December 24, 2019

Improving VWAP

We have improved the VWAP indicator by making it usable over multiple time frames including daily, weekly, and monthly (DWM). This is a big step in the evolution of VWAP.

Recall that VWAP stands for Volume Weighted Average Price and it shows the average price of an asset weighted by its volume. This means that price levels with more volume have more importance than price levels with less volume. You can learn more about the calculation of VWAP and its features in our help center.

Previously, our VWAP indicator was calculated only at intraday time frames i.e. by the hour, minute or second. This was a limitation and we set out to improve it. The problem was that the indicator calculation period was equal to the intraday trading session and that made it impossible to calculate at DWM intervals.

We’re thrilled to announce that these limitations have been fixed. VWAP can now be used over a Session or any time frame: Week, Month, Year, Decade or Century. For example, if you select Month as the calculation period, the sum of the values ​​from the VWAP formula will accumulate starting from the first trading day of each month.

In the future, we will add new inputs to the built-in VWAP indicator on Pine Script. Please keep sending your feedback and suggestions. Thanks for being a member of TradingView!

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