NEXT VWAP Slope

2021년 12월 21일

Overview:

This customizable oscillator tracks slope of the Volume-Weighted Average Price ( VWAP ) line, positive and negative, over a user-specified run (bar distance). It is highly responsive, far more so than VWAP alone, making it suitable for issuing long and short signals (especially around 0 crossovers) as well as exit signals at positive and negative extremes (corresponding to price-volume momentum exhaustion).

NASDAQ 100 Futures (NQ1!) 1-minute trend following

The example below shows a NEXT VWAP Slope 0-crossover strategy, issuing long signals when the VWAP Slope line crosses over 0 and short when it crosses under it. You will need the NEXT Strategy Visualizer (free) to plot NEXT VWAP Slope's signals.



NEXT VWAP Slope is highly customizable, allowing you to change the length of the run (for smoother slopes), as well as the midline level - in the above example it is 0. The latter is useful if you want to introduce a bias into your strategies: long, if negative, short, if positive.

Input Parameters:

There are 2 groups of input.

Slope Settings

Slope Run- controls the length of time (in bars) for slope calculation with higher values yielding a smoother, more filtered, but less responsive curve

Midline - the NEXT VWAP Slope level above which market is considered long, below short; default is 0

Upper Limit - the NEXT VWAP Slope level above which market is considered overbought; default is 0 (off)

Lower Limit - the NEXT VWAP Slope level under which market is considered oversold; default is 0 (off)

VWAP Settings

Anchor Period - controls the origin of VWAP calculations, start of session being the default.

Source - data used for calculating the VWAP, typically HLC /3, but can be used with other price formats and data sources as well.

Offset - shifting of the VWAP line forward (+) or backward (-).

Here is how to set NEXT VWAP Slope crossing 0 alerts: open a chart, attach NEXT VWAP Slope, and right-click on chart -> Add Alert. Condition: NEXT VWAP Slope >> VWAP >> Crossing >> Value >> 0 >> Once Per Bar Close.