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Hello. Anchored VWAP (swing VWAP) is mine most important tool in futures trading and I surprise that no one made any indicators out of it . I was reading that FatTails was working on it but I cant find anything . Can one share it here or tell me were to buy one .
I have programmed one VWAP which you can use and set the offset for splitting the day VWAP. You could use it to anchor the VWAP at a specific offset but you would need to open the property dialog for this.
Ex. here a second VWAP start at 9:30.
You can also see the previous VWAP closing price from the last day projected into the current day session as fixed horizontal lines.
This indicator has not been published anywhere as i use it for my own needs for developing automated strategies. Fat Tails have been generous enough to share his magic formula to calculate the VWAP. I have just rearranged it to encapsulate his formula into an easy to use class object.
I created this example to show how you can modify the offset parameter so that the VWAP starts at a specific time:
This is a 15 minute chart. To calculate the offset to enter to get the VWAP split at a given anchor, i suggest to use the Ruler tool and mesure from the 1st bar of the session to your anchor bar and mulitple the number of bars by the interval. Here we have 58 bars x 15 minute = 870. This is the value to use for the offset parameter.
Of course, all historical and future sessions will have the VWAP split at this offset.
following and would like to learn about it as well. I listen to Anthony Crudele at Ninja Trader Develop your Edge You tube channel and he mentions Anchored VWAP. I am still learning and new in this space. I suppose Ninja has this indicator..I am going to check it out.. following along
Thanks for posting .
Im looking for the indicator AVWAP that can identify swing points so I dont have to do it manually and can incorporate to my Bloodhound strategy .
AVWAP settings are pretty subjective and it's unlikely you will find one that identifies swing points IMO, as most people anchor them to significant HTF points, like the beginning of the year, or month, or other signifiant market repricing events, like FOMC, big shifts in sentiment, major news breaks, etc. I don't think most people anchor them to swings. What you are looking for sounds more like a development project.
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