VWAP For Loop [BackQuant]

VWAP For Loop [BackQuant]

What this tool does—in one sentence
A volume-weighted trend gauge that anchors VWAP to a calendar period (day/week/month/quarter/year) and then scores the persistence of that VWAP trend with a simple for-loop “breadth” count; the result is a clean, threshold-driven oscillator plus an optional VWAP overlay and alerts.

Plain-English overview
Instead of judging raw price alone, this indicator focuses on anchored VWAP—the market’s average price paid during your chosen institutional period. It then asks a simple question across a configurable set of lookback steps: “Is the current anchored VWAP higher than it was i bars ago—or lower?” Each “yes” adds +1, each “no” adds −1. Summing those answers creates a score that reflects how consistently the volume-weighted trend has been rising or falling. Extreme positive scores imply persistent, broad strength; deeply negative scores imply persistent weakness. Crossing predefined thresholds produces objective long/short events and color-coded context.

Under the hood
• Anchoring — VWAP using

hlc3 × volume

resets exactly when the selected period rolls:
  Day → session change, Week → new week, Month → new month, Quarter/Year → calendar quarter/year.
• For-loop scoring —

For lag steps i = [start…end], compare today’s VWAP to VWAP.
  – If VWAP > VWAP, add +1.
  – Else, add −1.

  The final score ∈ [−N, +N], where N = (end − start + 1). With defaults (1→45), N = 45.
• Signal logic (stateful)
  – Long when score > upper (e.g., > 40 with N = 45 → VWAP higher than ~89% of checked lags).
  – Short on crossunder of lower (e.g., dropping below −10).
  – A compact state variable (out) holds the current regime: +1 (long), −1 (short), otherwise unchanged. This “stickiness” avoids constant flipping between bars without sufficient evidence.

Why VWAP + a breadth score?
• VWAP aggregates both price and volume—where participants actually traded.
• The breadth-style count rewards consistency of the anchored trend, not one-off spikes.
• Thresholds give you binary structure when you need it (alerts, automation), without complex math.

What you’ll see on the chart
• Sub-pane oscillator — The for-loop score line, colored by regime (long/short/neutral).
• Main-pane VWAP (optional) — Even though the indicator runs off-chart, the anchored VWAP can be overlaid on price (toggle visibility and whether it inherits trend colors).
• Threshold guides — Horizontal lines for the long/short bands (toggle).
• Cosmetics — Optional candle painting and background shading by regime; adjustable line width and colors.

Input map (quick reference)
• VWAP Anchor Period — Day, Week, Month, Quarter, Year.
• Calculation Start/End — The for-loop lag window [start…end]. With 1→45, you evaluate 45 comparisons.
• Long/Short Thresholds — Default upper=40, lower=−10 (asymmetric by design; see below).
• UI/Style — Show thresholds, paint candles, background color, line width, VWAP visibility and coloring, custom long/short colors.

Interpreting the score
• Near +N — Current anchored VWAP is above most historical VWAP checkpoints in the window → entrenched strength.
• Near −N — Current anchored VWAP is below most checkpoints → entrenched weakness.
• Between — Mixed, choppy, or transitioning regimes; use thresholds to avoid reacting to noise.

Why the asymmetric default thresholds?
• Long = score > upper (40) — Demands unusually broad upside persistence before declaring “long regime.”
• Short = crossunder lower (−10) — Triggers only on downward momentum events (a fresh breach), not merely being below −10. This combination tends to:
  – Capture sustained uptrends only when they’re very strong.
  – Flag downside turns as they occur, rather than waiting for an extreme negative breadth.

Tuning guide

Choose an anchor that matches your horizon
  – Intraday scalps: Day anchor on intraday charts.
  – Swing/position: Month or Quarter anchor on 1h/4h/D charts to capture institutional cycles.

Pick the for-loop window
  – Larger N (bigger end) = stronger evidence requirement, smoother oscillator.
  – Smaller N = faster, more reactive score.

Set achievable thresholds
  – Ensure upper ≤ N and lower ≥ −N; if N=30, an upper of 40 can never trigger.
  – Symmetric setups (e.g., +20/−20) are fine if you want balanced behavior.

Match visuals to intent
  – Enabling VWAP coloring lets you see regime directly on price.
  – Background shading is useful for discretionary reading; turn it off for cleaner automation displays.

Playbook examples
• Trend confirmation with disciplined entries — On Month anchor, N=45, upper=38–42: when the long regime engages, use pullbacks toward anchored VWAP on the main pane for entries, with stops just beyond VWAP or a recent swing.
• Downside transition detection — Keep lower around −8…−12 and watch for crossunders; combine with price losing anchored VWAP to validate risk-off.
• Intraday bias filter — Day anchor on a 5–15m chart, N=20–30, upper ~ 16–20, lower ~ −6…−10. Only take longs while score is positive and above a midline you define (e.g., 0), and shorts only after a genuine crossunder.

Behavior around resets (important)
Anchored VWAP is hard-reset each period. Immediately after a reset, the series can be young and comparisons to pre-reset values may span two periods. If you prefer within-period evaluation only, choose end small enough not to bridge typical period length on your timeframe, or accept that the breadth test intentionally spans regimes.

Alerts included
• VWAP FL Long — Fires when the long condition is true (score > upper and not in short).
• VWAP FL Short — Fires on crossunder of the lower threshold (event-driven).
Messages include {{ticker}} and {{interval}} placeholders for routing.

Strengths
• Simple, transparent math — Easy to reason about and validate.
• Volume-aware by construction — Decisions reference VWAP, not just price.
• Robust to single-bar noise — Needs many lags to agree before flipping state (by design, via thresholds and the stateful output).

Limitations & cautions
• Threshold feasibility — If N < upper or |lower| > N, signals will never trigger; always cross-check N.
• Path dependence — The state variable persists until a new event; if you want frequent re-evaluation, lower thresholds or reduce N.
• Regime changes — Calendar resets can produce early ambiguity; expect a few bars for the breadth to mature.
• VWAP sensitivity to volume spikes — Large prints can tilt VWAP abruptly; that behavior is intentional in VWAP-based logic.

Suggested starting profiles
• Intraday trend bias: Anchor=Day, N=25 (1→25), upper=18–20, lower=−8, paint candles ON.
• Swing bias: Anchor=Month, N=45 (1→45), upper=38–42, lower=−10, VWAP coloring ON, background OFF.
• Balanced reactivity: Anchor=Week, N=30 (1→30), upper=20–22, lower=−10…−12, symmetric if desired.

Implementation notes
• The indicator runs in a separate pane (oscillator), but VWAP itself is drawn on price using forced overlay so you can see interactions (touches, reclaim/loss).
• HLC3 is used for VWAP price; that’s a common choice to dampen wick noise while still reflecting intrabar range.
• For-loop cap is kept modest (≤50) for performance and clarity.

How to use this responsibly
Treat the oscillator as a bias and persistence meter. Combine it with your entry framework (structure breaks, liquidity zones, higher-timeframe context) and risk controls. The design emphasizes clarity over complexity—its edge is in how strictly it demands agreement before declaring a regime, not in predicting specific turns.

Summary
VWAP For Loop distills the question “How broadly is the anchored, volume-weighted trend advancing or retreating?” into a single, thresholded score you can read at a glance, alert on, and color through your chart. With careful anchoring and thresholds sized to your window length, it becomes a pragmatic bias filter for both systematic and discretionary workflows.