We’ve waded through all your requests and have now made several improvements to our built-in VWAP functionality.
New indicator: VWAP Auto Anchored
Good news for those who prefer to live in the present: we’re introducing the new VWAP Auto Anchored indicator. The main difference between VWAP Auto Anchored and its predecessor (called simply Volume Weighted Average Price) is that — unlike the latter, which draws VWAP and its bands on all historical data it can find — the newer indicator only displays from the last found Anchor Period. This allows you to investigate the current state of your symbols with far less clutter.
Additionally, the tool boasts three brand new Anchor Period options: Highest High, Lowest Low, and Highest Volume. Once any of these are selected, VWAP Auto Anchored will look for the last HH/LL/HV bar among the last predefined period (the precise number can be set with the Length input in the settings) and start the calculation once a proper anchor is found. If a new anchor appears at a later point, the indicator will be redrawn accordingly.
On this screenshot, you can see the VWAP AA indicator in the Highest Volume mode. It scanned the last 200 bars and found the period of the highest volume on the bar for July 30, 2021, which it then used as the anchor for the VWAP calculation.
Here’s hoping that you’ll find our VWAP upgrades useful. As always, we build all this stuff for you, so don’t be backward about coming forward to us with thoughts, questions and suggestions on how we can continue to make the platform better.
The Anchored VWAP drawing now has standard deviation bands
Based on numerous requests, we’ve added standard deviation bands to the Anchored VWAP drawing. Standard deviation indicates how close a value (in this case, current bar’s VWAP) is to its mean (the sum of all VWAP values up to this point divided by their number).
In the drawing’s settings, you can change the Bands Multiplier to specify the number by which the bands are multiplied, or turn them off by de-selecting the Calculate Standard Deviation Bands input.
We hope you find these new features useful. We love getting your feedback so please keep it coming. Thanks for choosing TradingView!