mabonyi

VWAP Candles & MVWAP

I was getting sick of the useless VWAP indicator on Trading View and wrote something that is more comprehensive and quite interesting, in fact: candles for VWAP .

It uses the original open/high/low/close and combines them as you would the original hlc3 calculation, but separately, to draw the candles as a shadow of the current price.

There are a few parameters to make it more flexible: source, resolution timeframe, volume length, and moving average length.

Volume Length (default: 5) will determine the candle calculations, cumulative sum of the past X bars.

Moving Average Length (default: 9) will determine the simple moving average ( sma ) length for the true VWAP (hlc3*volume/cumulative volume )

Source will change the Moving Average VWAP from hlc3 to whatever you want.

Resolution will attune the candles and Moving Average VWAP line to a different periodicity.

Just to be a pain, I also included the old VWAP from Trading View, as a comparison. You can disable it from the Style settings.


Enjoy and happy trading!
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