VWAP & MVWAP indicators

This topic has 12 replies, 3 voices, and was last updated 2 years ago by IG_CFD_Trader.

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04/23/2020 at 1:34 AM #127540

kumar_AK

HI There,

I am looking to use VWAP indicator & MVWAP( ExponencialMooving Averate(VWAP 30 days).

I have very little knowledge of this indicator. I am trying to plot these on my chart.

There is vwap indicator available on advanced chart. so I added that with daily period. (VWAP(Daily) not sure what period to use.

how do I get MVAP.

can some one help me and put in a direction to explore more.

Thanks

kumar_AK

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04/23/2020 at 8:57 AM #127555

Nicolas

MVWAP is an EMA of the last X calculation of the VWAP. I think I can handle the code for that, but with PRT v11 only. Is that ok?

Nicolas

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04/23/2020 at 9:35 AM #127562

kumar_AK

I am currently using PRT V10.3

I am not aware if 11 is available. I can upgrade.

kumar_AK

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04/23/2020 at 9:42 AM #127563

kumar_AK

Hi Nicolas,

I did a quick research. V11 is not available for IG clients. I am using IG platform.

Did you have nay work around.

thanks

kumar_AK

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04/23/2020 at 10:45 AM #127585

Nicolas

Try that code:

period = 30

if day<>day[1] then
d=0
else
d=d+1
if volume >0 then
VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume)
endif
MVWAP = average[period](vwap)

endif

RETURN VWAP as "VWAP", MVWAP as "MVWAP"

period = 30

if day<>day[1] then

d=0

else

d=d+1

if volume >0 then

VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume)

endif

MVWAP = average[period](vwap)

endif

RETURN VWAP as "VWAP", MVWAP as "MVWAP"

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kumar_AK

Nicolas

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04/23/2020 at 1:01 PM #127592

kumar_AK

Thank you very much Nic.

I have successfully Plotted VWAP & MVWAP on my char.

Your code VWAP line is very close to the default indicator provided by IG VWAP(Daily).

only drawback is it is not working on daily chart. IT is working all the time frames below daily (15min, 30 min, 1hr,2hr,3hr,4 hr).

My screener is not working using this indicator. Is there a way to scan the stocks VWAP Cross over MVAP.

when I tried I am getting all the stocks.

kumar_AK

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04/23/2020 at 1:53 PM #127603

Nicolas

The code I provided is an intraday VWAP.

The below code introduce a setting to choose the vwap period, to add it onto the daily chart. So the VWAP calculation start at VWAPPERIOD+1, I don’t know if that’s relevant though.. Usually the VWAP is anchored at the beginning of a fixed period (day, month, year, date ..)

vwapPeriod = 100
mvwapPeriod = 30


d=vwapperiod
if volume >0 and barindex>vwapperiod then
VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume)
endif
MVWAP = average[mvwapperiod](vwap)

RETURN VWAP as "VWAP", MVWAP as "MVWAP"

vwapPeriod = 100

mvwapPeriod = 30

d=vwapperiod

if volume >0 and barindex>vwapperiod then

VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume)

endif

MVWAP = average[mvwapperiod](vwap)

RETURN VWAP as "VWAP", MVWAP as "MVWAP"

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kumar_AK

Nicolas

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01/24/2021 at 12:03 PM #159208

guarins

hi! how can i download VWAP for my platform? i’m using 11.1 version. i would like to add daily VWAP. could you help me? i don’t find ITF file :/

guarins

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01/24/2021 at 12:03 PM #159209

guarins

Nicolas wrote:

Try that code:

period = 30 if day<>day[1] then d=0 else d=d+1 if volume >0 then VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume) endif MVWAP = average[period](vwap) endif RETURN VWAP as “VWAP”, MVWAP as “MVWAP”

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period = 30

if day<>day[1] then

d=0

else

d=d+1

if volume >0 then

VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume)

endif

MVWAP = average[period](vwap)

endif

RETURN VWAP as “VWAP”, MVWAP as “MVWAP”

hi! how can i download VWAP for my platform? i’m using 11.1 version. i would like to add daily VWAP. could you help me? i don’t find ITF file :/

guarins

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01/24/2021 at 12:22 PM #159220

kumar_AK

thanks Nicolas.

this code is working fine on 10.3 and 11.1

create a new indicator with this code and add to your chart. easy to use.

kumar_AK

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01/24/2021 at 12:31 PM #159222

guarins

kumar_AK wrote:

thanks Nicolas.

this code is working fine on 10.3 and 11.1

create a new indicator with this code and add to your chart. easy to use.

i did it, but the indicator draw a straight line, look the png files

guarins

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01/24/2021 at 12:32 PM #159225

guarins

kumar_AK wrote:

thanks Nicolas.

this code is working fine on 10.3 and 11.1

create a new indicator with this code and add to your chart. easy to use.

i would like to setup an VWAP daily, how can i do? :/

guarins

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08/12/2021 at 11:57 PM #175207

IG_CFD_Trader

Hi Nicolas (and all PRC experts).

Regarding your intraday VWAP indicator that you published in the forum:

DEFPARAM CALCULATEONLASTBARS = 96

defparam drawonlastbaronly = True
d = intradaybarindex + 1 //(OR d = max(1,intradaybarindex)
VWAP = SUMMATION[d](volume*Close)/SUMMATION[d](volume)

Return VWAP coloured(255,0,255) STYLE(line,1) as “VWAP”

I have the following question:

Although this indicator correctly resets itself at 00:00 start of every day, it also continues to show VWAP for a few days in the past (depending on chart units and/or CALCULATEONLASTBARS value (96 in above code). This is perfectly fine but my question is as follows:

If I wanted to carry out further analysis and calculations on the indicator, how do I limit my calculations to JUST the bars after 00:00 of the current day (i.e. any intradaybars prior to 00:00 of current day (eg yesterday and day before yesterday intradaybars) are excluded)?

At the moment, any calcs I do on indicator is applied to 96 bars and depending on where time of current bar is (example at 5am in the morning), 96 bars is well into yesterday’s intraday.

I am sure there is a simple solution to this.

Thank you and regards.

IG_CFD_Trader

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