Multi-Timeframe VWAP

2017年8月22日

Shows the Daily, Weekly, Monthly, Quarterly, and Yearly VWAP.

Also shows the previous closing VWAP, which is usually very near the HLC3 standard pivot for the previous time frame. i.e. The previous daily VWAP closing price is usually near the current Daily Pivot. Tickers interact well with the previous Daily and Weekly closing VWAP.

Enabling the STDEV bands shows 3 separate standard deviation levels, defaulted at 1, 2, and 3. The lookback period for the bands is always changing with each new bar, since the standard deviation is calculated from the current bar to the beginning of the period. This is different from bollinger bands, as the lookback is constant (usually 20 periods is the textbook default).

The STDEV bands interval of interest can be changed from Day (D), Week (W), Month (M), Quarter (Q), Year (Y).

Tickers tend to bounce very well on Daily, Weekly, and Yearly VWAP (Yes... Year). Use this code and observe the Year VWAP on several major symbols through the past few years and eyes will be opened.

2018年5月2日

版本注释

Added in support to show the previous STDEV = 1 Closing values for each of the 5 VWAP time intervals.

2019年10月23日

版本注释

• Updated to Pine V4.
  
• Added lines and labels for current VWAP values.
  
• Label size and opacity can be adjusted.
  
• Lines are shown when the label offset > 0.
  
• Line width and style can be adjusted.
  
• Use the boolean check buttons to hide/show the labels/lines for each of the 5 VWAP types.
  
• Use the boolean check box "Show Price" to hide/show all labels/lines.
  

2022年6月4日

版本注释

• Updated to pinescript V5
  
• Added color options for labels