Mulakan

Cari dalam skrip untuk "vwap"

MTF Anchored VWAPAnchored VWAP is all the rage, but it's just one indicator. That being said, it seems like people want to add more than one at a time so why eat into your indicator cap. This script will allow you to configure 5 AVWAPS at a time. This will not plot if the time chosen is not in market hour s. Note: market hours may be outside of YOUR timeframe. i.e, the market may open at 7:30 your time, but it will not plot until you change it to 9:30. Enjoy
Penunjuk Pine Script™
oleh BasedDeptGeneral
4
Session VWAPS [QuantVue]The Session VWAPS indicator is a designed for traders to enhance their trading analysis by incorporating Volume Weighted Average Price (VWAP) anchored to custom-defined trading sessions. This indicator automatically plots VWAPs at three critical points of a user defined session: 🔹session start 🔹session high 🔹session low Additionally, it provides the option to display the VWAPs from previous sessions, offering a look at potential areas of support and resistance. Anchored VWAP, or Anchored Volume-Weighted Average Price, is a technical analysis tool used to determine the average price of a stock weighted by volume, starting from a specific point in time chosen by the analyst. Unlike traditional VWAP, which starts at the beginning of the trading session, the anchored VWAP allows traders to select any point on the chart, such as a significant event, price low, high, or a breakout, to begin the calculation. VWAP incorporates price and volume in a weighted average and can be used to identify areas of support and resistance on the chart. Indicator Features: Custom Session Definition: Users can define their own trading sessions by specifying start and end times, allowing for tailored analysis according to individual trading strategies or market hours. Anchored VWAP at Three Key Points: 🔹Session Start VWAP: This VWAP is anchored at the start of the defined session. 🔹Session High VWAP: Anchored at the highest price point within the session. 🔹Session Low VWAP: Anchored at the lowest price point within the session. Previous Session VWAPs: The indicator can display VWAPs from the previous session, allowing traders to spot potential areas of support and resistance. Give this indicator a BOOST and COMMENT your thoughts below! We hope you enjoy. Cheers!
Penunjuk Pine Script™
oleh QuantVue
5
Central Pivot Ranges (CPR) & 3 x VWAP & BarcolorsThis Script Combines daily, weekly and monthly VWAP (Volume Weighted Average Price) with a intraday, daily, weekly and monthly CPR (Central Pivot Range) - which is considered by some traders as the bread and butter of the market for a reason. A combination of Multiple CPRs and VWAPs from different timeframes can provide you with interesting confluences that can give you more confidence in performing your trades. CPR Features: - The option to look at current or developing CPRs. - A resolution selector for all 4 CPRs - Options to hide and show Tops, Bottoms and Pivots separately - Various Styling options - Alerts VWAP Features: - 3 x preset VWAPs set to daily, weekly and monthly - VWAP Lines from the daily O&C or H&L - Previous VWAP for S/R - Line Styling options General Features: - Barcolors by pivots crossed or daily, weekly and monthly VWAP. - Barcolors by daily VWAP additionally contain an O and C check instead of just taking the price above or below the VWAP into consideration.
Penunjuk Pine Script™
oleh MartinWeb
18
Machine Learning: VWAP [YinYangAlgorithms]Machine Learning: VWAP aims to use Machine Learning to Identify the best location to Anchor the VWAP at. Rather than using a traditional fixed length or simply adjusting based on a Date / Time; by applying Machine Learning we may hope to identify crucial areas which make sense to reset the VWAP and start anew. VWAP’s may act similar to a Bollinger Band in the sense that they help to identify both Overbought and Oversold Price locations based on previous movements and help to identify how far the price may move within the current Trend. However, unlike Bollinger Bands, VWAPs have the ability to parabolically get quite spaced out and also reset. For this reason, the price may never actually go from the Lower to the Upper and vice versa (when very spaced out; when the Upper and Lower zones are narrow, it may bounce between the two). The reason for this is due to how the anchor location is calculated and in this specific Indicator, how it changes anchors based on price movement calculated within Machine Learning. This Indicator changes the anchor if the Low < Lowest Low of a length of X and likewise if the High > Highest High of a length of X. This logic is applied within a Machine Learning standpoint that likewise amplifies this Lookback Length by adding a Machine Learning Length to it and increasing the lookback length even further. Due to how the anchor for this VWAP changes, you may notice that the Basis Line (Orange) may act as a Trend Identifier. When the Price is above the basis line, it may represent a bullish trend; and likewise it may represent a bearish trend when below it. You may also notice what may happen is when the trend occurs, it may push all the way to the Upper or Lower levels of this VWAP. It may then proceed to move horizontally until the VWAP expands more and it may gain more movement; or it may correct back to the Basis Line. If it corrects back to the basis line, what may happen is it either uses the Basis Line as a Support and continues in its current direction, or it will change the VWAP anchor and start anew. Tutorial: If we zoom in on the most recent VWAP we can see how it expands. Expansion may be caused by time but generally it may be caused by price movement and volume. Exponential Price movement causes the VWAP to expand, even if there are corrections to it. However, please note Volume adds a large weighted factor to the calculation; hence Volume Weighted Average Price (VWAP). If you refer to the white circle in the example above; you’ll be able to see that the VWAP expanded even while the price was correcting to the Basis line. This happens due to exponential movement which holds high volume. If you look at the volume below the white circle, you’ll notice it was very large; however even though there was exponential price movement after the white circle, since the volume was low, the VWAP didn’t expand much more than it already had. There may be times where both Volume and Price movement isn’t significant enough to cause much of an expansion. During this time it may be considered to be in a state of consolidation. While looking at this example, you may also notice the color switch from red to green to red. The color of the VWAP is related to the movement of the Basis line (Orange middle line). When the current basis is > the basis of the previous bar the color of the VWAP is green, and when the current basis is < the basis of the previous bar, the color of the VWAP is red. The color may help you gauge the current directional movement the price is facing within the VWAP. You may have noticed there are signals within this Indicator. These signals are composed of Green and Red Triangles which represent potential Bullish and Bearish momentum changes. The Momentum changes happen when the Signal Type: The High/Low or Close (You pick in settings) Crosses one of the locations within the VWAP. Bullish Momentum change signals occur when : Signal Type crosses OVER the Basis Signal Type crosses OVER the lower level Bearish Momentum change signals occur when: Signal Type crosses UNDER the Basis Signal Type Crosses UNDER the upper level These signals may represent locations where momentum may occur in the direction of these signals. For these reasons there are also alerts available to be set up for them. If you refer to the two circles within the example above, you may see that when the close goes above the basis line, how it mat represents bullish momentum. Likewise if it corrects back to the basis and the basis acts as a support, it may continue its bullish momentum back to the upper levels again. However, if you refer to the red circle, you’ll see if the basis fails to act as a support, it may then start to correct all the way to the lower levels, or depending on how expanded the VWAP is, it may just reset its anchor due to such drastic movement. You also have the ability to disable Machine Learning by setting ‘Machine Learning Type’ to ‘None’. If this is done, it will go off whether you have it set to: Bullish Bearish Neutral For the type of VWAP you want to see. In this example above we have it set to ‘Bullish’. Non Machine Learning VWAP are still calculated using the same logic of if low < lowest low over length of X and if high > highest high over length of X. Non Machine Learning VWAP’s change much quicker but may also allow the price to correct from one side to the other without changing VWAP Anchor. They may be useful for breaking up a trend into smaller pieces after momentum may have changed. Above is an example of how the Non Machine Learning VWAP looks like when in Bearish. As you can see based on if it is Bullish or Bearish is how it favors the trend to be and may likewise dictate when it changes the Anchor. When set to neutral however, the Anchor may change quite quickly. This results in a still useful VWAP to help dictate possible zones that the price may move within, but they’re also much tighter zones that may not expand the same way. We will conclude this Tutorial here, hopefully this gives you some insight as to why and how Machine Learning VWAPs may be useful; as well as how to use them. Settings: VWAP: VWAP Type: Type of VWAP. You can favor specific direction changes or let it be Neutral where there is even weight to both. Please note, these do not apply to the Machine Learning VWAP. Source: VWAP Source. By default VWAP usually uses HLC3; however OHLC4 may help by providing more data. Lookback Length: The Length of this VWAP when it comes to seeing if the current High > Highest of this length; or if the current Low is < Lowest of this length. Standard VWAP Multiplier: This multiplier is applied only to the Standard VWMA. This is when 'Machine Learning Type' is set to 'None'. Machine Learning: Use Rational Quadratics: Rationalizing our source may be beneficial for usage within ML calculations. Signal Type: Bullish and Bearish Signals are when the price crosses over/under the basis, as well as the Upper and Lower levels. These may act as indicators to where price movement may occur. Machine Learning Type: Are we using a Simple ML Average, KNN Mean Average, KNN Exponential Average or None? KNN Distance Type: We need to check if distance is within the KNN Min/Max distance, which distance checks are we using. Machine Learning Length: How far back is our Machine Learning going to keep data for. k-Nearest Neighbour (KNN) Length: How many k-Nearest Neighbours will we account for? Fast ML Data Length: What is our Fast ML Length? This is used with our Slow Length to create our KNN Distance. Slow ML Data Length: What is our Slow ML Length? This is used with our Fast Length to create our KNN Distance. If you have any questions, comments, ideas or concerns please don't hesitate to contact us. HAPPY TRADING!
Penunjuk Pine Script™
oleh YinYangAlgorithms
12
Anchored VWAP (Auto High & Low)OVERVIEW This script plots, and auto-updates, 3 separate VWAPs: a traditional VWAP, a VWAP anchored to a trends high, and another anchored to a trends low. VWAP and Anchored VWAPs are commonly used by institutions responsible for the majority of market volume on a given day. Citadel Trading, for example, accounts for approximately 35% of all U.S. listed retail volume , largely executed through program trades over the course of a day, week, or month. Because VWAP is a prominent market maker tool for executing large trades, day traders can use it to better anticipate trends, mean reversion, and breakouts. This is most useful on charts with intraday time frames (1 minute, 5 minute etc.) commonly used for day trading. This is not ideal for larger time frames (1 hour or greater) commonly used for swing trading or identifying larger trends. INPUTS You can configure: The size, color, and visibility of 6 different plots (VWAP, High Anchor, Low Anchor, Average of Anchors, Quarter Values, Interim Bands) How smooth the average displays INSPIRATION 1. "How To Measure Anything" by Douglas W. Hubbard 2. "Maximum Trading Gains With Anchored VWAP" by Brian Shannon Better understanding probability and how to analyze risk (first book), as well as the tools market makers use (second book), has completely reframed how I approach day trading.
Penunjuk Pine Script™
oleh liquid-trader
65
[MAD] Custom Session VWAP BandsOverview This indicator helps visualize the Volume Weighted Average Price (VWAP) and its associated standard deviation bands over specified time periods, providing traders with a clear understanding of price trends, volatility, and potential support/resistance levels. Inputs Deviation StDev mult 1: Multiplier for the first standard deviation band (Default: 1.0) StDev mult 2: Multiplier for the second standard deviation band (Default: 2.0) StDev mult 3: Multiplier for the third standard deviation band (Default: 3.0) StDev mult 4: Multiplier for the fourth standard deviation band (Default: 4.0) Line width: Width of the lines for the bands (Default: 2) Custom Vwap session reset settings Many different options are considered when a session is going to be reset. Plot and Fill Options Enable Fills: Enable/disable filling between bands. Plot +4: Enable/disable plotting the +4 standard deviation band. Plot +3: Enable/disable plotting the +3 standard deviation band. Plot +2: Enable/disable plotting the +2 standard deviation band. Plot +1: Enable/disable plotting the +1 standard deviation band. Plot VWAP: Enable/disable plotting the VWAP line. Plot -1: Enable/disable plotting the -1 standard deviation band. Plot -2: Enable/disable plotting the -2 standard deviation band. Plot -3: Enable/disable plotting the -3 standard deviation band. Plot -4: Enable/disable plotting the -4 standard deviation band. How to Use the Indicator Adding the Indicator Add the indicator to your chart through your trading platform's indicator menu. Configuring the VWAP Reset Specify reset intervals based on time, days of the week, or specific dates. Adjust the time zone if necessary. Customizing Standard Deviation Bands Set the multipliers for the standard deviation bands. Choose line width for better visualization. Enabling Plots and Fills Select which bands to display. Enable or disable fills between the bands. Practical Application of VWAP Bands Understanding VWAP VWAP is a trading benchmark that calculates the average price a security has traded at throughout the day based on volume and price. It is primarily used for intraday trading but can also offer insights during end-of-day reviews. Using VWAP for Trading Intraday Trading Entry and Exit Points: VWAP can help identify optimal buy and sell points. Buy when the price is above VWAP and sell when it's below. Support and Resistance: VWAP often acts as a dynamic support/resistance level. Prices tend to revert to VWAP, making it a crucial level for intraday traders. Trend Confirmation Uptrends and Downtrends: In an uptrend, the price will generally stay above VWAP. Conversely, in a downtrend, it will stay below. Use this to confirm market direction. Combining with Other Indicators Moving Averages and Bollinger Bands: Combining VWAP with these indicators can provide a more robust trading signal, confirming trends and potential reversals. Setting Stop-Loss and Profit Targets Conservative Stop Orders: Place stop orders at recent lows for pullback trades. Profit Targets: Use daily highs or Fibonacci extension levels to set profit targets. Strategies for Using VWAP Pullback Strategy Buy during pullbacks to VWAP in an uptrend, and sell during rallies to VWAP in a downtrend. Breakout Strategy Look for breakouts above/below VWAP after the market open to capitalize on new trends. Momentum Trading Use VWAP to confirm the strength of a trend. Buy when the price is consistently above VWAP and sell when it's consistently below. Institutional Strategies Institutional traders use VWAP to execute large orders without causing significant market impact, ensuring trades are made around the average price. By incorporating these strategies, traders can better understand market dynamics, make informed trading decisions, and manage their risk effectively. Some setup possibilities
Penunjuk Pine Script™
oleh djmad
2
[GarufiCommunity] Multi Indicator: VWAPs, MA, Pivot PointsThis script provides a collection of indicators to help traders look at multiple trends while maintaining a consistent configuration, even when jumping around different timeframes and symbols. Additionally, this collection is particularly useful when trading decisions involve looking at dozens of indicators and analyzing, in aggregate, their confluence. With this collection of indicators you can configure anchored VWAPs, MA, and Pivot Points: - Anchored VWAPs: For each you define a fixed time and date to anchor it in the graph, and it stays consistent even when you change the symbol. An example use case can be setting one of the VWAPs to always start on the first candle on January 1st 2021, and a second VWAP a decade prior, so you don’t need to keep manually adjusting/adding VWAPs to the graph. At the moment you can define up to 4 anchored VWAPs. - MA and Pivot Points: For each you can set independent timeframes, periods, and types, while using a single configuration panel. This helps reduce the amount of clicking needed when trying different configurations, such as testing different MA and Pivot periods and comparing how each behave in the graph (this personally helps me build trust in indicators). Permits use of up to 3 MAs and 2 Pivot Points. Lastly, this script leverages and reuses modified code from the sources below: - Médias e Tempos-v.2.1 by VeraLucia (with permission); - Multiple Anchored VWAP v1.0 by GuilhermeNogueira (with permission); - Pivot Point by TradingView.
Penunjuk Pine Script™
oleh rafael.ulhoa
2
Anchored VWAP Pinch & Handoff, Intervals, and Signals"Anchored VWAP Pinch & Handoff, Intervals, and Signals" is an AVWAP toolbox for those who like to use various VWAP trading techniques. The indicator is currently comprised of the following three sections: • The Pinch & Handoff section (shown above on chart) allows manually setting an upper and lower AVWAP (Pinch) along with an additional AVWAP (Handoff) by entering dates or by dragging the vertical anchor lines to the desired significant events on chart. Each of these three AVWAPs can also be set to show zones above and/or below by a percentage or standard deviation amount. The theory behind this method is that the upper and lower AVWAPs may act as dynamic support and resistance levels, effectively creating a price range or channel. As price moves between these two VWAP levels, it becomes squeezed or consolidated within that range. Further conjecture is that the longer the price remains within the range of the two anchored VWAP values, the higher the potential for an explosive breakout. Traders using this strategy may interpret the prolonged consolidation as a period of price compression, with the expectation that a significant move in either direction is likely to occur. Traders employing the AVWAP Pinch strategy might look for specific chart patterns or additional confirmation signals to enter a trade. For example, a breakout above the upper anchored VWAP level could trigger a long trade, while a breakdown below the lower anchored VWAP level could signal a short trade. Stop-loss orders and profit targets are typically set based on the trader's risk tolerance and the volatility of the asset. The third AVWAP (Handoff) is typically set after price has broken through the Pinch, and is used as a new level of support or resistance. The "Pinch & Handoff" phrase is believed to have been coined by Brian Shannon, who has popularized this method. • The Intervals section (shown above on chart) is comprised of six periodic AVWAPs which cyclically reset. Their default settings are 1 Day, 2 Days, 1 Week, 1 Month, 1 Quarter, and 1 Year. They each may be set to desired period and when they are enabled the VWAPs whose periods are lower than the current chart timeframe are automatically hidden. For example a 1 Day AVWAP is not useful on a 1 Week chart so it would be hidden from that timeframe. When using AVWAPs from higher timeframes it may be helpful to set your chart to "Scale price chart only". This can be enabled by right clicking on your chart's price column and then left clicking "Scale price chart only" to enable that option. • The Auto section (shown above on chart) is comprised of two automatic Anchored VWAPs. There are choices for setting anchors automatically based upon Highest Source, Highest Volume, Lowest Source, Lowest Volume, Pivot High, and Pivot Low. Because these two VWAPs work retroactively they are drawn with lines instead of plots. There is currently a limitation of 500 lines that may be drawn at any given time and the logic within this indicator uses a line for every bar of VWAP that is drawn, so if the combined length of both of these VWAPs exceeds 500 bars the earliest lines would disappear. For typical use of looking for the highest high in the last 50 bars or the last fractal this limitation should not be an issue. --- All of the plots have been titled including hidden plots that are generated for the AVWAP line drawings. All of the various types of AVWAP within the indicator should be available as choices within the Alert creation dialog if use of alerts is desired. --- NOTICE: This is an example script and not meant to be used as an actual strategy. By using this script or any portion thereof, you acknowledge that you have read and understood that this is for research purposes only and I am not responsible for any financial losses you may incur by using this script!
Penunjuk Pine Script™
oleh allanster
41
HYE Mean Reversion VWAP [Strategy]An RSI filtered version of PJ Sutherland's Jaws Mean Reversion algorithm using volume weighted average price (VWAP) instead of simple moving average (SMA). "Long" on the close when; 1-) 2 period VWAP closes 3% or more below the 5 period VWAP , 2-) 5 period exponential average of the 2 period RSI is below 30. "Exit Long" on the close when; 1-) 2 period VWAP closes above the 5 period VWAP. "Short" on the close when; 1-) 2 period VWAP closes 3% or more above the 5 period VWAP , 2-) 5 period exponential average of the 2 period RSI is above 70. "Exit Short" on the close when; 1-) 2 period VWAP closes below the 5 period VWAP. *** You can change the needed percentage for long and short trades, periods of VWAPs and RSI levels. *** You can select the trend direction: "Long Only" , "Short Only" or "Both". Default is "Long Only". I used the "VWAP with period" indicator code of @neolao. Special thanks to @neolao. Indicator Link:
Strategi Pine Script™
oleh HYE0619