Advanced Exponential VWAP
- Indicators
- Version: 2.0
- Updated: 20 July 2021
- Activations: 5
In order to detect "Big activity", new elements of the VWAP standard indicator were incorporated into this project.
In short, the plotted lines represent the moving average with EMA[VWAP]=VWAP[EMA].
Averages of the prices have been combined with volumetric weights and exponential decay.
Also, it was included the same weights to compute the standard deviation.
The parameter called as "strain" is a linear constant shifting the result (strain)xSD(VWAP).
So, a any set of bands can be plotted.
Also, two novel features were incorporated in these calculus.
First, the typical set of price types (open/high/low/close) was extended to take the maximum and the minimum in the results.
In other words, the AEVWAP computed four results and it can be only displayed the maximum or minimum value.
Second, and more importantly, the volume density was include as an option for the volumetric weights for the VWAP calculus.
Due to the volume density was defined as (volume_real/volume_ticks), null values are obtained in Forex schemes.
Figure:
9,[0,+1,+2],PlotMaximum,Density
9,[0,-1,-2],PlotMinimum,Density
