Volume Weighted Average Price


The VWAP, or Volume Weighted Average Price, is a godsend for traders constantly looking to improve their performance. It’s a technical analysis indicator that takes into account both price and volume, providing a more nuanced understanding of an asset’s true average price over a given period of time.

Input Parameters:

  • Length, D+:  Number of periods used in the calculation.
  • Offset: The offset value is used to access the data of any candle or indicator concerning the current candle, to access the current candle data it will use the offset value of "0", to access previous candle data "-1" offset value will be used, access data of previous to previous "-2" will be used.
  • Price Source: The specific data points (such as open, high, low, or close) from each candle in a financial chart that an indicator uses for mathematical computations, enabling the calculation of metrics like the average over a specified period.

Use Case:

  • Used in Algorithmic Trading: VWAP can be used as a benchmark for algorithmic trading because it helps traders and investors track whether or not their orders are executed at a fair price. It is often used in automated trading systems as a reference point for executing trades.
  • Trade Signals: The VWAP can also be used as the basis for trading signals. Traders can use deviations from the VWAP as an indication of whether to enter or exit a position.
  • Crossovers: Traders look for a crossover of the VWAP and the price to confirm a trend change, and VWAP as support or resistance, where traders look for the price to bounce off the VWAP before entering a trade.

This feature can be used in:

  • Market Scanner
  • Strategy Tester
  • Dynamic Alerts
  • Multi-Factor Alerts
  • Smart Checklist

Do you want to learn more? Check out our Learning Center Article.

May 16, 2024

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