Cvwap-Pvwap 2.0

2021년 3월 13일

A simple vwap based Intraday trend indicator.

Volume-Weighted Average Price (VWAP) - the average price weighted by volume, starts when trading opens and ends when it closes. This can help institutions buy or sell in large orders, without disturbing the market.

After buying or selling, institutions compare instrument price to closing VWAP values at end of the day.
For big financial institutions;
A buy order executed below the VWAP value, considered a good fill because the security was bought at a below average price.
A sell order executed above the VWAP would be deemed a good fill because it was sold at an above average price.

Simple price based moving average is not helpful for them; = as it doesn't incorporates volume traded. Hence - VWAP :)

So how it helps us in decoding the IntraDay-trend? - Through a 2 day vwap co-relation.

So, Closing value of previous day vwap = Pvwap
Today's running vwap = Cvwap

Defining the IntraDay Trend:

Moderately Bullish = candle closing price above Pvwap but below Cvwap
Super Bullish = Closing price is above both (Cvwap and Pvwap)

Moderately Bearish = Closing price is above Cvwap but below Pvwap
Super Bearish = Closing Price is below both (Cvwap and Pvwap)

A big gap between the Cvwap and the candle closing price defines the strong participation from institutions in that direction. (Strong Trend)

Moving with the smart money, in the overall trend is a wise decision for any intraday trader and this helps at its best.