: Automated Strategies & Backtesting

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Sliding VWAP code

ProOrder: Automated Strategies & Backtesting