IBH VWAP for TradeStation®
This package enables you to build the most comprehensive VWAP analysis.
Volume-weighted average price (VWAP) is market metric calculated by adding up the dollars traded for every transaction (price multiplied by number of shares traded) and then dividing by the total shares traded for the day/session. Much like the Market Profile concept of point of control (POC) and value area (VA), the VWAP is considered by many traders to be a 'fair' price.
If VWAP is an element of your trading plan, then this product is for you! The package contains two studies:
- IBH VWAP is the most functional VWAP study available. Features include:
- Choice of THIRTEEN different options for VWAP reset,
- Intra-day session, double intra-day session, daily, double daily, weekly, double weekly, monthly, double monthly,
yearly, double yearly, rolling/moving, maximum permissible deviation (MPD) and
Anchored VWAPs
- Intra-day session, double intra-day session, daily, double daily, weekly, double weekly, monthly, double monthly,
- Choice of THREE different deviation band formulas,
- Up to two static and one dynamic deviation band displayed,
- Choice of FOUR alert conditions,
- Color coding of the VWAP trend,
- Naked (untested) VWAP and standard deviation bands display,
- Programmatic interface to export VWAP variables to strategies. Scroll down to see an example.
- Choice of THIRTEEN different options for VWAP reset,
- IBH VWAP ZSCORE is an unconventional manner to view VWAP that will become your secret weapon for trading maximum price excursions from VWAP. Features include:
- Choice of FIVE different options for VWAP reset,
- Intra-day session VWAP Z-Score, daily VWAP Z-Score, weekly VWAP Z-Score, monthly VWAP Z-Score, and yearly VWAP Z-Score
- Choice of THREE different deviation band formulas,
- Up to one static and one dynamic deviation band pairs displayed,
- Choice of FOUR alert conditions,
- Supports Chart Analysis and RadarScreen windows,
- Provides a programmatic interface to export VWAP variables to strategies.
- Choice of FIVE different options for VWAP reset,
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Documentation
Sample Workspace
Click here to download the IBH VWAP SAMPLE WORKSPACE OCT 2023.TSW file for TradeStation 10.0 Update 70 and higher (newer). If your platform is older than Update 70 then you MAY not be able to load the workspace, but you will be able to create new charts with the indicators provided in your subscription.
RadarScreen 1 & 3
IBH VWAP and IBH VWAP ZSCORE inserted with their default settings.
Chart 2 - Typical VWAP window for ".D" equity futures
Symbol linked to the radarscreen above it, IBH VWAP and IBH VWAP ZSCORE inserted with their default settings. IBH VWAP ZSCORE is inserted a second time using the uncommon standard deviation calculation explained in the documentation.
Chart 4 - Typical VWAP window for equities
Symbol linked to the radarscreen above it, IBH VWAP and IBH VWAP ZSCORE inserted with their default settings. IBH VWAP ZSCORE is inserted a second time using the uncommon standard deviation calculation explained in the documentation.
Chart 5 - Monthly VWAP for equities
Symbol linked to the radarscreen above it, IBH VWAP inserted with Range: Type="M" and changes to the color of the VWAP.
Browser Window 6
Gets you here...
IBH VWAP and IBH VWAP ZSCORE inserted with their default settings.
Chart 2 - Typical VWAP window for ".D" equity futures
Symbol linked to the radarscreen above it, IBH VWAP and IBH VWAP ZSCORE inserted with their default settings. IBH VWAP ZSCORE is inserted a second time using the uncommon standard deviation calculation explained in the documentation.
Chart 4 - Typical VWAP window for equities
Symbol linked to the radarscreen above it, IBH VWAP and IBH VWAP ZSCORE inserted with their default settings. IBH VWAP ZSCORE is inserted a second time using the uncommon standard deviation calculation explained in the documentation.
Chart 5 - Monthly VWAP for equities
Symbol linked to the radarscreen above it, IBH VWAP inserted with Range: Type="M" and changes to the color of the VWAP.
Browser Window 6
Gets you here...
Multiple Symbols, Multiple Timeframes VWAP Dashboard
If you ever wanted to see the current price of numerous symbols in relationship to its VWAP (or even daily VWAP, weekly VWAP, and monthly VWAP) then you are in luck. By utilizing the "Communication Channel" in IBH VWAP you can share VWAP variables with other indicators or strategies. Here is an example of a free value-add indicator (IBH VWAP LOCATION) that runs in a RadarScreen. In one RadarScreen IBH VWAP is inserted 3 times using "S", "W", and "M" Range:Type respectively. Each instance uses "Communication Channel" to share the VWAP variables. IBH VWAP LOCATION is also inserted 3 times in a different RadarScreen to listen to its specific Communication Channel.
First, download the free add-on indicator: IBH VWAP LOCATION.ELD file here.
- After you download this file for TradeStation then you must import the indicator into the TradeStation application.
- Once imported then you can use the TradeStation development environment to review/modify the code or you can insert it into a RadarScreen to begin the process to generate a dashboard as above, or you can move to the second step to download a workspace that contains the RadarScreen already developed.
- After you download this workspace file you may want to copy/move the file from your downloads folder to your default workspace folder.
- For Tradestation 10.0 the default workspace folder is Documents\TradeStation 10.0\Workspaces
- This workspace contains a RadarScreen that displays the dashboard.
Integrate VWAP with Cumulative Tick
If you are comfortable with Twitter click here to see my most recent #VWAP tweets.