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SessionVWAP Monthly (amaCurrentMonthVWAP)
Version 2.0 August 11, 2017
The
Current Month VWAP
is the volume-weighted average price (VWAP) of a security for the current month. The VWAP gives a fair reflection of the market conditions throughout the trading month and is one of the most popular benchmarks used by large traders.
The Current Month VWAP can be set to calculate for the entire trading month 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.
Category
NinjaTrader 8 Indicators and More
Details:
SessionVWAP Monthly (amaCurrentMonthVWAP)
Category:
NinjaTrader 8 Indicators and More
September 5th, 2017
Size: 9.93 KB
Downloaded: 1347 times
Keywords:
monthly
quarterrange
session
standarddeviation
volatility
volume
volumeweighted
vwap
1900
Fat Tails
Comments/ratings
danielk
September 8th, 2017 04:53 PM
Thank you
!
bobc635
September 11th, 2017 11:56 AM
very nice !!!
wxsim1
September 24th, 2017 08:22 AM
thank you
brucerobinson
November 7th, 2017 03:35 PM
kiro
March 4th, 2018 11:37 PM
Thank you Harry!!
romus
July 23rd, 2021 10:04 PM
Thank you
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