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VWAP Daily coding

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ProOrder: Automated Strategies & Backtesting
VWAP Daily coding

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Posts

08/12/2021 at 2:25 PM #175181 quote

efahmy

Participant

Average

How I can code if the price greater or less than VWAP??

08/13/2021 at 8:39 AM #175218 quote

robertogozzi

Moderator

Legend

There you go:

//VWAP calculation
//
NoSunday = 0            //1=skip Sunday's
IF (BarIndex = 0) OR (OpenDay <> OpenDay[1]) THEN
   SumVolPrice = 0
   SumVol      = 0
ENDIF
IF Volume > 0 THEN
   IF (OpenDayOfWeek <> 0) OR (OpenDayOfWeek = 0 AND Not NoSunday) THEN
      SumVolPrice = SumVolPrice + (Volume * close)
      SumVol      = SumVol      + Volume
      VWAP        = SumVolPrice / SumVol
   ENDIF
ENDIF
Cond = (close > VWAP) + ((close < VWAP) * -1) //1=above  -1=below

efahmy, Midlanddave and eckaw thanked this post

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VWAP Daily coding

ProOrder: Automated Strategies & Backtesting

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efahmy @efahmy Participant

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

Topic Details

Forum:	ProOrder: Automated Strategies & Backtesting
Language:	English
Started:	08/12/2021
Status:	Active
Attachments:	No files

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VWAP Daily coding

Stuck on this ProBuilder code?

VWAP Daily coding ProOrder: Automated Strategies & Backtesting

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VWAP Daily coding

ProOrder: Automated Strategies & Backtesting