VWAP Bands SE (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). |
| NumDevsUp | Numeric | 2 | The number of standard deviations of the VWAP value to add to the VWAP value in order to calculate the VWAP upper deviation band. A short entry signal is generated when TestPriceUBand, described just below, crosses under the upper band. |
| TestPriceUBand | Numeric | Close | The value that triggers a short entry when it crosses under the upper deviation band. |
| LastBarCloseTimeForNewOrd | Numeric | 1555 | The time of day, in 24-hour format, of the close of the last bar on which a new short entry can be generated by this strategy. No new short 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
Short entry (SE) strategy. Enters a new short position when the value specified by the input TestPriceUBand (see above) crosses under the upper VWAP deviation band. Note that the crossunder 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 short entry signal is generated when a user-specified price (TestPriceUBand, described above) crosses under the upper VWAP deviation band. Using the default inputs, this means that a short entry will be generated for the next bar when the price specified by the input TestPriceUBand (Close, by default) crosses under the upper VWAP deviation band (that is, a bar closes below the upper VWAP deviation band after closing above the upper VWAP deviation band).
For visualization purposes, you may find the indicator VWAP (Estimated) to be helpful.
Order Name: VWBandSE
Related Strategies: VWAP Bands LE, VWAP LX, VWAP SX
Related Indicator: VWAP (Estimated)