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Quarterly, Weekly VWAP
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Quarterly, Weekly VWAP

  #1 (permalink)
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Quarterly, Weekly VWAP

Does anyone have a quarterly and/or weekly VWAP indicator for easy language? I've been trying to look at long range views for some stocks and commodities and how it relates to daily movements with respect to the longer VWAP.

Thanks,
-C

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  #2 (permalink)
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cbritton View Post
Does anyone have a quarterly and/or weekly VWAP indicator for easy language? I've been trying to look at long range views for some stocks and commodities and how it relates to daily movements with respect to the longer VWAP.

Thanks,
-C

I would like to see this to, but have had zero time to even investigate. I assume you started by looking at the current VWAP daily? It is not straightforward to set a begin/end time based on days? I know it currently has begin/end time based on session times.

Mike

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  #4 (permalink)
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cbritton View Post
Does anyone have a quarterly and/or weekly VWAP indicator for easy language? I've been trying to look at long range views for some stocks and commodities and how it relates to daily movements with respect to the longer VWAP.

Thanks,
-C

@cbritton, Go to the TS forums and look for "VWAP MWD" https://community.tradestation.com/discussions/topic.aspx?topic_id=6735&Page=4Maybe I can also post the code here and you can import it if you know how, below is the ELD just click on it and it should import:


20110314041801VWAP_MWD.ELD


Last edited by kbit; September 25th, 2011 at 09:01 PM.
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kbit View Post
@cbritton, Go to the TS forums and look for "VWAP MWD" https://community.tradestation.com/discussions/topic.aspx?topic_id=6735&Page=4Maybe I can also post the code here and you can import it if you know how, below is the ELD just click on it and it should import:


Attachment 50209

is there any possibilities to have it working with multicharts?
I tried to import it but was not possible.
thanks
nt

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tradernovice View Post
is there any possibilities to have it working with multicharts?
I tried to import it but was not possible.
thanks
nt

I don't know really, I'm sure somebody around here would know or maybe you can talk to the multichart guys and ask them. I will post the code so you can see how it is written if that helps:


// ==================================================================================================================================================
// VWAP Indicators for TS-Forum (Monthly, Weekly, Daily ....) - Just for beginner Release 1.00 / Date 03/14/2011
// Link to original post in TS Forum : https://www.tradestation.com/Discussions/Topic.aspx?Topic_ID=6735
// ==================================================================================================================================================
// Inputs
// ==================================================================================================================================================
input: Plot_Section("------------------------------------");
input: Show_Daily(1{1=Yes,0=No});
input: Show_Weekly(1{1=Yes,0=No});
input: Show_Monthly(1{1=Yes,0=No});
input: Show_Prior_VWAP(1{1=Yes,0=No});
input: Round_Section("------------------------------------");
input: Round_VWAP_DWM(1{1=Yes,0=No});
input: Color_Section("------------------------------------");
input: ColAbove_DVWAP((RGB(0,128,192)));
input: ColBelow_DVWAP((RGB(255,0,0)));
input: ColPrev_DVWAP((RGB(255,128,64)));
input: ColAbove_WVWAP((RGB(0,0,255)));
input: ColBelow_WVWAP((RGB(255,0,128)));
input: ColPrev_WVWAP((RGB(255,255,128)));
input: ColAbove_MVWAP((RGB(0,0,160)));
input: ColBelow_MVWAP((RGB(185,0,0)));
input: ColPrev_MVWAP((RGB(192,192,192)));
// ==================================================================================================================================================
// Variables to define values and transforming inputs to variables to improve memory performance of the indicator
// ==================================================================================================================================================
var: sdv(0); // transformer to change inputs in var's (show daily)
var: swv(0); // transformer to change inputs in var's (show weekly)
var: smv(0); // transformer to change inputs in var's (show monthly)
var: sp(0); // transformer to change inputs in var's (show prior vwap's)
var: rv(0); // transformer to change inputs in var's (round)
var: cad(0); // transformer to change inputs in var's (color above daily vwap)
var: cbd(0); // transformer to change inputs in var's (color below daily vwap)
var: cpd(0); // transformer to change inputs in var's (color previous daily vwap)
var: caw(0); // transformer to change inputs in var's (color above weekly vwap)
var: cbw(0); // transformer to change inputs in var's (color below weekly vwap)
var: cpw(0); // transformer to change inputs in var's (color previous weekly vwap)
var: cam(0); // transformer to change inputs in var's (color above monthly vwap)
var: cbm(0); // transformer to change inputs in var's (color below monthly vwap)
var: cpm(0); // transformer to change inputs in var's (color previous monthly vwap)
var: cd(0); // define plot color of current daily vwap
var: cw(0); // define plot color of current weekly vwap
var: cm(0); // define plot color of current monthly vwap
var: dvwap1(0); // take over daily vwap function for current daily vwap
var: dvwap2(0);// take over daily vwap function for prior daily vwap
var: wvwap1(0); // take over daily vwap function for current weekly vwap
var: wvwap2(0); // take over daily vwap function for prior weekly vwap
var: mvwap1(0); // take over daily vwap function for current monthly vwap
var: mvwap2(0); // take over daily vwap function for prior monthly vwap
// ==================================================================================================================================================
// Transform input's into var's
// ==================================================================================================================================================
sdv = show_daily; // transformer to change inputs in var's (show daily)
swv = show_weekly; // transformer to change inputs in var's (show weekly)
smv = show_monthly; // transformer to change inputs in var's (show monthly)
sp = show_prior_vwap; // transformer to change inputs in var's (show prior vwap)
rv = round_vwap_dwm; // transformer to change inputs in var's (round vwap's yes/no)
cad = colabove_dvwap; // transformer to change inputs in var's (color above daily vwap)
cbd = colbelow_dvwap; // transformer to change inputs in var's (color below daily vwap)
cpd = colprev_dvwap; // transformer to change inputs in var's (color previous daily vwap)
caw = colabove_wvwap; // transformer to change inputs in var's (color above weekly vwap)
cbw = colbelow_wvwap; // transformer to change inputs in var's (color below weekly vwap)
cpw = colprev_wvwap; // transformer to change inputs in var's (color previous weekly vwap)
cam = colabove_mvwap; // transformer to change inputs in var's (color above monthly vwap)
cbm = colbelow_mvwap; // transformer to change inputs in var's (color below monthly vwap)
cpm = colprev_mvwap; // transformer to change inputs in var's (color previous monthly vwap)
dvwap1 = vwap_d; // take over daily vwap function for current daily vwap
wvwap1 = vwap_w; // take over daily vwap function for current weekly vwap
mvwap1 = vwap_m; // take over daily vwap function for current monthly vwap
// ==================================================================================================================================================
// Definition of prior Daily/Weekly/Monthly VWAP's
// ==================================================================================================================================================
// Daily VWAP
if date>date[1] then dvwap2=dvwap1[1];
if date<>date[1]
then
begin
dvwap2 = dvwap1[1];
end;
// Weekly VWAP
if week(date)>week(date)[1]
then
wvwap2 = wvwap1[1];
if week(date)<>week(date)[1]
then
begin
wvwap2 = wvwap1[1];
end;
// Monthly VWAP
if month(date)>month(date[1])
then
mvwap2 = mvwap1[1];
if month(date)<>month(date[1])
then
begin
mvwap2 = mvwap1[1];
end;
// ==================================================================================================================================================
// Rounding Definitions
// ==================================================================================================================================================
if rv=1
then
begin
dvwap1 = roundinst(dvwap1);
dvwap2 = roundinst(dvwap2);
wvwap1 = roundinst(wvwap1);
wvwap2 = roundinst(wvwap2);
mvwap1 = roundinst(mvwap1);
mvwap2 = roundinst(mvwap2);
end;
// ==================================================================================================================================================
// Color Definitions
// ==================================================================================================================================================
// Daily VWAP
if close>dvwap1 then cd=cad else if close<dvwap1 then cd=cbd;
// Weekly VWAP
if close>wvwap1 then cw=caw else if close<wvwap1 then cw=cbw;
// Monthly VWAP
if close>mvwap1 then cm=cam else if close<mvwap1 then cm=cbm;
// ==================================================================================================================================================
// Plot Statements
// ==================================================================================================================================================
// Daily VWAP
if sdv=1
then
begin
plot1(dvwap1,"Curr._DVWAP",cd);
plot2(dvwap2,"Prev._DVWAP",cpd);
end;
// Weekly VWAP
if swv=1
then
begin
plot3(wvwap1,"Curr._WVWAP",cw);
plot4(wvwap2,"Prev._WVWAP",cpw);
end;
// Monthly VWAP
if smv=1
then
begin
plot5(mvwap1,"Curr._MVWAP",cm);
plot6(mvwap2,"Prev._MVWAP",cpm);
end;

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  #7 (permalink)
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@ tradernovice
with MC 7 work very well.

Someone know how to add start date and time? It's possible add also PVP and Standard Deviation daily/weekly/monthly?
Thank you

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  #8 (permalink)
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tradernovice View Post
is there any possibilities to have it working with multicharts?
I tried to import it but was not possible.
thanks
nt

*****************************************************
It imported OK for me on Multicharts 7

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  #9 (permalink)
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Here is a multi-session VWAP I wrote for MultiCharts.

Math is a weakness, so you will most certainly wish to double and triple check accuracy. I haven't had time to test yet.

set numdays to -1 for a continuous never ending rolling vwap
set numdays to 0 to reset every sunday
set numdays to any other day to reset after numdays



 
Code
                            
// Function
// Copyright 2011 Big Mike Trading, www.bigmiketrading.com
// You may NOT distribute
// numdays = -1 for continuous, 0 to reset on sunday, any other day to reset every x days

input:
   
PriceValue(NumericSeries),
   
numdays(NumericSimple);

vars:
   
var0(0),
   
var1(0),
   
var2(0),
   
daycount(0);
   
once cleardebug;

if 
DayOfWeek(Date) <> DayOfWeek(Date)[1then daycount daycount 1;

var0 var0 + (PriceValue Ticks);
var1 var1 Ticks;

if 
numdays and DayOfWeek(Date) = Sunday then begin

    var0 
= (PriceValue Ticks);
    
var1 Ticks;

end;

if 
numdays <> and daycount numdays then begin
    
    var0 
= (PriceValue Ticks);
    
var1 Ticks;
    
daycount 0;

end;


if 
var0 and var1 0 then
   var2 
var0 var1
else
   
var2 PriceValue;

vwapMultiSession var2
Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.


Last edited by Big Mike; December 8th, 2011 at 06:54 AM.
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