The Multi VWAP tool extends the concept of using the Anchored Volume Weighted Average Price, popularized by its founder, Brian Shannon, founder of AlphaTrends, and creates automatic AVWAPS for multiple anchor points, such as for 2-day, 3-day, 4-day, 5-day, and custom date anchors as well as automagically creating month-to-date and year-to-date anchors. Currently, most standard VWAP tools allow users to place custom anchored VWAPs, but the routine of doing this for every equity being watched can become cumbersome. This tool makes that process multi-times easier. Brian Shannon is also the author of “Maximum Trading Gains With Anchored VWAP: The Perfect Combination of Price, Time, and Volume”. Available at Amazon.
Settings
Daily VWAP: A continuous line of the the daily Volume Weighted Average Price (VWAP) Weekly VWAP: A continuous line of the weekly VWAP 2-Day AVWAP: The anchored VWAP from 2 trading days ago (holidays and weekends are excluded in this calculation) 3-Day AVWAP: The anchored VWAP from 3 trading days ago 4-Day AVWAP: The anchored VWAP from 4 trading days ago 5-Day AVWAP: The anchored VWAP from 5 trading days ago. The slope of this line and the position of the price relative to this line can be used to determine trend direction. 10-Day AVWAP: The anchored VWAP from 10 trading days ago Month-to-Date AVWAP: The anchored VWAP from the beginning of the current month Year-to-Date AVWAP: The anchored VWAP from the beginning of the current year Custom Date AVWAP: Sets a date to begin an anchored VWAP starting from any time. Use only the most recent VWAP for Week, Month, and Year: Toggles on and off the continuous weekly, monthly, and yearly VWAPs
Calculations
This indicator does not provide buy or sell signals. It is simply the VWAP calculated starting from an “anchor point”, or start time. It is the calculated by the summation of Price x Volume / Volume for the period starting at the anchor point.
How to Interpret
According to Brian Shannon, VWAP is an objective measure of what the average trader has paid for a particular equity over a given period, and is the value that large institutional investors frequently use as a trade signal. Therefore, by definition, when the price is above an AVWAP, buyers are in control for that period of time. Likewise, if the price is below the AVWAP, sellers are in control for that period of time.
Shannon also distinguishes the importance of an increasing or decreasing 5 day VWAP, which reflects the price sentiment, objectively, for roughly the last trading week, or 5 trading days. Pricing below a decreasing 5-day VWAP is considered very bearish, while pricing above an increasing 5-day VWAP is considered bullish and is recommended before considering long positions.
Additionally, a custom VWAP can be generated to coincide with important events, such as FOMC meetings, CPI reports, earnings reports, etc.
Practically speaking, price action can tend to change direction when a significant VWAP is hit, voiding buy and sell signals. Like moving averages, this indicator can show, in real-time, how a buy or sell signal should be interpreted. A significant AVWAP line is a point of interest, and can serve as strong support or resistance, because large institutions may be using those values for entries or exits. For a great analysis of how to use AVWAP, visit the AlphaTrends channel on Youtube here or you can buy Brian Shannon’s “Anchored VWAP” book on Amazon.
Other Usage Notes and Limitations
It's important for traders to be aware of the limitations of any indicator and to use them as part of a broader, well-rounded trading strategy that includes risk management, fundamental analysis, and other tools that can help with reducing false signals, determining trend direction, and providing additional confirmation for a trade decision. Diversifying strategies and not relying solely on one type of indicator or analysis can help mitigate some of these risks.
Additionally, the indicator may take a little longer to load than usual. On the rare occasion where it fails to load, you may need to remove the indicator and add it back to your chart. Also, if you do encounter this problem, avoid redrawing your chart while the indicator is being added to the screen.
Acknowledgements
This script uses the MarketHolidays library by @Protervus. Also, for debugging, the JavaScript-style Debug Console by @algotraderdev and the TimeFormattingLibrary by @twingall were invaluable. And, of course, without Brian Shannon's books, videos, and interviews, this indicator would would not be possible.
Catatan Rilis
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Introduction
The Multi VWAP tool extends the concept of using the Anchored Volume Weighted Average Price, popularized by its founder, Brian Shannon, founder of AlphaTrends, and creates automatic AVWAPS for multiple anchor points, such as for 2-day, 3-day, 4-day, 5-day, and custom date anchors as well as automagically creating month-to-date and year-to-date anchors. Currently, most standard VWAP tools allow users to place custom anchored VWAPs, but the routine of doing this for every equity being watched can become cumbersome. This tool makes that process multi-times easier. Brian Shannon is also the author of “Maximum Trading Gains With Anchored VWAP: The Perfect Combination of Price, Time, and Volume”. Available at Amazon.
Settings
Daily VWAP: A continuous line of the the daily Volume Weighted Average Price (VWAP) Weekly VWAP: A continuous line of the weekly VWAP 2-Day AVWAP: The anchored VWAP from 2 trading days ago (holidays and weekends are excluded in this calculation) 3-Day AVWAP: The anchored VWAP from 3 trading days ago 4-Day AVWAP: The anchored VWAP from 4 trading days ago 5-Day AVWAP: The anchored VWAP from 5 trading days ago. The slope of this line and the position of the price relative to this line can be used to determine trend direction. 10-Day AVWAP: The anchored VWAP from 10 trading days ago Month-to-Date AVWAP: The anchored VWAP from the beginning of the current month Year-to-Date AVWAP: The anchored VWAP from the beginning of the current year Custom Date AVWAP: Sets a date to begin an anchored VWAP starting from any time. Use only the most recent VWAP for Week, Month, and Year: Toggles on and off the continuous weekly, monthly, and yearly VWAPs
Calculations
This indicator does not provide buy or sell signals. It is simply the VWAP calculated starting from an “anchor point”, or start time. It is the calculated by the summation of Price x Volume / Volume for the period starting at the anchor point.
How to Interpret
According to Brian Shannon, VWAP is an objective measure of what the average trader has paid for a particular equity over a given period, and is the value that large institutional investors frequently use as a trade signal. Therefore, by definition, when the price is above an AVWAP, buyers are in control for that period of time. Likewise, if the price is below the AVWAP, sellers are in control for that period of time.
Shannon also distinguishes the importance of an increasing or decreasing 5 day VWAP, which reflects the price sentiment, objectively, for roughly the last trading week, or 5 trading days. Pricing below a decreasing 5-day VWAP is considered very bearish, while pricing above an increasing 5-day VWAP is considered bullish and is recommended before considering long positions.
Additionally, a custom VWAP can be generated to coincide with important events, such as FOMC meetings, CPI reports, earnings reports, etc.
Practically speaking, price action can tend to change direction when a significant VWAP is hit, voiding buy and sell signals. Like moving averages, this indicator can show, in real-time, how a buy or sell signal should be interpreted. A significant AVWAP line is a point of interest, and can serve as strong support or resistance, because large institutions may be using those values for entries or exits. For a great analysis of how to use AVWAP, visit the AlphaTrends channel on Youtube here or you can buy Brian Shannon’s “Anchored VWAP” book on Amazon.
Other Usage Notes and Limitations
It's important for traders to be aware of the limitations of any indicator and to use them as part of a broader, well-rounded trading strategy that includes risk management, fundamental analysis, and other tools that can help with reducing false signals, determining trend direction, and providing additional confirmation for a trade decision. Diversifying strategies and not relying solely on one type of indicator or analysis can help mitigate some of these risks.
Additionally, the indicator may take a little longer to load than usual. On the rare occasion where it fails to load, you may need to remove the indicator and add it back to your chart. Also, if you do encounter this problem, avoid redrawing your chart while the indicator is being added to the screen.
Acknowledgements
This script uses the MarketHolidays library by @Protervus. Also, for debugging, the JavaScript-style Debug Console by @algotraderdev and the TimeFormattingLibrary by @twingall were invaluable. And, of course, without Brian Shannon's books, videos, and interviews, this indicator would would not be possible.
Hi, It's very useful, I've been looking for something like this for a while, but I noticed that the 'Custom Date' option is the same for all stocks and it would have been good to remember a start date for each stock. What do you think?
mwrightinc
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@bogdan_talk, 100%. I've been debating on how that should be implemented. Being able to set a custom date for a specific equity would mean that it wouldn't be available for any other equities. That would mean that there would have to be multiple custom dates where each one could be assigned a specific equity. I'm not sure that enough people would get use out of something that specific to warrant the development time. However, I'd be open to building something specific for you. Send me a DM if you're interested.
bogdan_talk
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@mwrightinc, Thank you for your answer and proposal! In the meantime, I discovered that it is very simple to pull the vertical line that marks the beginning of AVWAP, so it is very fast, it does not have to be operated from the calendar in the settings.
mwrightinc
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@bogdan_talk, this is true. In cases where you need quick custom VWAPs, the built-in TradingView VWAP tool is still very useful also.
starshiptrade
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Hi, This is nice, is it possible update this for earning date VWAP? also for daily to show only current day?
mwrightinc
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@starshiptrade, if your looking for an anchored VWAP from a significant event, you may want to use the "Multi VWAP from Gaps [MW]" indicator. It doesn't specifically call out earnings, but it will create an anchor from the biggest price gap of the week, month, quarter, and year. The biggest gap of the quarter many times is related to earnings. If there's a bigger gap, then there was probably a more significant event. Also, you can turn off all of the lines with this indicator in the Settings and just use the Daily VWAP.
rajulakr
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Showing error
mwrightinc
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@rajulakr, thanks. Can you let me know at what time and on which chart you received the error on? If not, if you encounter this error again, please use the camera icon in the top right of the chart and get a screenshot URL.
datafinder
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I am getting study error showing- Error on bar 0: cannot call array methods when id of array is na.
mwrightinc
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@datafinder, thanks for the update. Can you let me know at what time and on which chart you received the error on? If not, if you encounter this error again, please use the camera icon in the top right of the chart and get a screenshot URL. That way I can get enough information to do some debugging.