This VWAP oscillator showcases the percent difference between VWAP and current price within an oscillator centered on 0. My thesis for this indicator is that trend following within the threshold zone (defaulted to 1%) would be "choppy" but outside is a significant trend. Another way to think about VWAP is potential for taking profits, as price will always be magnetized back to the center.
I find this sort of visualization very helpful when creating strategies that revolve around a filter such as VWAP and wasn't able to find anything that was close and/or provided this sort of visualization publicly. Enjoy and let me know if you find this useful or can dream up an improvement.
Hey, I just love this. I have a suggestion : is it possible to implement some kind of dynamics levels, maybe based on ATR or BB calculations?
If you currently set the anchor to weekly for example, levels pretty much become obsolete. Would love yo hear your feedback.
terstenb369
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could you make with rolling vwap instead of it's getting started at every daily opening?
upslidedown
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@terstenb369, I think when you're asking about rolling you are asking about changing the period -- which this script already has the option to select a different period. Were you hoping for something else?
If you currently set the anchor to weekly for example, levels pretty much become obsolete. Would love yo hear your feedback.