Volume Weighted Average Price Crossover VWAP
- Indicators
- Leif Christian Ringstad
- Version: 1.0
- Activations: 5
This is a crossover using two Volume Weighted Average Price (VWAP) lines. VWAP is calculating the sum of price multiplied by volume, divided by total volume. the average is then a simple moving average of the average price over the given period. This indicator can be used as a dual baseline, or as a crossover on different lengths.
It can change on the crossover or if the price is above/below the lines.
Use the crossover as signals for entering a trade in the long or short direction.
Parameters:
| Parameter | Default value | Options |
|---|---|---|
| Fast period | 10 | Any number of bars |
| Fast Price | Close | The price to use for calculation of the volume weighed average price |
| Slow period | 25 | Any number of bars |
| Slow Price | Close | The price to use for calculation of the volume weighed average price |
| Visual colour of moving average | Change colour on Crossover | Change colour on crossover Change colour if price is above/below VWAP line(s) Keep same color all the time |
For crossover type trades:
When the fast VWAP crosses above the slow VWAP, look for buy entries. (Both MA should be green)
When the fast VWAP crosses below the slow VWAP, look for sell entries. (Both MA should be red)
For price above/below VWAP Lines:
Look for change of color of the VWAP lines. Green for buy/long trades, and red for sell/short trades. Note that due to the nature of VWAP, it can cross often on low average value/bar count for calculating the average.
The indicator can also be used to show the current trend direction, by looking at the color of the both the VWAP lines.
