[Leading indicator] VWAP (Volume Weighted Average Price)

[NightWish]

VWAP is a support and resistance line (below the level expect resistance, above the level expect support.)

VWAP is very impactful because calculated by incorporating price and volume statistics, can help us in trading.

At VWAP level there is a lot of transacted volume and it does benefit scalper that trade with bigger sizes (e.g. institutions, whales, etc.)

It's really useful for Scalp Trades.

VWAP Can be used on all time frames, from a very high time frame for swing traders, to a very low time frame (1 min) for Scalp traders.

VWAP can be yearly, monthly, weekly, daily, session (the most used one) and also ‘anchored’ 

Big sizes scalps are difficult to trade when there is small volume (e.g. in a sideway move), therefore big traders prefer to trade them into a level with a lot of converging volume where the order gets most probably filled.

 

 

 

 

 

[CryptoDor]

How to add VWAP to our charts:

Press the indicators button.

Type in "vwap" and click on the following result:

This is how your chart will look like:

Double click anywhere on the blue or green like to open the indicator settings:

Uncheck everything except the VWAP blue line itself.

This is how the chart will start looking like:

 

You can now zoom in in low timeframe like the 5 minutes and see how it was respected (gave support and resistance).

Here is an example if resistance on the yellow circles and support at the blue circles.

 

 

Here is how you can use it in the "future" for possible support expectation. (proving it being a leading indicator) A very zoomed in picture on the one minute chart: 

[CryptoDor]

Adding the source code of the VWAP written in pinescript for anybody interested: 

//@version=5
indicator(title="Volume Weighted Average Price", shorttitle="VWAP", overlay=true, timeframe="", timeframe_gaps=true)

hideonDWM = input(false, title="Hide VWAP on 1D or Above", group="VWAP Settings")
var anchor = input.string(defval = "Session", title="Anchor Period",
 options=["Session", "Week", "Month", "Quarter", "Year", "Decade", "Century", "Earnings", "Dividends", "Splits"], group="VWAP Settings")
src = input(title = "Source", defval = hlc3, group="VWAP Settings")
offset = input(0, title="Offset", group="VWAP Settings")

showBand_1 = input(true, title="", group="Standard Deviation Bands Settings", inline="band_1")
stdevMult_1 = input(1.0, title="Bands Multiplier #1", group="Standard Deviation Bands Settings", inline="band_1")
showBand_2 = input(false, title="", group="Standard Deviation Bands Settings", inline="band_2")
stdevMult_2 = input(2.0, title="Bands Multiplier #2", group="Standard Deviation Bands Settings", inline="band_2")
showBand_3 = input(false, title="", group="Standard Deviation Bands Settings", inline="band_3")
stdevMult_3 = input(3.0, title="Bands Multiplier #3", group="Standard Deviation Bands Settings", inline="band_3")

if barstate.islast and ta.cum(volume) == 0
    runtime.error("No volume is provided by the data vendor.")

new_earnings = request.earnings(syminfo.tickerid, earnings.actual, barmerge.gaps_on, barmerge.lookahead_on, ignore_invalid_symbol=true)
new_dividends = request.dividends(syminfo.tickerid, dividends.gross, barmerge.gaps_on, barmerge.lookahead_on, ignore_invalid_symbol=true)
new_split = request.splits(syminfo.tickerid, splits.denominator, barmerge.gaps_on, barmerge.lookahead_on, ignore_invalid_symbol=true)

isNewPeriod = switch anchor
	"Earnings"  => not na(new_earnings)
	"Dividends" => not na(new_dividends)
	"Splits"    => not na(new_split)
	"Session"   => timeframe.change("D")
	"Week"      => timeframe.change("W")
	"Month"     => timeframe.change("M")
	"Quarter"   => timeframe.change("3M")
	"Year"      => timeframe.change("12M")
	"Decade"    => timeframe.change("12M") and year % 10 == 0
	"Century"   => timeframe.change("12M") and year % 100 == 0
	=> false

isEsdAnchor = anchor == "Earnings" or anchor == "Dividends" or anchor == "Splits"
if na(src[1]) and not isEsdAnchor
	isNewPeriod := true

float vwapValue = na
float upperBandValue1 = na
float lowerBandValue1 = na
float upperBandValue2 = na
float lowerBandValue2 = na
float upperBandValue3 = na
float lowerBandValue3 = na

if not (hideonDWM and timeframe.isdwm)
    [_vwap, _stdevUpper, _] = ta.vwap(src, isNewPeriod, 1)
	vwapValue := _vwap
    stdevAbs = _stdevUpper - _vwap
	upperBandValue1 := _vwap + stdevAbs * stdevMult_1
	lowerBandValue1 := _vwap - stdevAbs * stdevMult_1
	upperBandValue2 := _vwap + stdevAbs * stdevMult_2
	lowerBandValue2 := _vwap - stdevAbs * stdevMult_2
	upperBandValue3 := _vwap + stdevAbs * stdevMult_3
	lowerBandValue3 := _vwap - stdevAbs * stdevMult_3

plot(vwapValue, title="VWAP", color=#2962FF, offset=offset)

upperBand_1 = plot(upperBandValue1, title="Upper Band #1", color=color.green, offset=offset, display = showBand_1 ? display.all : display.none)
lowerBand_1 = plot(lowerBandValue1, title="Lower Band #1", color=color.green, offset=offset, display = showBand_1 ? display.all : display.none)
fill(upperBand_1, lowerBand_1, title="Bands Fill #1", color= color.new(color.green, 95)    , display = showBand_1 ? display.all : display.none)

upperBand_2 = plot(upperBandValue2, title="Upper Band #2", color=color.olive, offset=offset, display = showBand_2 ? display.all : display.none)
lowerBand_2 = plot(lowerBandValue2, title="Lower Band #2", color=color.olive, offset=offset, display = showBand_2 ? display.all : display.none)
fill(upperBand_2, lowerBand_2, title="Bands Fill #2", color= color.new(color.olive, 95)    , display = showBand_2 ? display.all : display.none)

upperBand_3 = plot(upperBandValue3, title="Upper Band #3", color=color.teal, offset=offset, display = showBand_3 ? display.all : display.none)
lowerBand_3 = plot(lowerBandValue3, title="Lower Band #3", color=color.teal, offset=offset, display = showBand_3 ? display.all : display.none)
fill(upperBand_3, lowerBand_3, title="Bands Fill #3", color= color.new(color.teal, 95)    , display = showBand_3 ? display.all : display.none)