Rolling Multiday VWAP

2020년 5월 15일

Couldn't find a VWAP script that worked the way I needed so I created this one. Basically, it provides a multiday rolling VWAP. I made the rolling period configurable, but I primarily use it to add a 2 day VWAP to my chart alongside the standard VWAP indicator. This unique thing that this indicator does is dynamically anchor to the configured period, but starting from today backwards.


Basically, this indicator ensures VWAP never anchors to the current day, but instead always shows a 2 day VWAP on today's charts. The problem I had with other indicators is that every other day my 2 day VWAP indicator would anchor to the current day and essentially become a redundant standard VWAP indicator.

Hope to update in the future to dynamically update based the chart day you have in focus, but will need some time to figure out if that's even possible.

2020년 5월 20일

릴리즈 노트

Refactored the original indicator/script to fix a number of bugs, and make the lookback period (in days) configurable. Enjoy!

2020년 5월 20일

릴리즈 노트

Updated chart, and added documentation.

2020년 5월 21일

릴리즈 노트

Fixed lookback period bug