VWAP (Estimated) (Indicator)
Disclaimer
Input Information
| Name | Expression | Default | Description |
| Price | Numeric | AvgPrice | EasyLanguage expression to use in calculating the VWAP value. |
| NumDevsUp | Numeric | 2 | Number of standard deviations about the VWAP to plot the Upper Band. |
| NumDevsDn | Numeric | -2 | Number of standard deviations below the VWAP to plot the Lower Band. |
| PlotUpperBand | TrueFalse | True | Controls plotting of Upper Band. If true, the upper band is plotted. |
| PlotLowerBand | TrueFalse | True | Controls plotting of Lower Band. If true, the lower band is plotted. |
| HiAlert | Numeric | 1000000 | Value of high alert. |
| LoAlert | Numeric | -1000000 | Value of low alert. |
| RestartCondition | Numeric | 1 | Controls when the calculations restart and are performed. Enter 1 to restart the VWAP calculation at the start of a new regular session only and calculate on every bar; enter 2 to restart at every new session and calculate on every bar; enter 3 to restart at the start of a new regular session and only calculate/update the value during the regular session. |
Market Synopsis
The VWAP (Volume-Weighted Average Price) is a measure of the price at which the majority of a given day's trading in a given security took place. It is calculated by adding the dollars traded for the average price of the bar throughout the day ("avgprice" x "number of shares traded" per bar) and dividing by the total shares traded.
This calculation approximates the "true" VWAP by using the average of the open, high, low, and closing prices of each bar. By contrast, the true VWAP, which is calculated by the exchange and can be plotted in RadarScreen using the built-in "VWAP" indicator, uses the price and volume of every trade to calculate the VWAP. Often, the approximation used in this study is very close to the true VWAP at short bar intervals (1-minute, 5-minute, etc.) As the bar interval increases (240 minute bars, daily, weekly, monthly), more variation is seen between the approximation plotted by this study and the true VWAP.
For Daily, Weekly, Monthly, or advanced bars, the values are reset on each bar, so the resulting calculation is simply the value in the "Price" input.
The indicator requires a security with trade volume and is for Charting only.
VWAP is sometimes used by institutional traders, who often break up a given trade into multiple transactions. The theory is that if the average price of a long trade is lower than the VWAP, it is a good trade. The opposite is true for short trades, average price should be higher than the VWAP.
Plot Information
| Number | Name | Default Color | Description |
| Plot1 | VWAP | White | Volume Weighted Average Price. |
| Plot2 | UpperBand | Dodger Blue | Upper deviation band. |
| Plot3 | LowerBand | Orange | Lower deviation band. |