NinjaTrader 8 Indicators and More - SessionVWAP Bimonthly/Quarterly/Annual (amaNMonthlyVWAP)
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SessionVWAP Bimonthly/Quarterly/Annual (amaNMonthlyVWAP) 5 *
Version 2.0 August 11, 2017

The N-Monthly VWAP is the volume-weighted average price (VWAP) of a security for the selected N-month period. The VWAP gives a fair reflection of the market conditions throughout the selected period and is one of the most popular benchmarks used by large traders.

The N-Monthly VWAP can be set to calculate for the entireperiod or it can be set to calculate for custom hours such as the regular session only. The VWAP further comes with volume-weighted standard deviation bands or quarter range bands. Although the VWAP uses volume information, it is best set to “Calculate” = “On price change”. It is not necessary to recalculate it with each incoming tick.

Trading hours template: The trading hours template should be set to <instrument settings> or any other trading hours template that reflects the contractual trading hours of the instrument.

Full_Session: The VWAP will be calculated for the full session as selected per trading hours template.

Custom_Hours: You may select custom hours for calculating the VWAP in different time zones.

Standard_Deviation: The volatility bands are calculated as a selectable multiple of the standard deviation, where the standard deviation is calculated for the selected session and week.

Quarter_Range: The volatility bands are calculated as a selectable multiple of the quarter range for the current month.

Accuracy: The indicator calculates both VWAP and volatility bands from the primary bars shown on the chart. All data points of each bar are used for the calculation in order to obtain the best possible result. However, accuracy also depends on the chart resolution. Accuracy increases as trading volume accumulates.


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