Harmonic Rolling VWAP (Zeiierman)

The Harmonic Rolling VWAP (Zeiierman) indicator combines the concept of the Rolling Volume Weighted Average Price (VWAP) with advanced harmonic analysis using Discrete Fourier Transform (DFT). This innovative indicator aims to provide traders with a dynamic view of price action, capturing both the volume-weighted price and underlying harmonic patterns. By leveraging this combination, traders can gain deeper insights into market trends and potential reversal points.

How It Works
The Harmonic Rolling VWAP calculates the rolling VWAP over a specified window of bars, giving more weight to periods with higher trading volume. This VWAP is then subjected to harmonic analysis using the Discrete Fourier Transform (DFT), which decomposes the VWAP into its frequency components.

Key Components:
  • Rolling VWAP (RVWAP): A moving average that gives more weight to higher volume periods, calculated over a user-defined window.
  • True Range (TR): Measures volatility by comparing the current high and low prices, considering the previous close price.
  • Discrete Fourier Transform (DFT): Analyzes the harmonic patterns within the RVWAP by decomposing it into its frequency components.
  • Standard Deviation Bands: These bands provide a visual representation of price volatility around the RVWAP, helping traders identify potential overbought or oversold conditions.

How to Use
Identify Trends: The RVWAP line helps in identifying the underlying trend by smoothing out short-term price fluctuations and focusing on volume-weighted prices.

Assess Volatility: The standard deviation bands around the RVWAP give a clear view of price volatility, helping traders identify potential breakout or breakdown points.

Find Entry and Exit Points: Traders can look for entries when the price is near the lower bands in an uptrend or near the upper bands in a downtrend. Exits can be considered when the price approaches the opposite bands or shows harmonic divergence.

  • VWAP Source: Defines the price data used for VWAP calculations. The source input defines the price data used for calculations. This setting affects the VWAP calculations and the resulting bands.
  • Window: Sets the number of bars used for the rolling calculations. The window input sets the number of bars used for the rolling calculations. A larger window smooths the VWAP and standard deviation bands, making the indicator less sensitive to short-term price fluctuations. A smaller window makes the indicator more responsive to recent price changes.


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