Rumpy's Multi Interval Extended VWAPs

2019년 7월 30일

Experiment with various intervals of VWAPs and extending them 1 & 2 extra intervals. Uses base intervals from the standard 1 day to half yearly intervals (day/month/quarterly/half yearly).

VWAPs are calculated by the sum of typical price x volume divided by sum volume over the interval. With the 1 D (standard vwap ) the sums reset to zero at the end of the day.

The extensions instead of resetting to zero continues the calculation. Extending the interval an additional interval length.

Technically this means in the case of the standard VWAP that the 1st extension is actually the 2nd day of a 2 Day interval VWAP and the 2nd extension is the 3rd day of a 3 Day interval VWAP .

Same goes for the other intervals eg.
1 Month VWAP =>
1st extension : 2nd Month of a 2 Month interval VWAP
2nd extension : 3rd Month of a 3 Month interval VWAP

2nd extensions are disabled by default as there is usually often overlap, however there can be notable exceptions (such as the current 2nd Monthly extension on BTCUSD )

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