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If you look at the VWAP for a multi-day period, it is better to look at a VWAP for a completed period. For example
you could look at
-> yesterday's VWAP as a reference for yesterday's value
-> the VWAP of the three prior business days as a reference for value (comparable to the balance point)
thank for the quick reply and explanation, which brings me to the next question are you aware of a vwap with "n" sessions? for ninja 7, I had one when i used tradestation and i found it useful at taking trades at the vwap and the sd's.
The VWAP works cumulative. If you take the last 3 days and calculate a VWAP and that add a fraction of today's session, this will not very much change the value, as today's session will only be weighted with its share of the volume.
Also, I have seen several concepts that use the value area of the preceding 3 days as a reference point, but none that shifts these values towards today's session. I think you can take the VWAP of the prior 3 n sessions as well.
It took some time, but the new version of the SessionVWAP V33 has the option to calculate bands from the range of the current session. If you set it to Session_Range, it will use the quarter range to calculate the bands. With default settings it will show