Day Trading & Forex Forum

conr

Hello,

What is the typical period setting for the vwap on an intraday ES chart? i.e. 10, 15, 20 etc. Specifically on a 5 min. chart.

Thanks in advance.

Glenn

There is no 'typical' period setting because there is no period setting.
You start the VWAP calculation at the start of the session and continue to update it until the session ends. Then you start all over again at the start of the next session.

Glenn

conr

The reason I asked is because a blog I follow, he mentioned a 20 period setting on the ES and at the end of the day yest. his vwap was 4 pts higher than mine.

leovirgo

vwap may be available as an indicator. I use TradeStation and if you want TS codes, I can post it here. It can be calculated on all intervals.. therefore, current vwap on 60minute chart may be different from that of 1min, 2min etc. For stocks, on an hourly bar, it only calculates 7 times, where as for 10min bars, it will calculate 39times during market hours.

gillpups

Leo if the offer to post the EL code for TradeStation still exists I would great appreciate it.

leovirgo

Vwap is an indicator and it needs vwap_h as a function. It should be fine if you import his ELD file. Save this file in your pc and just use File> Import/export easy language and select the file from the saved location.

I will paste the codes below but ELD import should work.
==========================
{ Create VWAP_h function } save indicator as vwap_h
===========================
vars:
PriceW(0),
ShareW(0),
Answer(0);

if date > date[1] then begin
PriceW = 0;
ShareW = 0;
end;

PriceW = PriceW + (AvgPrice * (UpTicks+DownTicks));
ShareW = ShareW + (UpTicks+DownTicks);

if ShareW > 0 then
Answer = PriceW / ShareW;

VWAP_H = Answer;


================================================== ===

{ VWAP Indicator }
================================================== ===

inputs: VWAPlength ( 10 ), UpColor(Magenta), DownColor(Magenta);

variables: upperMPD ( 0 ), lowerMPD ( 0 ), band ( 0 ),
HH ( 0 ), LL ( 0 ), Answer(0);

Answer = VWAP_H;

if AvgPrice >= Answer then
SetPlotColor(1,DownColor)
else
SetPlotColor(1,UpColor);

Plot1(Answer,"VWAP");


IF High > HighD(0) then
HH = High
else Begin HH = HighD(0);End;


IF Low < LowD(0) then
LL = Low
else Begin LL = LowD(0) ; End;

band = ( HH - LL )/ 2 ;

upperMPD = Answer + band ;
lowerMPD = Answer - band ;

Plot2(upperMPD, "upperMPD" );
Plot3(lowerMPD, "lowerMPD" ) ;

{ Alert criteria }
if Last <= lowerMPD then
Alert( "VWAPlowerMPD" )
else if Last >= upperMPD then
Alert( "VWAPupperMPD" ) ;

Attached Files

MP_VWAP.ELD (5.4 KB, 40 views)

gillpups

Perfect thanks.