In collaboration with Brian Shannon, author of two best-selling books on technical analysis, we've put together an indicator that manages the moving average period based on the chart timeframe.
When using AVWAP as described by Brian, we look for stocks where the trend of the 50-SMA is higher. In that scenario, we look to shorter timeframes (intraday charts) to see if the price action is setting up for a low risk trade. We do this by making sure the shorter timeframe(s) align with the longer. As we look at various timeframes, we need to make sure the moving average is consistent across the timeframes, which is done via the 5-day moving average as outlined below.
The 5-Day Moving Average (5-DMA)
Brian explains it best, from his article 5 Day Moving Average posted on his blog:
"If you want to see a five DAY moving average on a chart with 10 minute candles, you have to consider how many 10 minute periods of trading there are in the trading day. The US equities markets are open from 9:30- 4:00 each day, which is 6.5 hours per trading day. In each hour of trading, there are 6-10 minute periods, so during the regular session for equities, the market is open for 390 minutes or 39-10 minute periods per day. If we are to get a five day moving average, we would take the 39-10 minute periods the market is open each day and then multiply that by five days. 39 x 5 = 195. So a 5 DAY moving average is represented by a 195 PERIOD moving average when looking at a 10 minute timeframe."
Here are the supported timeframes and their 5-DMA equivalents: 1-minute 1950 2-minutes 975 3-minutes 650 5-minutes 390 6-minutes 325 10-minutes 195 13-minutes 150 15-minutes 130 26-minutes 75 30-minutes 65 39-minutes 50 65-minutes 30 78-minutes 25 130-minutes 15 195-minutes 10
More Information About Anchored VWAP (AVWAP)
Brian goes into great detail about multiple timeframe analysis and AVWAP in both of his books:
▪ Maximum Trading Gains With Anchored VWAP ▪ Technical Analysis Using Multiple Timeframes
Acknowledgements
Many thanks to Brian Shannon for sharing his expertise on Anchored VWAP and providing feedback and suggestions during the development of the indicator.
Release Notes
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Release Notes: Version 2.0
▪ Added support for any market traded around the world. ▪ Added an optional table that shows the chart timeframe and the relevant moving average.
The default number of minutes in the indicator is set to 390 as the U.S. market is open for 6.5 hours per trading day. If you are trading a different market, enter the total minutes per trading day in Settings. For example, if trading the Indian Market, there are 375 minutes per trading day.
Release Notes
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Version 3.0
▪ Optional table stats are now shown only on an intraday chart.
Release Notes
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Version 4.0
▪ Added option to auto-detect crypto or futures and adjust the minutes in trading day accordingly.
Hi John. It works, for me, only until 30min. timeframe.. when I set more than 30min, it does not show any line.. do you know what could it be ?
JohnMuchow
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If you are trading the U.S. market, the only timeframes that will display a moving average are shown in the description. This has to do with how the 5-DMA is calculated. Brian has an excellent article he wrote titled "5 Day Moving Average" that explains all the details.
xdeerizx
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Awesome work John. I don't get the table though. If I am on the 30 min chart and need to see the correct 5 dma, I would then need to change the default setting of 390 to 65 correct? Well when I do that, it jumps back to 390. Help please!
FlammaTheKing
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it is not working indian market
JohnMuchow
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I'll need more information. You may need to change the "Minutes In Trading Day" if the market you trade has a different number of minutes versus the U.S. market. Please see the documentation above for more info.
TradingX30
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Hi John, I can't change in the "Minutes In Trading Day" setting, it's blocking at 300, I'm using a small timeframe like 1-10-20 min on Index (NQ, ES). Every time I try to change my time frame from 10 minutes to 150, it automatically reverts to 300. What am I doing wrong? Thank you very much for your help
absolutvalu
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nice work John. Can you please explain how to anchor the VWAP?
JohnMuchow
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This indicator is designed to be used with a AVWAP indicator like the one included in TradingView. You can access the TV AVWAP indicator in the left sidebar under Trend Line Tools.