Topic: VWAP indicator for Strategy Builder?
Volume weighted average price would be a very useful indicator to use within FSB.
Any way to import MT4 indicators into FSB? or does it need to be coded differently to be used?
- footon
- ◄≡≡≡►
- Online
Re: VWAP indicator for Strategy Builder?
Yep, it needs to be coded in C#.
I think it is available already, I have to look it up if I remember correctly.
- Popov
- Lead Developer
- Offline
Re: VWAP indicator for Strategy Builder?
Hello Grifter,
The formula for VWAP is Cumulative Typical Price x Volume / Cumulative Volume.
Please note that Cumulative volume is a tricky thing to deal with. The problem is that it depends on the starting point of the data series, which means that the VWAP indicator will have different current values if you run it on a chart with shorter or longer historical data.
On the other hand, if we skip the Cumulative Volume part and have only Cumulative Typical Price x Volume, it will work correctly because it will not depend on the history.
Re: VWAP indicator for Strategy Builder?
Popov wrote:
Hello Grifter,
The formula for VWAP is Cumulative Typical Price x Volume / Cumulative Volume.
Please note that Cumulative volume is a tricky thing to deal with. The problem is that it depends on the starting point of the data series, which means that the VWAP indicator will have different current values if you run it on a chart with shorter or longer historical data.
On the other hand, if we skip the Cumulative Volume part and have only Cumulative Typical Price x Volume, it will work correctly because it will not depend on the history.
Yeah i realize that from using an anchored VWAP as apposed to a VWAP that is continuous from the start of your bars (both lines are very different) on whichever chart you're looking at. But couldn't you allow the user to decide how many bars to look back in time and calculate the VWAP from that? That would be more like an anchored VWAP and that is really what I'd be wanting, I often use an anchored VWAP in my manual trading and it can give some really accurate signals. Other people might want one that starts at 00:01 everyday and resets at 23:59 (not what I'm looking for). It'd be nice to have a standard deviation value from that VWAP and have options like any other of the "Channel" indicators as an entry/exit condition. eg "VWAP breakout", 1H chart lets say, period 20 bars, deviation 2.00, open long position when bar closes above upper band after closing below it.
5 2022-07-01 19:51:43 (edited by Grifter 2022-07-01 19:53:48)
Re: VWAP indicator for Strategy Builder?
Actually, a "traditional" VWAP would be calculated, Cumulative Typical Price * Volume / Cumulative Volume starting from 00:00 till the present time, Anchored would be calculated Cumulative Typical Price * Volume / Cumulative volume on however many candles you're counting in your calculation till the present time. Both are quite do-able, Maybe Footon can help with this one