Moving Volume-Weighted Avg Price, % Channel, BBs

10 May

This script includes:

- Moving Volume-Weighted Average Price line.

- User-defined % band above and below, very useful for "breakout" signals, and mentally adjusting to the magnitude of price swings when viewing an automatic scale on the price axis.

- Volume-Weighted Bollinger Bands, which are more sensitive to volume.

More detail:

- This is like TV's basic VWAP in concept, except the major flaw in that is that it has reset periods that you can't override, and the volume is cumulative until the next hard reset. The 'reset' is OK for securities trading, that resets every day anyway. But not for crypto - and not if/when securities trading goes 24/7. Also, the denominator accumulating over the entire period is also *not* OK, because then what is shown means something different as the day progresses - which kind of makes it useless. In other words, it starts out very sensitive to volume, and gets progressively more numb to it as they day progresses, and starts flattening out.

- This fixes both problems, by using a user-definable moving window for the average. Essentially combining SMA with volume-weighting.

- You may also find an invaluable trading aid, in the % bands above and below.

- What can optionally be shown is standard deviation bands, aka Bollinger bands. The advantage over regular BB is that it's volume-weighted. Since it is already calculated on a moving average, the period for the standard deviation has been shortened by default, and the magnitude increased, to better approximate regular Bollinger Bands - but it's still more responsive to volume.

13 May

Sürüm Notları

Feature summary:

• A true Volume-Weighted Average Price line, calculated with a predictable, user-definable fixed-width continuously sliding moving window. (See below why TV’s-provided anchored VWAP indicator is terribly flawed and misleading.)
  
  
• A band of percentage points above and below the center line. (With a user-definable % and can be turned off.) This is super-useful for: 1) “breakout” confirmation signals; and perhaps more importantly, 2) visually and mentally adjusting to the true magnitude of price swings, when viewing an automatic scale on the price axis, especially at varying time resolutions.
  
  
• Volume-Weighted “Bollinger Bands”. (With user-definable window and stddev; is off by default.) These look and act a little differently than classic Bollinger Bands, hence the quotes. Since it’s already operating on a moving average, the window size and standard deviation have been tweaked to more closely approximate the classic. (But you’ll notice that it’s more responsive to volume.)
  

More detail:

• The major flaw in TradingView’s built-in VWAP indicator, is that it has a daily reset period that you can’t override, and the volume denominator is cumulative until the next hard reset.
  
  That’s problematic as a reliable technical indicator, because:
  
  …1) Throughout the trading day, for literally every bar, the indicator means something different. Since the day’s starting window is so short, it follows price very closely.
  
  …2) Then as the day progresses and the denominator gets ever-more huge, the line gets more sluggish. It gradually flattens out and by the end of the day, it may turn completely flat and unresponsive to any price change - which is completely useless. (In other words, the averaging window ranges from 1 bar, to however many bars are in your day - i.e. 288 for a 5-minute view in a 24/7 market.)
  
  …3) When the trading day resets - even for 24/7 markets like crypto - the average line usually makes a jarring jump up or down - when volume sensitivity instantly switches from ultra-dull, to 1:1 hyper-sensitive.
  
  
• This indicator fixes all of those problems, by using a user-definable moving window for the averaging. At it’s core, the center-line behaves just as you would expect from a volume-weighted SMA, no surprises.
  
  
• But there is at least one other custom, true VWAP indicator available. What sets this apart, is that it also mimics two other would-be great features of TV’s VWAP: A percentage points channel above and below the average line, and a pseudo Bollinger Bands channel. (“Pseudo” because it’s volume-weighted - and so while the math is the same, it’s technically not exactly the same).