Rolling VWAP Channel [LuxAlgo]

The Rolling VWAP Channel indicator creates a channel by analyzing a large number of Volume Weighted Average Prices (VWAPs) and determining a Channel based on percentile linear interpolation throughout the VWAPs.

🔶 USAGE



In this indicator, we have formed a Channel by first calculating multiple VWAPs, each with their respective anchor, then locating prices using "Percentile Linear Interpolation".

Note: Percentile Linear Interpolation locates the price point at which a specified percentage of VWAPs fall below it.

For example, a percentile of 50% would mean that 50% of the VWAP values fall below this price.

This method of analysis is important since the VWAPs are not often evenly distributed; therefore, we are able to draw importance to different levels by analyzing in percentiles.

When visualized, there is typically clustering of the VWAP values, which occurs at any given time, as seen below.



The channel can be tailored to each individual, with full control of each percentile represented in the channel. That being said, a general concept is that these clustered areas are clear results of sideways price action, which would lead us to believe that after interactions at these levels, we should expect to see a directional decision made by the market closely after.

🔶 DETAILS

The Rolling VWAP calculation calculates a user-specified number of VWAPs (up to 500), each anchored to a unique starting point in the chart based on the start of a new timeframe.

Each new timeframe that occurs causes a new VWAP to initialize. When the total number of desired VWAPs is reached, the oldest VWAP is removed and re-initialized, anchored to the current bar. Hence, the name "Rolling" VWAPs

This method allows us to automatically generate and manage large amounts of VWAPs without the need for user interaction.

After we have generated these VWAPs, we are able to run analyses on their returned values, such as the "Percentile Linear Interpolation" mentioned in the section above.

🔶 SETTINGS

• Anchor Period: Choose which time period to use as the anchor point to initialize new VWAPs from.
  
• VWAP Source: Choose the source for your VWAPs to calculate.
  
• VWAP Amount: Sets the number of VWAPs to use. After this amount is on the chart, the oldest will be rolled.
  

🔹 Channel Lines

• Toggle: Enable the associated VWAP Channel percentile line.
  
• Percentile: Adjust each line's percentile independently for your needs.
  
• Width: Adjust the width of the associated percentile line.
  

🔹 Calculation

• Calculated Bars: Tells the indicator how many bars to calculate on, for faster calculations with less history, use a lower value. Setting this to 0 will remove the bar constraint.