VWAP Bands LE (Strategy)
DisclaimerInput Information
| Name | Type | Default | Description |
|
PriceToUseInVWAPCalc |
Numeric | AvgPrice | A bar price or other value used to calculate the estimated volume-weighted average price (VWAP). |
| NumDevsDn | Numeric | 2 | The number of standard deviations of the VWAP value to subtract from the VWAP value in order to calculate the VWAP lower deviation band. A long entry signal is generated when TestPriceLBand, described just below, crosses over the lower deviation band. |
| TestPriceLBand | Numeric | Close | The value that triggers a long entry when it crosses over the lower band. |
| LastBarCloseTimeForNewOrd | Numeric | 1555 | The time of day, in 24-hour format, of the close of the last bar on which a new long entry can be generated by this strategy. No new long entry will be generated by this strategy by a bar that closes after this time. |
| RestartCondition | Numeric | 1 | This input determines when the VWAP calculation is restarted. By default, the calculation is restarted at the start of a new regular session only (RestartCondition = 1). But the calculation can also be set to restart at every new session (2), or to calculate only during the regular session (3). |
Usage
Long entry (LE) strategy. Enters a new long position when the value specified by the input TestPriceLBand (see above) crosses over the lower VWAP deviation band. Note that the crossover must occur on a bar that closes at or before the time specified by the input LastBarCloseTimeForNewOrd.
Description
Volume-weighted average price (VWAP) bands are calculated based on the deviation of the VWAP value (see VWAP (Estimated)). By convention, no pre-determined number of bars is used to calculate the deviation value of the VWAP. You can review the EasyLanguage code for this strategy to see the details of the calculation.
In this strategy, a long entry signal is generated when a user-specified price (TestPriceLBand, described above) crosses over the lower VWAP deviation band. Using the default inputs, this means that a long entry will be generated for the next bar when the price specified by the input TestPriceLBand (Close, by default) crosses over the lower VWAP deviation band (that is, a bar closes above the lower VWAP deviation band after closing below the lower VWAP deviation band).
For visualization purposes, you may find the indicator VWAP (Estimated) to be helpful.
Order Name: VWBandLE
Related Strategies: VWAP Bands SE, VWAP LX, VWAP SX
Related Indicator: VWAP (Estimated)