OPEN-SOURCE SCRIPT
Anchored VWAP (Auto High & Low)
Actualizado
OVERVIEW
This script plots, and auto-updates, 3 separate VWAPs: a traditional VWAP, a VWAP anchored to a trends high, and another anchored to a trends low.
VWAP and Anchored VWAPs are commonly used by institutions responsible for the majority of market volume on a given day. Citadel Trading, for example, accounts for approximately 35% of all U.S. listed retail volume, largely executed through program trades over the course of a day, week, or month.
Because VWAP is a prominent market maker tool for executing large trades, day traders can use it to better anticipate trends, mean reversion, and breakouts.
This is most useful on charts with intraday time frames (1 minute, 5 minute etc.) commonly used for day trading. This is not ideal for larger time frames (1 hour or greater) commonly used for swing trading or identifying larger trends.
INPUTS
You can configure:
INSPIRATION
1. "How To Measure Anything" by Douglas W. Hubbard
2. "Maximum Trading Gains With Anchored VWAP" by Brian Shannon
Better understanding probability and how to analyze risk (first book), as well as the tools market makers use (second book), has completely reframed how I approach day trading.
This script plots, and auto-updates, 3 separate VWAPs: a traditional VWAP, a VWAP anchored to a trends high, and another anchored to a trends low.
VWAP and Anchored VWAPs are commonly used by institutions responsible for the majority of market volume on a given day. Citadel Trading, for example, accounts for approximately 35% of all U.S. listed retail volume, largely executed through program trades over the course of a day, week, or month.
Because VWAP is a prominent market maker tool for executing large trades, day traders can use it to better anticipate trends, mean reversion, and breakouts.
This is most useful on charts with intraday time frames (1 minute, 5 minute etc.) commonly used for day trading. This is not ideal for larger time frames (1 hour or greater) commonly used for swing trading or identifying larger trends.
INPUTS
You can configure:
- The size, color, and visibility of 6 different plots (VWAP, High Anchor, Low Anchor, Average of Anchors, Quarter Values, Interim Bands)
- How smooth the average displays
INSPIRATION
1. "How To Measure Anything" by Douglas W. Hubbard
2. "Maximum Trading Gains With Anchored VWAP" by Brian Shannon
Better understanding probability and how to analyze risk (first book), as well as the tools market makers use (second book), has completely reframed how I approach day trading.
Notas de prensa
Minor cleanup.Notas de prensa
Updated chart.Notas de prensa
• Improved the scripts color management.• Minor logic iteration to the "moveCont" function.
Notas de prensa
• Separated the band visibility from the anchor visibility for more control over what displays.Notas de prensa
• Removed the 1/8 plot prices from displaying to declutter the timescale. Notas de prensa
• Inputs were set to not display in the status line, minimizing chart clutter.Notas de prensa
Visual cleanup of settings panel.Notas de prensa
• Added option to specify when a given anchor should be reset if its VWAP has not been broken, measured in sessions. Disabling this feature allows anchors to run indefinitely if they are not broken. Anchors are reset independently of each other. The feature is enabled and set to "1" by default (aka. the way it used to exclusively work).• Added option to limit anchor resets to only regular trading hours and new sessions, effectively ignoring AVWAP price breaks during the after hours, overnight, and premarket.
Notas de prensa
• Tooltip corrections.Notas de prensa
• Removed unnecessary var declarations to reduce performance penalties.• Added ability to have VWAP continuation for up to 3 days.
Notas de prensa
• Updated script to have the new 2 and 3 day VWAPs turned off by default.Notas de prensa
• Updated VWAP continuation logic.Notas de prensa
• Fixed anchor continuation bug.Notas de prensa
Bug Fix: After a TradingView update, the plots did not work as expected. This release patches the indicator to reinstate the intended functionality of plots.Notas de prensa
Updating indicator preview. No code changes.Notas de prensa
- Improved 2nd and 3rd day VWAP accuracy
- Added VWAP color cycling
- Added ability to select high / low anchor source
- Added TWAP
- Fixed bug with quarter value line not displaying
- Fixed potential issue with marketHours bool
Notas de prensa
- TWAP enhancements
- Converted to Pine Script v6
Script de código abierto
Siguiendo fielmente el espíritu de TradingView, el autor de este script lo ha publicado en código abierto, permitiendo que otros traders puedan entenderlo y verificarlo. ¡Olé por el autor! Puede utilizarlo de forma gratuita, pero tenga en cuenta que la reutilización de este código en la publicación se rige por las Normas internas. Puede añadir este script a sus favoritos y usarlo en un gráfico.
¿Quiere utilizar este script en un gráfico?
Discord: discord.gg/cUsjDNNr
Website: liquid-trader.com
Website: liquid-trader.com
Exención de responsabilidad
La información y las publicaciones que ofrecemos, no implican ni constituyen un asesoramiento financiero, ni de inversión, trading o cualquier otro tipo de consejo o recomendación emitida o respaldada por TradingView. Puede obtener información adicional en las Condiciones de uso.