OPEN-SOURCE SCRIPT

Multi-Day VWAP

Updated

Chart the multi-day Volume Weighted Average Price ( VWAP ). Normally, the VWAP is tracked for the current day, from the first bar of the day (regular or extended session). The VWAP shows the current value of:

-> sum(hlc3 * volume , barsForDay) / sum( volume , barsForDay),

-> where 'barsForDay' is the total number bars that have elapsed during the day for the chart interval.

The multi-day version tracks the VWAP for N days back, by averaging the previous N - 1 day bars VWAP and the current VWAP for the current bar (chart interval).

This is very different that simply using a volume weighted moving average , since the closing VWAP values are used for the historical day bars. The results are interesting for intraday trades... especially for values of 1, 2, 3, 4, and 5 days.

Enjoy.

Release Notes

Test update.

Open-source script

In true TradingView spirit, the author of this script has published it open-source, so traders can understand and verify it. Cheers to the author! You may use it for free, but reuse of this code in publication is governed by House rules. You can favorite it to use it on a chart.

Want to use this script on a chart?

mortdiggiddy

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