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SessionVWAP Bimonthly/Quarterly/Annual V43

Exported using NT Version 7.0.1000.26

Indicator will only run on NT 7.0.1000.5 or later

The indicator displays the Volume Weighted Average Price of the selected session. It can be used on all types of charts.

You can apply the indicators to charts with several intraday sessions. You can then select via indicator panel, for which session the VWAP shall be shown.

ETH session: The VWAP will be calculated for the full session, if ETH is selected via indicator dialogue.

RTH session: It is possible to display the VWAP for the RTH session or the night session. Set indicator to RTH and select the number of the session, for example "First" for the night session and "Second" for the RTH session.

Volatility Bands: The indicators has three different modes to calculate volatility bands. For each of the modes multipliers can be selected.

Variance_Price: The variance is calculated from the selected input values of the price bars and the last known value for the VWAP within the current session. This way of calculating the bands is similar to calculating Bollinger Bands with a variable period starting with the first bar of the session.

Variance_Distance: The variance is calculated from the selected input values of the price bars and the value for the VWAP corresponding to price. It is a variance of the vertical distance of price from VWAP. This method corrects for a trend and produces slightly narrower bands on a trending day.

Session_Range: The quarter range of the current session is used as a measure of volatility instead of the standard deviation.

Colors: Different colors can be selected for rising and falling VWAP. Also colors and opacities can be selected for the areas between the inner bands, middle bands and outer bands.

Update January 03, 2015: Bug removed. Indicator did not work with setting "Monthly".

Category NinjaTrader 7 Indicators

Details: SessionVWAP Bimonthly/Quarterly/Annual V43
Category: NinjaTrader 7 Indicators

January 3rd, 2015
Size: 8.16 KB
Downloaded: 1312 times

Keywords: bands range session twap vwap eth rth standarddeviation variance

Comments/ratings

Cachevary December 29th, 2014 05:23 PM

No Comment

devdas January 2nd, 2015 04:12 PM

Thanx FT,
On selecting Reset Freq Monthly -> No Bands, lines.
Else all other freq working fine.

stef January 2nd, 2015 05:57 PM

No Comment

santastyle February 18th, 2015 12:05 PM

Symply the best o was looking for that!

zungybungy April 18th, 2015 01:11 PM

Thank you Fat tails. Great idi

Portland July 27th, 2015 03:25 AM

Andreikoan June 12th, 2020 04:12 AM

No Comment

Sammy C March 10th, 2021 03:35 AM

Thank you!