TriWAP (Anchored)

8月6日

TriWAP (Anchored)
Anchor volume-weighted, time-weighted, and TrueRange-weighted average prices plus dynamic bands over any calendar span.

Metrics
• VWAP: Anchored volume-weighted average price (hlc3 × volume) over the span, starting at the first bar
• TWAP: Anchored time-weighted average price (ohlc4) over the span, starting at the first bar
• TrueWAP: Anchored TrueRange-weighted average price (TrueMid × TrueRange) over the span, starting at the first bar
• Bands: Upper and lower envelopes at ±mult × volatility (or ±mult % of WAP in percent mode)
• Anchor Line: Horizontal line at the span’s opening price
• Settlement Lines (LastVWAP, LastTWAP, LastTrueWAP): Prior span’s final VWAP, TWAP, and TrueWAP

Toggle Options
• Show VWAP | Show V-Bands | Show LastVWAP
• Show TWAP | Show T-Bands | Show LastTWAP
• Show TrueWAP | Show True-Bands | Show LastTrueWAP
• Show Anchor Line | Bold Anchor Line | Shade Between Bands

Underlying Calculations
VWAP
• hlc3 = (high + low + close) ÷ 3
• VWAP = cumulative(hlc3 × volume) ÷ cumulative(volume)

TWAP
• ohlc4 = (open + high + low + close) ÷ 4
• TWAP = cumulative(ohlc4) ÷ bar count

TrueWAP
• range
— first bar: high - low
— otherwise: TrueRange
• mid
— first bar: (high + low) ÷ 2
— otherwise: TrueMid
• TrueWAP = cumulative(mid × range) ÷ cumulative(range)

Volatility & Lookback
• Method: Std Dev, MAD, ATR-scaled, Percent
• Lookback spans: number of spans (current + previous)

Weighted Average Volatility
• Weight each span’s volatility by its share of the total bar count
• Weights sum to 100%, ensuring proportional contribution

Band Widths & Edges
• width = multiplier × volatility (or WAP × mult / 100 in percent mode)
• upper = WAP + width
• lower = WAP − width

8月6日

版本注释

updated chart