Multi-Timeframe VWAP

Shows the Daily, Weekly, Monthly, Quarterly, and Yearly VWAP .

Also shows the previous closing VWAP , which is usually very near the HLC3 standard pivot for the previous time frame. i.e. The previous daily VWAP closing price is usually near the current Daily Pivot . Tickers interact well with the previous Daily and Weekly closing VWAP .

Enabling the STDEV bands shows 3 separate standard deviation levels, defaulted at 1, 2, and 3. The lookback period for the bands is always changing with each new bar, since the standard deviation is calculated from the current bar to the beginning of the period. This is different from bollinger bands , as the lookback is constant (usually 20 periods is the textbook default).

The STDEV bands interval of interest can be changed from Day (D), Week (W), Month (M), Quarter (Q), Year (Y).

Tickers tend to bounce very well on Daily, Weekly, and Yearly VWAP (Yes... Year). Use this code and observe the Year VWAP on several major symbols through the past few years and eyes will be opened.
Notas de prensa: Added in support to show the previous STDEV = 1 Closing values for each of the 5 VWAP time intervals.
Notas de prensa:
  • Updated to Pine V4.
  • Added lines and labels for current VWAP values.
  • Label size and opacity can be adjusted.
  • Lines are shown when the label offset > 0.
  • Line width and style can be adjusted.
  • Use the boolean check buttons to hide/show the labels/lines for each of the 5 VWAP types.
  • Use the boolean check box "Show Price" to hide/show all labels/lines.
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Thank you. Very sophisticated programming. I don't use MA's or oscillators, only the Vwap and Volume Profile, but I find these longer-term vwaps very helpful.

That said, my preferred ones are from taking the last significant swing high and lows and plotting a vwap from those dates.
+2 Responder
@CaperAsh, you’re welcome
+1 Responder
oh my god i am in love
+1 Responder
Thanks for this, I am very much looking forward to spending some time with it. I did have a question: I'm fairly new to FX trading, and I keep seeing conflicting opinions on the value of tick-based volume data that is provided by one's brokerage. I can certainly see both sides of it and was wondering if you had any thoughts -- as someone who has clearly thought a lot about volume and its place in a trader's toolbox.
+1 Responder
mortdiggiddy jlgriffiths
@jlgriffiths, Given that VWAP is somewhat time dependent because it uses the HLC3 * volume as the foundation of the calculation, there may be some differences when comparing VWAP on time based vs tick based charts.

For most items including the USD based FX pairs there are futures counterparts that generally behave * a little * better with VWAP than the raw spot FX. The same is true of the equity futures like ES1!, YM1!... vs. say SPX500USD or US30USD CFD counterparts.

Sometimes you will see E61! (Euro FX front month futures contract) hit daily, weekly, monthly, etc. VWAP * perfectly * but EURUSD will just miss its own respective VWAP.

As long as volume is proportional from one time instance to the next VWAP will perform correctly. FXCM or OANDA may register that this 1 hour candle had a volume of 5000 and that the next one had 2500. If the real Interbank values were more like 50,000 and 25,000 the VWAP calculation will be identical because the proportional volume is the same.
+2 Responder
this is a masterpiece well coded.
Hi Mortdiggiddy, this is awesome and very helpful to see momentum change.
I am wondering if there is a way to setup the anchor for the time frames by current day minus 7 days (week)/30 days (month)/90 days (quarter)/365 days (Year)? This would give a more smoother vwap looking back from today's date and I wouldn't need to worry about the cut off dates at every time frame.
For example, every Monday the weekly vwap trend starts from scratch and no way related to the previous week's vwap.
Thanks for sharing your script, just tried it out. Doesn't appear to be working correcting. Should i be able to click on the cog for settings as currently it doesnt' allow me to.
Thank you

mortdiggiddy Matt_Poll
@Matt_Poll, Don't know what you mean, its been working for years.
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