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I have slightly changed the calculation mode. The VWAP and TWAP now use the average price (High + Low + Open + Close) / 4. The standard deviation bands use the inpute series. This means that - with default settings - the indicator will calculate variance based on the distance between close and the VWAP / TWAP based on the average price.
In particular this means that the standard deviation for the first bar of a session is not zero, as the close is compared to the average price (High + Low + Open + Close). The visual appearance of the indicator directly after the session open will therefore be different. It will not necessarily show as a beak-shaped ghost, but start with a wider range than you may find for other VWAP bands, which are calculated by using the close.
Please note that using four data points for each bar instead of one increases the accuracy.
I have also made a number of smaller modifications, improved the plot and removed a minor bug. The update is recommended.
I am pleased to announce a webinar on session indicators and how to trade them for next Sunday, July 31 at 2:00 PM EST. It will not be easy to fit the subject into a single webinar, but nevertheless I will try to do it. The webinar will have two parts: …
Register for the webinar (link inside) ahead of time.
thanks a lot. A weekly or multi day (adjustable) VWAP would be super cool if you have one that works on a small time frame chart. It would be cool to put on the one day, two day, three day, etc... thanks so much dude!
I am pleased to announce a webinar on session indicators and how to trade them for next Sunday, July 31 at 2:00 PM EST. It will not be easy to fit the subject into a single webinar, but nevertheless I will try to do it. The webinar will have two parts: …
Use it with Variance_Distance or Session_Range setting, and it should work on real-time charts. Avoid Variance_Last settings for smaller timeframe charts.
Hey Fat Tails, thanks so much for the VWAP indicators you have shared with the community at Big Mikes. I'm loving these VWAP indicators and wondering if there is a way to put the RTH VWAP on at ETH chart so that both the RTH AND ETH VWAP lines coexist on the same chart, preferably placing the RTH VWAP on the ETH chart? Is it possible?
Thanks again for your awesome indicators and great posts!
Use a session template that divides the day into the RTH session and the remainder. I attach session templates for ES and CL below as an example.
Then apply the VWAP and set it to RTH and 2nd session (as the RTH session is the second session of your template). If you set the VWAP to RTH_Multi, it will continue its calculation from the 2nd into the 3rd session for CL.
Super cool man, thanks. BTW, ss there a way to setup sessions so as to create the two day vwap? I really like the weekly though from eyeballing the chart it seems the two would be very handy indeed. Was driving all weekend at my other job so missed the webinar but will take a look at it as soon as I can. Do you happen to have a two day vwap, even if it's not perfect? Thanks again man! You are a genius!
Perhaps, FatTails, it is best... the matrix at 1 is complex enough, and good enough, really, what's another line, you can actually see it anyways if you just look at the one Week, on Wednesday anyways, lol,, thanks again dude... I will keep hounding you for N Period, maybe I should learn some C# one of these days anyways, just a matter of time till i own all them vwap bands my friend.. haha