VWAP Candles & MVWAP

8 ก.ค. 2019

I was getting sick of the useless VWAP indicator on Trading View and wrote something that is more comprehensive and quite interesting, in fact: candles for VWAP.

It uses the original open/high/low/close and combines them as you would the original hlc3 calculation, but separately, to draw the candles as a shadow of the current price.

There are a few parameters to make it more flexible: source, resolution timeframe, volume length, and moving average length.

Volume Length (default: 5) will determine the candle calculations, cumulative sum of the past X bars.

Moving Average Length (default: 9) will determine the simple moving average (sma) length for the true VWAP (hlc3*volume/cumulative volume)

Source will change the Moving Average VWAP from hlc3 to whatever you want.

Resolution will attune the candles and Moving Average VWAP line to a different periodicity.

Just to be a pain, I also included the old VWAP from Trading View, as a comparison. You can disable it from the Style settings.


Enjoy and happy trading!