Multi VWAP

The Multi VWAP [MW] indicator simplifies the application of Anchored Volume Weighted Average Price (AVWAP) by automatically generating anchor points for multiple timeframes, including specific lookback days and date-to-date intervals. This tool eliminates the need to manually anchor VWAPs for every asset, providing a comprehensive view of value across short-term and long-term horizons.

Usage

The Multi VWAP can be used to identify key support and resistance levels based on institutional average pricing. By observing price action relative to different AVWAP lines, traders can gauge trend control: price above an AVWAP suggests buyer control, while price below suggests seller control.

Example usage scenarios include:

• Trend Identification: Using the 5-Day AVWAP to determine the sentiment of the past trading week. An increasing slope with price above indicates a bullish environment.
• Event Analysis: Utilizing the Custom Date AVWAP to anchor to specific news events like FOMC meetings, earnings, or CPI releases to see how the market has reacted since that point.
• Institutional Context: Monitoring Year-to-Date (YTD) and Month-to-Date (MTD) levels which are frequently referenced by large institutional investors.

Details

The indicator calculates VWAP using the standard formula: the summation of (Price × Volume) divided by the total Volume for the period starting from the designated anchor point.

The tool includes a robust calculation engine that accounts for trading days, automatically excluding weekends and holidays (utilizing the MarketHolidays library) to ensure "n-day" lookbacks are accurate to actual market sessions. Users can choose between continuous VWAPs (which reset at every period boundary) or anchored VWAPs that start from a fixed historical point relative to the current time.

Settings

Continuous VWAPs

• Daily VWAP: Toggles a continuous line of the current session's VWAP.
• Weekly VWAP: Toggles a continuous line of the weekly VWAP.

Short-Term AVWAPs

• 2-Day to 50-Day AVWAP: Individual toggles for anchored VWAPs starting exactly N trading days ago.

Long-Term AVWAPs

• Month-to-Date AVWAP: Anchors the VWAP to the first trading day of the current month.
• Year-to-Date AVWAP: Anchors the VWAP to the first trading day of the current year.

Custom AVWAP

• Custom Date AVWAP: Enables a VWAP anchored to a user-defined specific date and time.
• Custom Date for AVWAP: The input field to select the specific timestamp for the custom anchor.

General Settings

• Use only the most recent VWAP for Week, Month, and Year: Toggles between continuous rolling VWAPs and fixed anchors for the current period.
• Show Labels: Displays text identifiers (e.g., "MTD", "YTD") on the chart at the anchor points.
• Use Thin Lines: Adjusts the visual thickness of the plotted lines.

FAQ

How do I use the Custom Date anchor?

Simply enable the "Custom Date AVWAP" setting and select your desired date and time (such as an earnings release) in the "Custom Date for AVWAP" input field.

Why does the indicator take a moment to load?

Because the script calculates multiple historical anchors and filters for market holidays across various timeframes, it requires more computational resources than a standard moving average.

How can I access this tool?

You can get access on the LuxAlgo Library for charting platforms like TradingView, MetaTrader (MT4/MT5), and NinjaTrader for free.