VWAP, AVWAP and MVWAP

The VWAP, AVWAP and MVWAP indicator provides a comprehensive suite of volume-weighted average price tools, allowing traders to visualize standard VWAP, anchored VWAP from a specific date, and a moving average of the VWAP for enhanced trend analysis.

Usage

The Usage section describes how the script can be used to identify key support and resistance levels based on volume-weighted pricing.

• Standard VWAP: Used as a benchmark for the average price paid for a security throughout the trading day based on both volume and price.
• Anchored VWAP (AVWAP): Allows users to "anchor" the calculation to a specific significant event, such as a high, low, or specific calendar date (Year, Month, Day), to see how the average price has evolved since that point.
• Moving VWAP (MVWAP): Applies an exponential moving average to the standard VWAP. This helps smooth out price fluctuations and can be used to identify trend shifts when the standard VWAP crosses the MVWAP.

Details

The script executes three distinct volume-weighted calculations:

1. VWAP: Calculated using the built-in TradingView ta.vwap function, typically based on hlc3.
2. AVWAP: Manually calculates a cumulative volume-weighted price starting from a user-defined timestamp. It resets the sum of price-volume and total volume at the specified anchor date.
3. MVWAP: Derived by taking an Exponential Moving Average (EMA) of the current VWAP over a user-defined length.

The tool also includes built-in alert conditions for price crossing the AVWAP and for crossovers between the VWAP and MVWAP.

Settings

AVWAP Settings

• Plot AVWAP?: Toggles the visibility of the Anchored VWAP line.
• Year/Month/Day: Sets the specific starting date for the AVWAP calculation.

MVWAP Settings

• Plot MVWAP?: Toggles the visibility of the Moving VWAP line.
• Moving VWAP length: Determines the lookback period for the EMA applied to the VWAP.
• MVWAP Color: Customizes the color of the MVWAP plot.

VWAP Settings

• Plot VWAP?: Toggles the visibility of the standard VWAP line.
• VWAP Color: Customizes the color of the VWAP plot.
• VWAP Source: Selects the price data used for the VWAP calculation (default is hlc3).

FAQ

How do I use the AVWAP for a specific event?

You can manually enter the Year, Month, and Day in the settings menu to anchor the calculation to a specific market event, such as an earnings release or a major swing high/low.

What is the difference between VWAP and MVWAP?

VWAP is the intra-day volume-weighted average price, while MVWAP is a moving average of that VWAP, providing a smoother trend line that can be used for crossover signals.

How can I access this indicator?

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