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ค้นหาในสคริปต์สำหรับ "VWAP"

AVWAP Band✨ AVWAP Band by Mars ✨ The AVWAP Band indicator eliminates the guesswork of selecting multipliers for your VWAP analysis. Instead of using arbitrary deviations, this indicator provides three distinct VWAP lines calculated from different price points - giving you a complete VWAP band with just one tool. What Makes This Different From Standard VWAP Traditional VWAP indicators use multipliers (1.0, 2.0, 3.0) which require constant adjustment across different markets and timeframes. The AVWAP Band simplifies this by using natural price points: Low-based VWAP (green) - acts as support High-based VWAP (red) - acts as resistance HL2-based VWAP (gray) - acts as the centerline Key Features Reduces cognitive load - no more guessing which multiplier to use User-selected anchor point (click to set date) Customizable colors and line styles Built-in alerts for all crossover/crossunder events Visual anchor point marker How To Use It After adding the indicator to your chart, you have to click on your anchor point Watch for price reactions at each VWAP line Look for crossovers between price and the different VWAPs Use the HL2 VWAP as a centerline to determine overall bias Trading Applications Support/Resistance levels for intraday trading Mean-reversion signals when price touches band extremes Trend confirmation when price holds above/below centerline Range identification between upper and lower bands Volatility assessment based on band width Customization Options Toggle each VWAP line individually Adjust line colors to match your chart theme Control line width and transparency Enable/disable anchor point label This indicator simplifies VWAP analysis by giving you natural price-based bands without the need to adjust multipliers across different markets. The high, low, and HL2 sources create a complete VWAP picture with just one tool. VIDEO Feedback and suggestions welcome!
อินดิเคเตอร์ Pine Script®
โดย marsrides
4
EVWAPThis indicator plots two Volume-Weighted Average Price (VWAP) lines anchored to earnings events: EVWAP (Earnings Day): Resets VWAP on the day of the earnings release. EVWAP (Post-Earnings Day): Resets VWAP on the first trading day after earnings. These earnings-based VWAPs help identify average price zones impacted by earnings, providing insight into post-earnings support/resistance and potential trend shifts. Works on all timeframes. Useful for traders analyzing price reactions around earnings reports.
อินดิเคเตอร์ Pine Script®
โดย SelfUnmade
1
MultiWAPThe VWAP tracks the average price, giving weight to each candle based upon its' relative volume. In other words, high-volume candles move the VWAP faster than low-volume candles. On a good day, market maker: -Buys the dip -Pumps past resistance, causing bullish FOMO -Sells into the bullish FOMO, causing bearish FOMO -Buys the dip (rinse and repeat) By default, MultiWAP begins at the first visible bar. Range low/high - tracks the most recent high/low Upper VWAP - tracks retail's average buy price (MM is selling) Lower VWAP - tracks MM's average buy price (MM is buying) If price closes below the lower VWAP or the range low, the lower VWAP and range low are reset. If price closes above the upper VWAP or the range high, the upper VWAP and range high are reset. Resets are indicated by the dots. Resetting either VWAP moves it close to last price, making it easy to breach again. A down-trend that lasts many bars will produce a string of green dots. When the accumulation phase ends, price pulls away from the lower VWAP, so it stops resetting. The ABSENCE of green dots tells you that we're in the markup phase/up-trend. An up-trend that lasts many bars will produce a string of red dots. When the distribution phase ends, price pulls away from the upper VWAP, so it stops resetting. The ABSENCE of red dots tells you that we're in the markdown phase/down-trend. By default, the net result is two VWAP's that automatically anchor themselves to the most recent, significant, and visible, high and low. Usage: For any timeframe, I recommend starting zoomed way out. Find the last green dot and drop an "Anchored VWAP" there. Now, zoom in until that candle is no longer visible. Find the last green dot and drop an anchored VWAP there. Continue doing so until you notice the lower VWAP getting reset to basically the same place. This works the same, in reverse, during down-trends.
อินดิเคเตอร์ Pine Script®
โดย Kerbal
1
Spot v Perp aggrRollingVWAPThis indicator is a rolling VWAP that shows an aggregated BTC VWAP for both spot markets and futures markets Spot VWAP is shown in BTC orange while perp VWAP is shown in blue This is useful for identifying which market (spot or perps) is pushing trending moves If the spot VWAP is more closely following the trend, then spot is pushing the move If the perp VWAP is more closely following the trend, then perps are pushing the move e.g. In the following picture you can see that the move down was followed much more closely by the spot VWAP, therefore you can assume that the move is being pushed my spot
อินดิเคเตอร์ Pine Script®
โดย TraderKalis
1
[VJ] Mega Supertrend for IntradayThis is a simple intraday strategy for working on Stocks or commodities based out on Super Trend and intraday's best friend - VWAP . You can modify the start time and end time based on your timezones. Session value should be from market start to the time you want to square-off Important: The end time should be at least 2 minutes before the intraday square-off time set by your broker Comment below if you get good returns Strategy: Tweaked Super trend with VWAP Indicators used : Super trend is simple and easy to use indicator and gives a precise reading about an on going trend.It is built with two parameters, namely period and multiplier.The Buy and Sell signal modifies once the indicator tosses over the closing price. When the Super trend closes above the Price, a Buy signal is generated, and when the Super trend closes below the Price, a Sell signal is generated. In this case we use it only for direction . Multiplier is a vital input for Super trend. If the multiplier value is too high, then lesser number of signals is made. Volume is important as we don’t want to get stuck with a stock which has few takers, even if you think it is priced attractively. Thus, the VWAP was created to take into account both volume as well as Price so that the potential trader would make the trading decision or not. In simple terms, the Volume Weighted Average price is the cumulative average price with respect to the volume Buying/Selling when the closing price starts moving up/down and farther from the VWAP, there is pressure among the traders to sell/buy, a general belief kicks in that it might be that the stock is overvalued/undervalued .This is the time when we couple the Super trend to take our entries Usage & Best setting : Choose a good volatile stock and a time frame - 5m. ST multiplier : 3 There is stop loss and take profit that can be used to optimise your trade The template also includes daily square off based on your time.
กลยุทธ์ Pine Script®
โดย vikris
2
Custom_AVWAP_Harpal's-AnchorsAutomated VWAP Indicator written in PineScript for TradingView charts. Automatically Anchored at key swing H/L levels extracted from price and volume time-series. Indicator takes one Argument, "LookBack (# of Periods)", and then for a given security finds three key anchors, the highest and lowest values in the 'hlc3' column (average of high low and close on the daily timeframe) in the last 'LookBack' # of days. The script displays up to three color coded time-series corresponding to a trailing Volume Weighted Average Price beginning at the anchor dates corresponding to the anchor points listed above.
อินดิเคเตอร์ Pine Script®
โดย ak2k2
5
ZenAlgo - LevelsThis script combines multiple anchored Volume-Weighted Average Price (VWAP) calculations into a single tool, providing a continuous record of past VWAP levels and highlighting when price has tested them. Typically, VWAP indicators show only the current VWAP for a single anchor period, requiring you to either keep re-anchoring manually or juggle multiple instances of different VWAP tools for each timeframe. By contrast, this script automatically tracks both the ongoing VWAP and previously completed VWAP values, along with real-time detection of “tests” (when price crosses a particular VWAP level). It’s especially valuable for traders who want to see how price has interacted with VWAP over several sessions, weeks, or months—without switching between separate indicators or manually setting anchors. Below is a comprehensive explanation of each component, why multiple VWAP lines working together can be more informative than a single line, and how to adjust the script for various markets and trading styles: Primary VWAP vs. Historical VWAP Lines - Standard VWAP indicators typically focus on the current line only. This script also calculates a primary VWAP, but it “locks in” each completed VWAP value when a new time anchor is detected (e.g., new weekly bar, new monthly bar, new session). As a result, you retain an ongoing history of VWAP lines for every completed anchored period. This is more powerful than manually setting up multiple VWAP tools—one for each desired timeframe—because everything is handled in a single script. You avoid chart clutter and the risk of forgetting to reset your manual VWAP at the correct bar. Why Combine Multiple Anchored VWAP Lines in One Script? - Viewing several anchored VWAP lines together offers synergy . You see not only the current VWAP but also previous ones from different sessions or months, all within the same chart pane. This synergy becomes apparent if multiple historical VWAP lines cluster near the same price level, indicating a potentially significant zone of volume-based support or resistance. Handling this manually would involve repeatedly setting separate VWAP indicators, each reset at specific points, which is time-consuming and prone to error. In this script, the process is automated: as soon as the anchor changes, a completed VWAP line is stored so you can observe how price eventually reacts to it, repeatedly or not at all. Automated “Test” Detection - Once a historical VWAP line is set, the script tracks when price crosses it in subsequent bars. If the high and low of a bar span that line, the script marks it in red (both the line and its label). It also keeps a counter of how many times each line has been tested. This method goes beyond a simple visual approach by quantifying the retests. Because all these lines are created and managed in one place, you don’t have to manually label the lines or check them one by one. Advantages Over Manually Setting Multiple VWAPs You save screen space: Instead of layering several VWAP indicators, each with unique settings, this single script plots them all on one overlay. Automation: When a new anchor period begins, the script “closes out” the old VWAP and starts a new one. You never need to remember to reset it manually. Retest Visualization: The script not only draws each line but also changes color and updates the label automatically if a line gets tested. Doing this by hand would be labor-intensive. Unified Parameters: All settings (e.g., array size, max distance, test count limit) apply uniformly. You can manage them from one place, instead of configuring multiple separate tools. Extended Insight with Multiple VWAP Lines Since VWAP reflects the volume-weighted average price for each chosen period, historical lines can show zones where the market had a fair-value consensus in previous intervals. When the script preserves these lines, you see potential support/resistance areas more distinctly. If, for instance, price continually pivots around an old VWAP line, that may reveal a strong volume-based level. With several older VWAP lines on the chart, you gain an immediate sense of where these volume-derived averages have appeared and how price reacted over time. This wider perspective often proves more revealing than a single “current” VWAP line that does not reflect previous anchor sessions. Handling of Illiquid Markets and Volume Limitations VWAP is inherently tied to volume data, so its reliability decreases if volume reporting is missing or if the asset trades with very low liquidity. In such cases, a single large trade might momentarily skew the VWAP, resulting in “false” test signals when the high/low range intersects an abnormal price swing. If you suspect the data is incomplete or the market is unusually thin, it’s wise to confirm the validity of these VWAP lines before using them for any decision-making. Additionally, unusual market conditions—like after-hours trading or sudden high-volatility events—may cause VWAP to shift quickly, setting up multiple lines in a short time. Key User-Configurable Settings Hide VWAP on Day timeframe and above : Lets you disable the primary VWAP plot on daily or higher timeframes for a cleaner view. Anchor Period : Select from Session, Week, Month, Quarter, Year, Decade or Century. Controls how frequently the script resets and preserves the VWAP line. Offset : Moves the current VWAP line by a specified number of bars if you need a shifted perspective. Max Array Size : Caps how many past VWAP lines the script will remember. Prevents clutter if you’re charting very long histories. Max Distance : Defines how far back (in bar index units) a line is kept. If a line’s start bar is older than this threshold, it’s removed, keeping the chart uncluttered. Max Red Labels : Limits the number of tested (red) VWAP lines that appear. If price tests a large number of old lines, only the newest red labels remain once you hit the set limit. Workflow Overview As soon as a new anchor period begins (e.g., a new weekly candle if “Week” is chosen), the script ends the current VWAP and stores that final value in its internal arrays. It creates a dotted line and label representing the completed VWAP, and keeps track of whether it has been tested or not. Subsequent bars may then cross that line. If a bar’s high/low includes the line’s value, it’s flagged as tested, labeled red, and a test counter increases. As new anchored periods come, old lines remain visible—unless they fall outside your maxDistance or you exceed the maximum stored line count. Real-World Benefits Combining multiple VWAP lines—ranging, for example, from session-based lines for intraday perspectives to monthly or quarterly lines for broader context—provides a layered view of the volume-based fair price. This can help you quickly spot zones where price repeatedly intersects old VWAPs, potentially highlighting where bulls or bears took action historically. Because this script automates the management of all these lines and flags their retests, it removes a great deal of repetitive manual work that would typically accompany multiple, separate VWAP indicators set to different anchors. Limitations & Practical Use As with any volume-related tool, the script depends on reliable volume data. Assets trading on smaller venues or during illiquid periods may produce spurious signals. The script does not signal buy or sell decisions; rather, it helps visually map out where volume-weighted averages from previous periods might still be relevant to market behavior. Always combine the insight from these historical VWAP lines with your existing analytical approach or other technical and fundamental tools you use. Conclusion This script unifies past and present VWAP lines into one overlay, automatically detecting new anchor resets, storing the final VWAP values, and indicating whenever old lines are retested by price. It offers synergy through the simultaneous display of multiple historical VWAP lines, making it quicker and easier to detect potential support/resistance zones and better reflect changing market volumes over time. You no longer need to manually create, configure, or reset multiple VWAP indicators. Instead, the script handles all aspects of line creation, retest detection, and clutter management, giving you a robust framework to observe how historical VWAP data aligns with current price action. By understanding the significance of multiple anchored VWAP lines, you can assess market structure from multiple angles in a single view. As always, ensure you confirm the reliability of the volume data for your particular asset and use these lines in conjunction with other analyses to form a well-rounded perspective on current market behavior.
อินดิเคเตอร์ Pine Script®
โดย ZenAlgo_Official
1
VWAP Diario + VWAP 08:00-12:00 ventanas NYWhat it plots Daily VWAP (main line) Anchored to the current trading day and only visible between 19:00 and 16:50 New York (UTC-5) to prevent any “ghost” segments. Dynamic color: turns green when price closes above (bullish bias) and red when price closes below (bearish bias). Optional standard-deviation/percentage bands (off by default). 08:00–12:00 VWAP (morning line) Resets at 08:00 NY and shows until 12:00 NY only. Acts as a morning value guide for early direction and pullbacks. Clean rendering: Both lines use strict time masks and line breaks, so nothing is drawn outside their windows. You can toggle either line on/off. How to Read It Daily VWAP ≈ “fair value” of the whole session; use it for directional bias and confluence. 08:00–12:00 VWAP ≈ “fair value” of the morning; helps refine entries during the open. Alignment: Bullish environment: price and 08–12 VWAP sit above the Daily VWAP. Rotation/mixed: price oscillates between the two lines. Bearish: price and 08–12 VWAP sit below the Daily VWAP. Two Mechanical Playbooks Recommended charts: 1-minute for entries, 5-minute for context on NQ/Nasdaq100. Primary execution window: 09:30–12:00 NY. A) Trend Play (Break → Pullback to VWAP) Goal: Join the day’s impulse with value confirmation. Rules Bias filter before 09:30 Bullish: 08–12 VWAP ≥ Daily VWAP; Bearish: 08–12 ≤ Daily. First push 09:30–09:45 breaks the initial range high (bull) or low (bear). Entry (pullback into confluence) Wait for a pullback that tags/wicks the 08–12 VWAP or the Daily VWAP in the direction of bias. Go long on bullish rejection (close back above); short on bearish rejection. Stop-loss Beyond the rejection wick or the touched VWAP (e.g., 1–1.5× ATR(1m/5m)). Take-profit TP1 = 1R (scale 50%); TP2 = 2–3R or day extremes (HOD/LOD). If bands are on, consider exiting on a clean tag of the opposite band. Management Move to breakeven at 1R; exit early if price reclaims the opposite side of Daily VWAP. Avoid when the morning is choppy and price sits glued between the two VWAPs. B) Mean-Reversion Play (Controlled Reversal at Daily VWAP) Goal: Capture a return to value after an overstretch and a clean rejection. Rules Stretch condition Fast move away from Daily VWAP (3–5 bars) or beyond Band #1/#2 if enabled. Rejection signal at Daily VWAP A bar that touches Daily VWAP and closes back on the opposite side (pin/engulfing/strong close). Entry Long if a selloff rejects above Daily VWAP. Short if a rally rejects below Daily VWAP. Stop-loss Just beyond the rejection wick or ~1× ATR(1m). Take-profit TP1 = 1R or the 08–12 VWAP; TP2 = 2–3R or a prior consolidation. Management If price crosses and holds on the other side of Daily VWAP (2 closes), cut the idea. Avoid during high-impact news or when the session is strongly trending (prefer Play A). Quality Filters Volatility: Ensure ATR(14, 1m) or the 09:30–09:45 range exceeds your minimum. Spread/liquidity: Skip abnormal spreads at the open. News: If a red-level release is imminent, wait 2–3 bars after the print. Coherence: Prefer trades when 08–12 and Daily VWAP don’t conflict. Risk & Trade Management Risk per trade: 0.25%–0.5% account risk. Daily cap: 2–3 trades; stop for the day at –1R to –1.5R. No over-reentry: Don’t chase if price is sitting exactly on a VWAP; wait for separation. Log your metrics: setup type (A/B), confluences, distance to VWAP at trigger, time, R multiple. Quick Pre-Trade Checklist Bias aligned? (price vs Daily and 08–12 VWAP) Choose Trend or Mean-Reversion play Clear confluence at the VWAP line? Realistic stop (≤ ~1.5× ATR 1m)? Any imminent news? TP plan: TP1 = 1R → BE, TP2 = 2–3R.
อินดิเคเตอร์ Pine Script®
โดย AlanBartonRevival
VWAP CALENDARThe VWAP CALENDAR indicator plots up to 20 anchored Volume-Weighted Average Price (VWAP) lines on your chart, each starting from a user-defined date and time (e.g., April 20, 2024). Designed for simplicity, it helps traders visualize VWAPs for key events or dates, with customizable labels and colors. The indicator is optimized for crypto markets (e.g., BTC/USD) but works with any symbol providing volume data. Features: Multiple VWAPs: Configure up to 20 independent VWAPs, each with a custom anchor date and time. Dynamic Labels: Labels update in real-time, aligning precisely with each VWAP line’s price level, positioned to the right of the chart for clarity. Customizable Settings: Adjust label text (e.g., “Event A”), line colors, line widths (1–5 pixels), text colors, and text sizes (8–40 points, default 22). Bubble or No-Background Labels: Choose between bubble-style labels (with colored backgrounds) or plain text labels without backgrounds. Timeframe Support: Accurate on daily, 4-hour, 1-hour, and 30-minute charts for anchors within ~1.5 years (e.g., April 20, 2024, from August 2025). Limitations: VWAP accuracy for anchors like April 20, 2024 (~477 days back) is reliable on 1-hour and larger timeframes. Below 30-minute (e.g., 15-minute, 24-minute), VWAPs may start later or be unavailable due to TradingView’s 5,000-bar historical data limit. For distant anchors, use 4-hour or daily charts to ensure accuracy. Requires sufficient chart history (e.g., premium account or deep exchange data) for older anchors on 1-hour or 30-minute charts. Usage Notes: Set anchor dates via the indicator settings (e.g., “2024-04-20 00:00”). Enable/disable individual VWAPs as needed. Zoom out to load maximum chart history for best results, especially on 1-hour or 30-minute timeframes. Ideal for crypto symbols with continuous trading data, but verify data availability for other markets. Disclaimer: This is a free indicator provided as-is
อินดิเคเตอร์ Pine Script®
โดย fragilety
VWAP + Engulfing CandlesHere’s a clear breakdown of what your merged Pine Script does: --- ### 📌 **Indicator Name: VWAP + Engulfing Candles** * This custom TradingView indicator **plots VWAP (Volume Weighted Average Price)** along with **up to 3 dynamic bands** around it. * It also **detects Bullish and Bearish Engulfing Candlestick Patterns**, displaying visual markers and triggering alerts. --- ## 🔹 **1. VWAP Section** ### ➤ **Main Features:** * Calculates VWAP anchored to a **customizable time period**: * Options: Session, Week, Month, Quarter, Year, Decade, Century, Earnings, Dividends, Splits. * Optional **hiding of VWAP on Daily/Weekly/Monthly charts** to reduce clutter. ### ➤ **Bands Around VWAP:** * Up to **3 bands** can be plotted above and below the VWAP. * Bands can be based on either: * **Standard Deviation** of the price from VWAP (volatility-based), or * **Percentage** deviation from VWAP (fixed range). * You can control: * Whether each band is shown * Band width via multiplier (e.g., 1x, 2x, 3x) ### ➤ **Plot Colors:** * VWAP: Blue * Bands: Green (1x), Olive (2x), Teal (3x) * Band fill areas are semi-transparent. --- ## 🔹 **2. Engulfing Candlestick Pattern Detector** ### ➤ **Bullish Engulfing Criteria:** * Current candle opens **below** or **equal to** the close of the previous candle. * Current candle opens **below** the previous candle's open. * Current candle closes **above** the previous candle’s open. ### ➤ **Bearish Engulfing Criteria:** * Current candle opens **above** or **equal to** the close of the previous candle. * Current candle opens **above** the previous candle’s open. * Current candle closes **below** the previous candle’s open. ### ➤ **Visual Signals:** * 🔼 Green triangle **below bar** for **Bullish Engulfing** * 🔽 Red triangle **above bar** for **Bearish Engulfing** ### ➤ **Alerts:** * The script includes two alert conditions: * One for Bullish Engulfing * One for Bearish Engulfing These alerts can be used to automate notifications for potential reversal points. --- ## 🛠️ **Use Cases** * **Trend following or reversal spotting**: VWAP helps identify the average trading price; engulfing patterns often signal reversals. * **Intraday and swing trading**: Works best on timeframes like 5m, 15m, 1h for intraday, or 4h, 1D for swing. * **Mean reversion strategies**: Bands help spot overbought/oversold areas relative to VWAP.
อินดิเคเตอร์ Pine Script®
โดย jaydipali622018
VWAP Kalman FilterOverview This indicator applies Kalman filtering techniques to Volume Weighted Average Price (VWAP) calculations, providing a statistically optimized approach to VWAP analysis. The Kalman filter reduces noise while maintaining responsiveness to genuine price movements, addressing common VWAP limitations in volatile or low-volume conditions. Technical Implementation Kalman Filter Mathematics The indicator implements a state-space model for VWAP estimation: - Prediction Step: x̂(k|k-1) = x̂(k-1|k-1) + v(k-1) - Update Step: x̂(k|k) = x̂(k|k-1) + K(k) - Kalman Gain: K(k) = P(k|k-1) / (P(k|k-1) + R) Where: - x̂ = estimated VWAP state - K = Kalman gain (adaptive weighting factor) - P = error covariance - R = measurement noise - Q = process noise - v = optional velocity component Core Components Dual VWAP System - Standard VWAP: Traditional volume-weighted calculation - Kalman-filtered VWAP: Noise-reduced estimation with optional velocity tracking - Real-time divergence measurement between filtered and unfiltered values Adaptive Filtering - Process Noise (Q): Controls adaptation to price changes (0.001-1.0) - Measurement Noise (R): Determines smoothing intensity (0.01-5.0) - Optional velocity tracking for momentum-based filtering Multi-Timeframe Anchoring - Session, Weekly, Monthly, Quarterly, and Yearly anchor periods - Automatic Kalman state reset on anchor changes - Maintains VWAP integrity across timeframes Features Visual Components - Dual VWAP Lines: Compare filtered vs. unfiltered in real-time - Dynamic Bands: Three-level deviation bands (1σ, 2σ, 3σ) - Trend Coloring: Automatic color adaptation based on price position - Cloud Visualization: Highlights divergence between standard and Kalman VWAP - Signal Markers: Crossover and band-touch indicators Trading Signals - VWAP crossover detection with Kalman filtering - Band touch alerts at multiple standard deviation levels - Velocity-based momentum confirmation (optional) - Divergence warnings when filtered/unfiltered values separate Information Display - Real-time VWAP values (both standard and filtered) - Trend direction indicator - Velocity/momentum reading (when enabled) - Divergence percentage calculation - Anchor period display Input Parameters VWAP Settings - Anchor Period: Choose calculation reset period - Band Multipliers: Customize deviation band distances - Display Options: Toggle standard VWAP and bands Kalman Parameters - Length: Base period for calculations (5-200) - Process Noise (Q: Higher values increase responsiveness - Measurement Noise (R): Higher values increase smoothing - Velocity Tracking: Enable momentum-based filtering Visual Controls - Toggle filtered/unfiltered VWAP display - Band visibility options - Signal markers on/off - Cloud fill between VWAPs - Bar coloring by trend Use Cases Noise Reduction Particularly effective during: - Low volume periods (pre-market, lunch hours) - Volatile market conditions - Fast-moving markets where standard VWAP whipsaws Trend Identification - Cleaner trend signals with reduced false crosses - Earlier trend detection through velocity component - Confirmation through divergence analysis Support/Resistance - Filtered VWAP provides more stable S/R levels - Bands adapt to filtered values for better zone identification - Reduced false breakout signals Technical Advantages 1. Optimal Estimation: Mathematically optimal under Gaussian noise assumptions 2. Adaptive Response: Self-adjusting to market conditions 3. Predictive Element: Velocity component provides forward-looking insight 4. Noise Immunity: Superior noise rejection vs. simple moving average smoothing Limitations - Assumes linear price dynamics - Requires parameter optimization for different instruments - May lag during sudden volatility regime changes - Not suitable as standalone trading system Mathematical Background Based on control systems theory, the Kalman filter provides recursive Bayesian estimation originally developed for aerospace applications. This implementation adapts the algorithm specifically for financial time series, maintaining VWAP's volume-weighted properties while adding statistical filtering. Comparison with Standard VWAP Standard VWAP Issues Addressed: - Choppy behavior in low volume - Whipsaws around VWAP line - Lag in trend identification - Noise in deviation bands Kalman VWAP Benefits: - Smooth yet responsive line - Fewer false signals - Optional momentum tracking - Statistically optimized filtering Alert Conditions The indicator includes several pre-configured alert conditions: - Bullish/Bearish VWAP crosses - Upper/Lower band touches - High divergence warnings - Velocity shifts (if enabled) --- This open-source indicator is provided as-is for educational and trading purposes. No guarantees are made regarding trading performance. Users should conduct their own testing and validation before using in live trading.
อินดิเคเตอร์ Pine Script®
โดย yundore
VWAP table with color ## 📊 VWAP Table with Color – Clear VWAP Deviation at a Glance This script displays a **VWAP (Volume-Weighted Average Price)** table in a non-intrusive, color-coded panel on your chart. It helps you **quickly assess where the current price stands relative to VWAP**, classified into sigma bands (standard deviations). The goal is to provide valuable VWAP insight **without cluttering the chart with multiple lines**. --- ### 🔍 Purpose & Concept VWAP is a powerful tool used by institutional traders to measure the average price an asset has traded at throughout the day, based on both volume and price. In this script: - We **do not plot traditional VWAP lines** with multiple ±1σ, ±2σ, etc., on the chart. - Instead, we **summarize VWAP and its relative position in a table**, color-coded by deviation. - This provides the **same information**, but in a **cleaner, minimal, and visually digestible format**. --- ### 🧠 VWAP Deviation Classification The script calculates how far the current price is from the VWAP, in units of **standard deviation (σ)**. The formula is: ```plaintext VWAP Delta σ = (Current Price - VWAP) / Standard Deviation ``` This gives you a normalized value for deviation from VWAP, and it is **clamped between -3 and +3** to avoid extreme outliers. Each range is color-coded and classified as: | VWAP Δσ | Zone | Interpretation | Color | |---------|---------------|------------------------------------------|--------------| | -3σ | Far Below | Strongly below VWAP – potentially oversold | 🔴 Red | | -2σ | Below | Below VWAP – bearish territory | 🟠 Orange | | -1σ | Slightly Below| Slightly under VWAP – weak signal | 🟡 Yellow | | 0σ | At VWAP | Price is around VWAP – neutral zone | ⚪ Gray | | +1σ | Slightly Above| Slightly above VWAP – weak bullish | 🟢 Lime Green | | +2σ | Above | Above VWAP – bullish signal | 🟢 Green | | +3σ | Far Above | Strongly above VWAP – potentially overbought | 🟦 Teal | This **compact summary in the table** provides a clear situational view while keeping the chart clean. --- ### ⚙️ User Customization Users can configure: - **VWAP σ Multiplier** (default 0.1) to set the width of the optional VWAP band on the chart. - **Table Position** (Top Center, Bottom Right, etc.). - **Text Size** and **Text Color**. - **Hide VWAP logic**: VWAP data can be hidden automatically on higher timeframes (e.g., daily or weekly). - **Enable/disable the VWAP ±σ band lines** (optional visual aid). --- ### 📐 Technical Highlights - VWAP is recalculated each day using `ta.vwap(hlc3, isNewPeriod, 1)`. - The band width uses standard deviation and the selected multiplier: `VWAP ± σ * multiplier`. - Table updates dynamically with the new VWAP values each day. - To **avoid floating-point rounding issues**, `vwapDelta` is rounded before comparison, ensuring correct background color display. --- ### ✅ Why Use This? - Keeps your chart **visually clean and readable**. - Gives **immediate context** to current price action relative to VWAP. - Helps **discretionary traders** or **scalpers** decide whether price is stretched too far from the mean. - Easier than tracking multiple σ bands manually. --- ### Example Usage: - On intraday timeframes, you can identify price exhaustion as it hits ±2σ or ±3σ. - On a 5-minute chart, if price touches `+3σ`, you may consider taking profits on longs. - On reversal setups, watch for price at `-3σ` with bullish divergence. --- ### 🧩 Future Enhancements (Optional Ideas) - Add alerts for when `vwapDelta` crosses thresholds like ±2σ or ±3σ. - Let user select the timeframe for VWAP source (e.g., 1H, 5M, etc.). - Extend to display VWAP on session or weekly basis. --- Let me know if you want a version of this script formatted and cleaned up for direct TradingView publication (with annotations, credits, and formatting). Would you like that?
อินดิเคเตอร์ Pine Script®
โดย seanpark0828
2
TurboVWAPVWAP indicator based in the built-in one but completely rewritten. Features: - more standard deviation bands, up to 3. - added the possibility to not anchor the VWAP but make it a rolling one instead, like a VWMA, being in this case able to specify days, hours or minutes for the rolling VWAP. - for rolling VWAPs, the indicator doesn't count bars but real days, hours or minutes instead, so regardless of the chart timeframe the indicator will always show the correct values. - for rolling VWAPs, if you specify x days as the rolling time, the indicator will always count exactly 24 hours from the current time backwards - so, from the same time yesterday or x days ago. - in rolling VWAPs, although the indicator counts real time elapsed as per your settings and not chart bars, it will automatically skip holidays, so you needn't worry about that. - for the anchored VWAP, added the possibility to specify custom session times (for example, for ES 0830-1500, instead of Globex, which is the Tradingview default as of today) - complete customization of all fills and linetypes For illustration purposes in the attached 1min chart I have: - a 30min rolling VWAP in BLUE with no standard deviation plots, - a 1 day rolling VWAP in RED with standard deviations in light red and green (these are the default settings) - a RTH-session-anchored VWAP in ORANGE with standard deviations in light orange and light blue
อินดิเคเตอร์ Pine Script®
โดย czoa
6
VWAP roller autoBrief Description VWAP Roller Auto is a TradingView Pine Script indicator that combines a rolling (resetting) Volume Weighted Average Price (VWAP) with dozens of dynamic support/resistance levels derived from Gann's Square of 9 principles. The VWAP resets periodically (automatically or manually) starting from a user-defined session open time, and the Gann levels "roll" with it, creating an adaptive grid of potential price reaction zones. It's designed for intraday trading and overlays directly on the price chart. Key Features Rolling VWAP with Custom Session Start VWAP calculation restarts at configurable session open (default 8:30 CST, using proper Chicago timezone handling). Auto-Adaptive Period Selection Automatically chooses the VWAP reset period (from 2 min up to 48 hours) based on current volatility (ATR + realized range). Targets a user-defined spacing (~0.08% by default) between consecutive VWAPs to keep the grid relevant to market conditions. Falls back to manual period if disabled. Gann Square of 9 Levels Generates ~8 pairs of resistance (R) and support (S) levels above/below the current rolling VWAP using octave-based increments. Two increment modes: Points mode — fixed point steps that double octavely (e.g., 0.305, 0.610, 1.22, 2.44, etc.). Percent mode — percentage steps scaled so the middle octave aligns near 0.025% for finer resolution on lower-priced assets. Visual Enhancements Colored fills between key level groups (e.g., inner ±0.25 octave in blue, ±1–2 octave zones in gray, higher extremes in yellow/red). Labels on the right side marking important zones ("low", "normal", "high", "3/4 - ps1", "extreme - ps2"). Central VWAP line (customizable color and offset). Table showing current period length and whether auto mode is active. Non-Timeframe Friendly Works on range bars, Renko, etc., using fallback settings when timeframe is non-standard. Use Cases Intraday Support/Resistance Trading Treat the rolling VWAP as fair value and use the Gann-derived levels as dynamic zones for potential reversals, breakouts, or mean reversion. Scalping and Day Trading Auto-period ensures the grid spacing matches current volatility — tighter levels in quiet markets, wider in volatile ones — ideal for futures (ES, NQ), crypto, or forex. Zone-Based Entries/Exits Buy near labeled support zones (e.g., "low" or "normal" volatility bottoms) when price trades below VWAP. Sell/short near resistance zones in overbought conditions. Watch for hits of "extreme" zones (±8 octave) as potential strong reversal signals. Confluence Tool Combine with order flow, volume profile, or other indicators; the colored fills highlight "value areas" similar to market profile concepts but anchored to a rolling VWAP. In short, VWAP Roller Auto provides a sophisticated, self-adjusting Gann-inspired grid that moves with the market's fair value, helping traders identify high-probability reaction zones throughout the trading session.
อินดิเคเตอร์ Pine Script®
โดย surfchaser
5
Volume Weighted Average Price AdvancedVWAP (Advanced) with Multi‑Venue Aggregation and Historical Value Areas Core: Anchored VWAP with configurable anchor (session/week/month/quarter/year/decade/century or corporate events), offset, and up to three standard-deviation bands. Multi‑Venue Aggregation: Optionally pull price/volume from up to 5 additional exchanges/symbols (pair-matched by default). VWAP/σ are computed on the aggregated price*volume. Value Area Blocks: Each completed anchor draws a block from the chosen basis (±1σ or ±2σ) or an optional percentile-based range (default 20–80%). Blocks project to the exact next anchor boundary, or you can extend them to the latest bar. Prior-period VWAP lines are shown inside the blocks. Volume Gate: Optionally skip drawing prior blocks when the anchor’s aggregated volume is below a median/mean baseline times a multiplier. HTF Context: Optional higher-timeframe VWAP overlay; can filter the current VWAP/bands so they only show when aligned with the HTF VWAP. Venue Health: Label shows how many extra venues were included (non‑na) and median venue volume; flags divergence when primary volume is below venue median × threshold. Alerts: Price in current value area (VWAP ±1σ) and price crossing the most recent prior VWAP. Styling: Bands and fills are minimal; HTF VWAP is a distinct line; value-area blocks are shaded with prior VWAP lines inside. Configure via the grouped inputs: VWAP Settings, Additional Exchange Sources, Historical Value Areas, HTF Context, and Bands Settings.
อินดิเคเตอร์ Pine Script®
โดย w03
VWAP + Volume Spikes See Where Smart Money ExhaustsVolume tells the truth. VWAP tells the bias. This script shows both — live. If you trade intraday momentum, reversals, or liquidity sweeps, this indicator is built for you. It shows where volume spikes hit extreme levels, anchored around VWAP and its dynamic bands, so you can instantly spot capitulation or hidden absorption. 🎯 What This Indicator Does ✅ Plots VWAP — session-anchored, updates automatically ✅ Adds dynamic VWAP bands — standard deviation envelopes showing volatility context ✅ Highlights volume spikes — colored candles + background for abnormal prints ✅ Includes alerts — “Volume Spike”, “VWAP Cross”, or a combined alert with direction ✅ Clean visual design — instantly readable in fast markets It’s your visual orderflow radar — whether you’re trading gold, indices, or small caps. 🔍 Why It Works Institutions build and unwind positions around VWAP. Retail often chases volume… this script shows you when that volume becomes too extreme. A spike above VWAP near resistance? → Likely distribution. A spike below VWAP near support? → Likely capitulation. Combine volume exhaustion + VWAP context, and you’ll see market turning points form before most indicators react. ⚙️ Inputs You Can Tune Bands lookback: adjusts how reactive the VWAP bands are Band width (σ): set how tight or wide your deviation envelope is Volume baseline length: controls how “abnormal” a spike must be Spike threshold: multiplier vs. average volume Toggle color-coding, bands, and labels Default settings work well across 1m–15m intraday charts and 1h–4h swing frames. 💡 How Traders Use It 1️⃣ Fade Parabolics: When a green spike candle pierces upper VWAP band on high volume → smart money unloading. Look for rejection and short into VWAP. 2️⃣ Catch Capitulations: When a red spike candle dumps below lower VWAP band → panic selling. Watch for stabilization and long back to VWAP. 3️⃣ VWAP Rotation Plays: Alerts for price crossing VWAP help you spot shift in intraday control. Above VWAP = buyers in charge. Below VWAP = sellers in charge. 🧠 Best Practices Pair it with Volume Profile or Delta/Flow tools to confirm exhaustion. Don’t chase — wait for spike confirmation + reversal candle. Use it on liquid tickers (NASDAQ, SPY, GOLD, BTC, etc.). Great for Dux-style small-cap shorts or index pullbacks. 🔔 Alerts Ready Choose from: Volume Spike (single-bar explosion) VWAP Cross Up/Down (trend shift confirmation) One Combined Alert (any signal, includes ticker, price, and volume) Set once — get real-time push notifications, Telegram, or webhook signals. 📊 My Favorite Setups US100 / NASDAQ: fade rallies above VWAP + spike Gold / Silver: trade reversals from VWAP bands Small caps: short back-side after volume climax ES, DAX, Oil: scalp VWAP rotation with confluence ❤️ Support This Work I release free and premium scripts weekly — combining smart money concepts, VWAP tools, and volume analytics. 👉 Follow me on TradingView for more indicators and setups. 👉 Comment “🔥” if you want me to post the multi-timeframe VWAP + Volume Pressure version next. 👉 Share this with your team — it helps the community grow.
อินดิเคเตอร์ Pine Script®
โดย Rendon1
VWAP Deviation Oscillator [BackQuant]VWAP Deviation Oscillator Introduction The VWAP Deviation Oscillator turns VWAP context into a clean, tradeable oscillator that works across assets and sessions. It adapts to your workflow with four VWAP regimes plus two rolling modes, and three deviation metrics: Percent, Absolute, and Z-Score. Colored zones, optional standard deviation rails, and flexible plot styles make it fast to read for both trend following and mean reversion. What it does This tool measures how far price is from a chosen VWAP and expresses that gap as an oscillator. You can view the deviation as raw price units, percent, or standardized Z-Score. The plot can be a histogram or a line with optional fills and sigma bands, so you can quickly spot polarity shifts, overbought and oversold conditions, and strength of extension. VWAP modes track a session VWAP that resets (4H, Daily, Weekly) or a rolling VWAP that updates continuously over a fixed number of bars or days. Deviation modes let you choose the lens: Percent, Absolute, or Z-Score. Each highlights different aspects of stretch and mean pressure. Visual encoding uses a 10-zone color palette to grade the magnitude of deviation on both sides of zero. Volatility guards compute mode-specific sigma so thresholds are stable even when volatility compresses. Why this works VWAP is a high signal anchor used by institutions to gauge fair participation. Deviations around VWAP cluster in regimes: mild oscillations within a band, decisive pushes that signal imbalance, and standardized extremes that often precede either continuation or snapback. Expressing that distance as a single time series adds clarity: bias is the oscillator’s sign, risk context is its magnitude, and regime is the way it behaves around sigma lines. How to use it Trend following Favor the side of the zero line. Bullish when the oscillator is above zero and making higher swing highs. Bearish when below zero and making lower swing lows. Use +1 sigma and +2 sigma in your mode as strength tiers. Pullbacks that hold above zero in uptrends, or below zero in downtrends, are often continuation entries. Mean reversion Fade stretched readings when structure supports it. Look for tests of +2 sigma to +3 sigma that fail to progress and roll back toward zero, or the mirror on the downside. Z-Score mode is best when you want standardized gates across assets. Percent mode is intuitive for intraday scalps where a given percent stretch tends to mean revert. Session playbook Use Daily or Weekly VWAP for intraday or swing context. Rolling modes help when the asset lacks clean session boundaries or when you want a continuous anchor that adapts to liquidity shifts. Key settings VWAP computation VWAP Mode = 4 Hours, Daily, Weekly, Rolling (Bars), Rolling (Days). Session modes reset the VWAP when a new session begins. Rolling modes compute VWAP over a fixed trailing window. Rolling (Lookback: Bars) controls the trailing bar count when using Rolling (Bars). Rolling (Lookback: Days) converts days to bars at runtime and uses that trailing span. Use Close instead of HLC3 switches the price reference. HLC3 is smoother. Close makes the anchor track settlement more tightly. Deviation measurement Deviation Mode Percent : 100 * (Price / VWAP - 1). Good for uniform scaling across instruments. Absolute : Price - VWAP. Good when price units themselves matter. Z-Score : Standardizes the absolute residual by its own mean and standard deviation over Z/Std Window . Ideal for cross-asset comparability and regime studies. Z/Std Window sets the mean and standard deviation window for Z-Score mode. Volatility controls Percent Mode Volatility Lookback estimates sigma for percent deviations. Absolute Mode Volatility Lookback estimates sigma for absolute deviations. Minimum Sigma Guard (pct pts) prevents the percent sigma from collapsing to near zero in extremely quiet markets. Visualization Plot Type = Histogram or Line. Histogram emphasizes impulse and polarity changes. Line emphasizes trend waves and divergences. Positive Color / Negative Color define the palette for line mode. Histogram uses a 10-bucket gradient automatically. Show Standard Deviations plots symmetric rails at ±1, ±2, ±3 sigma in the current mode’s units. Fill Line Oscillator and Fill Opacity add a soft bias band around zero for line mode. Line Width affects both the oscillator and the sigma rails. Reading the zones The oscillator’s color and height map deviation to nine graded buckets on each side of zero, with deeper greens above and deeper reds below. In Percent and Absolute modes, those buckets are scaled by their mode-specific sigma. In Z-Score mode the bucket edges are fixed at 0.5, 1.0, 2.0, and 2.8. 0 to +1 sigma weak positive bias, usually rotational. +1 to +2 sigma constructive impulse. Pullbacks that hold above zero often continue. +2 to +3 sigma strong expansion. Watch for either trend continuation or exhaustion tells. Beyond +3 sigma statistical extreme. Requires structure to avoid fading too soon. Mirror logic applies on the negative side. Suggested workflows Trend continuation checklist Pick a session VWAP that matches your timeframe, for example Daily for intraday or Weekly for position trades. Wait for the oscillator to hold the correct side of zero and for a sequence of higher swing lows in the oscillator (uptrend) or lower swing highs (downtrend). Buy pullbacks that stabilize between zero and +1 sigma in an uptrend. Sell rallies that stabilize between zero and -1 sigma in a downtrend. Use the next sigma band or a prior price swing as your target reference. Mean reversion checklist Switch to Z-Score mode for standardized thresholds. Identify tests of ±2 sigma to ±3 sigma that fail to extend while price meets support or resistance. Enter on a polarity change through the prior histogram bar or a small hook in line mode. Fade back to zero or to the opposite inner band, then reassess. Notes on the three modes Percent is easy to reason about when you care about proportional stretch. It is well suited to intraday and multi-asset dashboards. Absolute tracks cash distance from VWAP. This is useful when instruments have tight ticks and you plan risk in price units. Z-Score standardizes the residual and is best for quant studies, cross-asset comparisons, and threshold research that must be scale invariant. What the alerts can tell you Polarity changes at zero can mark the start or end of a leg. Crosses of ±1 sigma identify overbought or oversold in the current mode’s units. Zone changes signal an upgrade or downgrade in deviation strength. Troubleshooting and edge cases If your instrument has long flat periods, keep Minimum Sigma Guard above zero in Percent mode so the rails do not vanish. In Rolling modes, very short windows will respond quickly but can whip around. Session modes smooth this by resetting at well known boundaries. If Z-Score looks erratic, increase Z/Std Window to stabilize the estimate of mean and sigma for the residual. Final thoughts VWAP is the anchor. The deviation oscillator is the narrative. By separating bias, magnitude, and regime into a simple stream you can execute faster and review cleaner. Pick the VWAP mode that matches your horizon, choose the deviation lens that matches your risk framework, and let the color graded zones guide your decisions.
อินดิเคเตอร์ Pine Script®
โดย BackQuant
2
Relative Average Extrapolation [ChartPrime]Relative Average Extrapolation (ChartPrime) is a new take on session averages, like the famous vwap . This indicator leverages patterns in the market by leveraging average-at-time to get a footprint of the average market conditions for the current time. This allows for a great estimate of market conditions throughout the day allowing for predictive forecasting. If we know what the market conditions are at a given time of day we can use this information to make assumptions about future market conditions. This is what allows us to estimate an entire session with fair accuracy. This indicator works on any intra-day time frame and will not work on time frames less than a minute, or time frames that are a day or greater in length. A unique aspect of this indicator is that it allows for analysis of pre and post market sessions independently from regular hours. This results in a cleaner and more usable vwap for each individual session. One drawback of this is that the indicator utilizes an average for the length of a session. Because of this, some after hour sessions will only have a partial estimation. The average and deviation bands will work past the point where it has been extrapolated to in this instance however. On low time frames due to the limited number of data points, the indicator can appear noisy. Generally crypto doesn't have a consistent footprint making this indicator less suitable in crypto markets. Because of this we have implemented other weighting schemes to allow for more flexibility in the number of use cases for this indicator. Besides volume weighting we have also included time, volatility, and linear (none) weighting. Using any one of these weighting schemes will transform the vwap into a wma, volatility adjusted ma, or a simple moving average. All of the style are still session period and will become longer as the session progresses. Relative Average Extrapolation (ChartPrime) works by storing data for each time step throughout the day by utilizing a custom indexing system. It takes the a key , ie hour/minute, and transforms it into an array index to stor the current data point in its unique array. From there we can take the current time of day and advance it by one step to retrieve the data point for the next bar index. This allows us to utilize the footprint the extrapolate into the future. We use the relative rate of change for the average, the relative deviation, and relative price position to extrapolate from the current point to the end of the session. This process is fast and effective and possibly easier to use than the built in map feature. If you have used vwap before you should be familiar with the general settings for this indicator. We have made a point to make it as intuitive for anyone who is already used to using the standard vwap. You can pick the source for the average and adjust/enable the deviation bands multipliers in the settings group. The average period is what determines the number of days to use for the average-at-time. When it is set to 0 it will use all available data. Under "Extrapolation" you will find the settings for the estimation. "Direction Sensitivity" adjusts how sensitive the indicator is to the direction of the vwap. A higher number will allow it to change directions faster, where a lower number will make it more stable throughout the session. Under the "Style" section you will find all of the color and style adjustments to customize the appearance of this indicator. Relative Average Extrapolation (ChartPrime) is an advanced and customizable session average indicator with the ability to estimate the direction and volatility of intra-day sessions. We hope you will find this script fascinating and useful in your trading and decision making. With its unique take on session weighting and forecasting, we believe it will be a secret weapon for traders for years to come. Enjoy
อินดิเคเตอร์ Pine Script®
โดย ChartPrime
5