LuxAlgo

VWAP Bands - Event Based [LuxAlgo]

This indicator returns VWAP bands with a degree of smoothness resetting based on various user-selected events. The bands are constructed using a VWAP based naive standard deviation.

The indicator can be anchored or start from the first bar and can be used as trailing support/resistance, in a moving average crossover system, or as source for external indicators.

Settings

  • Start: VWAP anchor point
  • Start At First Bar: Display the VWAP from the first bar instead of a specified anchor point

VWAP

  • Length: Controls certain characteristics of the user-selected event
  • Mult: Multiplicative factor for the VWAP standard deviation
  • Source: Price source of the indicator

Event

  • Event: Determines the event resetting the degree of smoothness of the VWAP
  • External Cross/Event: Input source used for external crosses/events

Further details about the available events are given below.

Details

Various event conditions are available to the users. When the selected event occurs, the VWAP equals the current closing price.


By default, the event is periodic, that is the VWAP resets periodically, with a period determined by the Length setting.


The Higher High event resets the VWAP when a new higher high occurs.


The Lower Low event resets the VWAP when a new lower low occurs.


The Trend Change event is similar however resets the VWAP only once a higher high or lower low occurs. Higher highs and lower lows are given by Donchian channels with a period determined by the Length setting.


The Start event reset the VWAP at the selected anchor point (or first bar if the "Start At First Bar" setting is selected). This can be useful if one only needs a regular anchored VWAP band indicator.


The External Cross event resets the VWAP when the Source price crosses the series selected in the External Cross/Event setting. In the image above the VWAP resets when the price crosses the volatility stop indicator.


The External Event resets the indicator when a series selected in the External Cross/Event setting is not equal to 0. This allows using a custom event in order to reset the VWAP. In the above example the VWAP is reset during a new session due to the External Session indicator.
Versionsinformation:
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