Anchored VWAP (Auto High & Low)

liquid-trader Обновлено   
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.

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

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.
Информация о релизе:
Minor cleanup.
Информация о релизе:
Updated chart.
Информация о релизе:
• Improved the scripts color management.
• Minor logic iteration to the "moveCont" function.
Информация о релизе:
• Separated the band visibility from the anchor visibility for more control over what displays.
Информация о релизе:
• Removed the 1/8 plot prices from displaying to declutter the timescale.
Информация о релизе:
• Inputs were set to not display in the status line, minimizing chart clutter.
Информация о релизе:
Visual cleanup of settings panel.
Информация о релизе:
• 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.
Информация о релизе:
• Tooltip corrections.
Информация о релизе:
• Removed unnecessary var declarations to reduce performance penalties.
• Added ability to have VWAP continuation for up to 3 days.
Информация о релизе:
• Updated script to have the new 2 and 3 day VWAPs turned off by default.
Информация о релизе:
• Updated VWAP continuation logic.
Информация о релизе:
• Fixed anchor continuation bug.
Информация о релизе:
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.
Информация о релизе:
Updating indicator preview. No code changes.
Скрипт с открытым кодом

В истинном духе TradingView автор этого скрипта опубликовал его с открытым исходным кодом, чтобы трейдеры могли понять, как он работает, и проверить на практике. Вы можете воспользоваться им бесплатно, но повторное использование этого кода в публикации регулируется Правилами поведения. Вы можете добавить этот скрипт в избранное и использовать его на графике.

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