OPEN-SOURCE SCRIPT
Anchored VWAP (Auto High & Low)
Atualizado
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 Lançamento
Minor cleanup.Notas de Lançamento
Updated chart.Notas de Lançamento
• Improved the scripts color management.• Minor logic iteration to the "moveCont" function.
Notas de Lançamento
• Separated the band visibility from the anchor visibility for more control over what displays.Notas de Lançamento
• Removed the 1/8 plot prices from displaying to declutter the timescale. Notas de Lançamento
• Inputs were set to not display in the status line, minimizing chart clutter.Notas de Lançamento
Visual cleanup of settings panel.Notas de Lançamento
• 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 Lançamento
• Tooltip corrections.Notas de Lançamento
• Removed unnecessary var declarations to reduce performance penalties.• Added ability to have VWAP continuation for up to 3 days.
Notas de Lançamento
• Updated script to have the new 2 and 3 day VWAPs turned off by default.Notas de Lançamento
• Updated VWAP continuation logic.Notas de Lançamento
• Fixed anchor continuation bug.Notas de Lançamento
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 Lançamento
Updating indicator preview. No code changes.Notas de Lançamento
- 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 Lançamento
- TWAP enhancements
- Converted to Pine Script v6
Script de código aberto
No verdadeiro espírito do TradingView, o autor desse script o publicou como código aberto, para que os traders possam compreendê-lo e analisá-lo. Parabéns ao autor! Você pode usá-lo gratuitamente, mas a reutilização desse código em publicações é regida pelas Regras da Casa. Você pode favoritá-lo para usá-lo em um gráfico.
Quer usar esse script no gráfico?
Discord: discord.gg/cUsjDNNr
Website: liquid-trader.com
Website: liquid-trader.com
Aviso legal
As informações e publicações não devem ser e não constituem conselhos ou recomendações financeiras, de investimento, de negociação ou de qualquer outro tipo, fornecidas ou endossadas pela TradingView. Leia mais em Termos de uso.