2-3 Day VWAP

• 10/01/2024 at 12:12 PM #238349
  trwcapital

  Anyone have a good solution for a rolling 2 and 3 day vwap that properly ignores non-trading days? If I use the standard PRT VWAP and set it to 2 days, nothing shows up on monday on stocks and ETFs that don’t trade on the weekends.  I thought about using a 5 day anchored vwap on mondays but the switching back and forth really doesn’t appeal to me.

  

  trwcapital

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  10/01/2024 at 4:39 PM #238366
  Iván

  Maybe this code can give you an idea:

  //PRC Rolling VWAP //version = 0 //06.03.24 //Iván González @ www.prorealcode.com //Sharing ProRealTime knowledge ///inputs src = customclose minBarsInput = 10 stdevMult1 = 1 stdevMult2 = 1.5 stdevMult3 = 2.5 showbands = 1 //////BARS TO CALCULATE VWAP///////// if gettimeframe < 86400 then bars = minbarsinput elsif gettimeframe >= 86400 and gettimeframe < 604800 then bars = MAX(22,minbarsinput) elsif gettimeframe = 604800 then bars = MAX(round(90/5),minbarsinput) else bars = MAX(round(252/22),minbarsinput) endif ////////////////////////////////////// sumSrcVol = summation[bars](src*volume) sumVol = summation[bars](volume) sumSrcSrcVol = summation[bars](pow(src,2)*volume) rollingvwap = sumSrcVol / SumVol variance = sumSrcSrcVol / SumVol - pow(rollingvwap,2) variance = max(0,variance) stDev = sqrt(variance) if showbands then upperband1 = rollingVwap + stDev*stdevMult1 lowerband1 = rollingVwap - stDev*stdevMult1 upperband2 = rollingVwap + stDev*stdevMult2 lowerband2 = rollingVwap - stDev*stdevMult2 upperband3 = rollingVwap + stDev*stdevMult3 lowerband3 = rollingVwap - stDev*stdevMult3 else upperband1 = undefined lowerband1 = undefined upperband2 = undefined lowerband2 = undefined upperband3 = undefined lowerband3 = undefined endif return rollingvwap as "rollingVwap" coloured("orange"),upperband1 as "upperband1"coloured("red"),lowerband1 as "lowerband1"coloured("red"),upperband2 as "upperband2"coloured("yellow"),lowerband2 as "lowerband2"coloured("yellow"),upperband3 as "upperband3"coloured("green"),lowerband3 as "lowerband3"coloured("green")

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  //PRC Rolling VWAP //version = 0 //06.03.24 //Iván González @ www.prorealcode.com //Sharing ProRealTime knowledge ///inputs src = customclose minBarsInput = 10 stdevMult1 = 1 stdevMult2 = 1.5 stdevMult3 = 2.5 showbands = 1   //////BARS TO CALCULATE VWAP///////// if gettimeframe < 86400 then bars = minbarsinput elsif gettimeframe >= 86400 and gettimeframe < 604800 then bars = MAX(22,minbarsinput) elsif gettimeframe = 604800 then bars = MAX(round(90/5),minbarsinput) else bars = MAX(round(252/22),minbarsinput) endif //////////////////////////////////////   sumSrcVol = summation[bars](src*volume) sumVol = summation[bars](volume) sumSrcSrcVol = summation[bars](pow(src,2)*volume)   rollingvwap = sumSrcVol / SumVol   variance = sumSrcSrcVol / SumVol - pow(rollingvwap,2) variance = max(0,variance)   stDev = sqrt(variance)   if showbands then upperband1 = rollingVwap + stDev*stdevMult1 lowerband1 = rollingVwap - stDev*stdevMult1   upperband2 = rollingVwap + stDev*stdevMult2 lowerband2 = rollingVwap - stDev*stdevMult2   upperband3 = rollingVwap + stDev*stdevMult3 lowerband3 = rollingVwap - stDev*stdevMult3 else upperband1 = undefined lowerband1 = undefined upperband2 = undefined lowerband2 = undefined upperband3 = undefined lowerband3 = undefined endif   return rollingvwap as "rollingVwap" coloured("orange"),upperband1 as "upperband1"coloured("red"),lowerband1 as "lowerband1"coloured("red"),upperband2 as "upperband2"coloured("yellow"),lowerband2 as "lowerband2"coloured("yellow"),upperband3 as "upperband3"coloured("green"),lowerband3 as "lowerband3"coloured("green")

  

  Iván

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