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Quantum VWAP ProThe VWAP indicator is another of our suite of volume indicators and one which was first referred to in 1988 when it appeared in an article entitled “The Total Cost Of Transactions On The NYSE” in the March edition of the Journal Of Finance from that year, which went on to explain its importance, particularly from an institutional perspective, which underpins its significance in appreciating the power and importance of this indicator. In many ways, it is akin to the volume price analysis methodology itself, as we are merely attempting to follow the footprints in the sand left by their passage and described by volume. The same is true here, but in this case, we are following the institutions in much the same way. Originally, the VWAP indicator was developed as a benchmark to measure whether an institutional customer received a fair execution of their order by the broker buying and selling on their behalf. The difference between the reported price and the VWAP gave the customer a benchmark against which to judge whether they had received a fair price or not. A portfolio manager for example, wants to know how the price they paid compared to the average price of the stock during the time it took to fill the order. If an order is filled at a worse price than the VWAP, it raises questions as to the ability of the broker. If the broker purchased a million shares at $40.50 and the VWAP during this time was at $40.70, the customer is likely to be happy since they paid 20 cents less than ‘fair value’. Equally, if the stock were purchased above, at, say $40.90 per share, the customer would consider this a poor trade, paying well above the fair value price at the VWAP. The simplicity of this easy-to-understand benchmark, which creates this fair value price concept, has led to its wholehearted adoption amongst the institutions, and moreover, why algorithmic VWAP orders now dominate institutional market activity. A huge percentage of institutional orders are executed as VWAP orders, which raises two key questions. First of all, why, and second, how can we benefit from using the indicator? If we start with the why, according to reports from the leading market makers, almost 40% of orders are now executed on this basis as they attempt to obtain a buy or sell price close to or better than the VWAP during the time it takes to complete the buy or sell order. These orders, therefore, help to hugely reinforce the importance of the VWAP since it is the guiding principle on which these orders are based. Even Warren Buffet uses VWAP, as evidenced when he sold his entire position in Southwest Airlines over two days, holding 2.3 million shares. This highlights the key issues for any large institutional investor involving the price. If executed in a single order, an order to buy a large block of shares would almost certainly swamp the market, raising the price exponentially and, in addition, overwhelm the average volume traded in the day. It is this issue of putting the price up against their own buying or conversely seeing the price fall as a result of their own selling that leads to the parent and child order scenario where significant block orders are broken into a multitude of smaller orders, which are duly executed over days, weeks or months. It is this aspect of institutional order execution that makes the VWAP such a potent indicator. However, at Quantum Trading, we don’t just build a single indicator and leave it at that! We always take them to another level, and here we have done the same, bundling together a total of five indicators into one amazing value package so you can select your favorite from those on offer. The reason for this is we recognize the different ways the volume-weighted average price is used, which is why we offer a total of FIVE variants to choose from, and these are as follows: VWAP – Volume Weighted Average Price MVWAP – Moving Volume Weighted Average Price AVWAP – Anchored Volume Weighted Average Price TWAP – Time Weighted Average Price Interday Volume Weighted Average Price All five variants include the option to display upper and lower bands that act as envelopes above and below the VWAP based on standard deviation, which you can adjust and set yourself. These price envelopes become essential dynamic support and resistance levels, which can help predict the extremes of price action as it oscillates around the VWAP from the fastest to the slowest timeframes and everything in between. All five indicators are packaged into one powerful indicator, which we have named the Quantum VWAP Pro indicator for obvious reasons, and as you would expect, it works in all markets and instruments, whether stocks, futures, ETFs, forex or cryptocurrencies. Finally, as with all our indicators, we recommend you use it in multiple timeframes.
Pine Script™ indicator
by QuantumTradingSoftware
3
WAP ⸗ Weighted Average PricingsOur W.A.P ( Weighted Average Pricing s ) indicator is made of four different types of "WAPs". We have added the two common types known as VWAP and TWAP . In addition, we added our two custom types known as CWAP and GWAP . Each is plotted using a fully customizable two-tone color palette represented by Bullish or Bearish. In addition, each WAP has a toggle line-extensions and price labels option. This indicator has been pre-configured for Day-Trading and Scalping . • VWAP : Volume Weighted Average Pricing • TWAP : Time Weighted Average Pricing • CWAP : Cumulative Weighted Average Pricing • GWAP : Geometric Weighted Average Pricing Additional script features allow for fully adjustable settings and configurations: • Adjustable; Colors • Adjustable; Resolutions • Adjustable; Parameters • Adjustable; Price Labels • Adjustable; Line Extensions • Adjustable; Toggles
Pine Script™ indicator
by Operietur
TWAP + MA crossover Study [Dynamic Signal Lab]Dear TV'ers, Hereby the study for the TWAP/moving average crossover, with taking profit options. moving averages include: EMA , WMA , DEMA , TEMA , VAR, WWMA, ZLEMA , TSF , HULL, TILL It is also possible to gradually take profit, using: * minimum consecutive green/red candles * minimum amount of green/red candles in the last 2-8 candles * both of the above criteria The slightly transparent green fill shows how much you are in profit from your entry point The current default properties should be modified to make this strategy cost-effective, but typically 15 minutes and higher timeframes (up to 6hr) seem to work well for larger (top10 cap) crypto projects. Don't use this script for small-caps as it will get you rekt, due to wild volatility. Additionally, you'll also be able to continuously take profit, making sure you lock in all those sweet profits. For backtesting: use the strategy version of this script
Pine Script™ indicator
by DynamicSignalLab
1
TWAP + MA crossover Strategy [Dynamic Signal Lab]Dear TV'ers, Hereby the strategy script for the TWAP/moving average crossover, with unique taking profit options. moving averages include: EMA , WMA , DEMA , TEMA , VAR, WWMA, ZLEMA , TSF , HULL and TILL. Use the TWAP as the slow moving average and use another moving average as the faster/more responsive moving average. Finally, you can use a green fill to visualize how much you are in profit from your entry point. Good strategies always involve gradual taking profit, which is also possible in this script. You can gradually take profit (and set how much%), using the following criteria: * minimum consecutive green/red candles * minimum amount of green/red candles in the last 2-8 candles * both of the above criteria. The current default properties should be modified to make this strategy cost-effective, but typically 15minutes and higher timeframes (up to 6hr) seem to work well for larger (top10 cap) crypto projects. Don't use this script for small-caps as it will get you rekt. Additionally, you'll also be able to continuously take profit, making sure you lock in all those sweet profits. Use this script for backtesting and the indicator compagnon to fire your alerts.
Pine Script™ strategy
by DynamicSignalLab
4
EMP PEG / TWAP 1.01 Crypto DefiThis script is for my EMP friends. This addon is based upon Etherium price. It will take the Etherium price and divide by 4,000 to get the PEG price. From there, it will multiply by 1.01 to get the TWAP 1.01. Since it takes 1.01 for the boardroom to print, the yellow line is the important line. TWAP will be showed by default. You can switch between or have both indicators on. You can drag the indicator screen up to get a bigger chart. You can also use this for looking back to see where PEG or TWAP 1.01 was during certain EMP prices. Understand this will get you close to seeing when Boardroom will print. Nothing is exact. How I use it: I place a green and yellow horizontal line on an EMP chart from Dexscreener dexscreener.com You can check this chart to find out what to move your horizontal lines to. Come join the fun at emp.money
Pine Script™ indicator
by repo32
2
WhaleCrew OverlayThis overlay is all about looking for confluence, and this is achieved by combining the power of Support/Resistance trading and Moving Averages. Features Support and Resistance Trend Visualization Fib Ribbons Moving Average System Intraday Tools Support and Resistance This involves Daily Levels (High, Low, Open, and Range Center), Weekly Levels (Open, High and Low), as well as the Monthly/Quarterly/Yearly Open. Automatically having these support/resistance levels on your chart no matter what timeframe you're on is a big advantage, they can be used as confluence levels for potential trades. Trend Visualization Our trend component visualizes the current trend using two moving averages. There are multiple inbuilt modes that should be picked based on your trading style. Use this indicator as confluence and don't rely solely on it. Fib Ribbons Our Fib Ribbons are a bundle of multiple EMAs with custom timeframe built-in. Unlike EMA Ribbons our EMA lengths are only based on Fibonacci Numbers. The numbers of EMAs is four by default (fastest: 8, slowest: 34), but EMA 5 & 55 can be manually enabled. The ribbons will act as support in an uptrend and as resistance in a downtrend. A ribbon cross often indicates a potential trend change. Moving Average System Build a system around 2 custom moving averages for more confluence (supports custom timeframes and many moving average types). The moving averages can be used for generating signals whenever they cross, or as possible support/resistance. Intraday Tools We also support intraday tools like VWAP (Volume-Weighted-Average Price) and TWAP (Time-Weighted-Average-Price). They differ from normal moving averages by taking volume/time into account and will act as potential support/resistance (commonly used by big market participants). Usage You should look for price levels where moving averages and support/resistance are lined up for confluence. Closely monitor price action near important price levels for potential trade setups: Consolidation right below resistance is considered bullish Consolidation right at support might be considered bearish Watch out for rejections and retests (also counts for moving averages) Access to this indicator can be obtained through our website.
Pine Script™ indicator
by WhaleCrew
2
+ Time Weighted Average PriceThis is basically NeoButane's script (which should be more popular than it is) with a few additions, those being primarily plotted lines of the closing price of the previous TWAP, however I've also added the optionality of plotting a second TWAP of say, maybe a different resolution if you are so inclined. Also, you may plot shapes across the top or bottom of your chart color based on if current price is above or below the previous closing price of the TWAP, in case you might want to clean the chart up a bit and not plot the actual closing price lines. But what is TWAP, exactly, you might be saying to yourself. If you're familiar with VWAP then you've probably a pretty good idea of what this is and how it works. TWAP is a calculation that defines the weighted average price over a specific time period. Traders use TWAP as a trading strategy, or more specifically, an execution strategy, to place large orders without excessively impacting the market price. They break down the large orders into several sets of small orders priced near TWAP. Basically it's VWAP but without the volume element, and most traders will likely use it in a similar fashion as they might use VWAP, and that is like a moving average--dynamic support and resistance. I like to think of it as displaying a price range over a specified time period (such as a month or a week). This is why I think the closes of the previous period or two are so important. Losing the previous closing price or regaining it can often give you an inclination as to whether at least some of the next period (the one you're currently in) may be bearish or bullish. Above is a more zoomed out view of ADA/USD And here's the same image with just the closing price for the time period plotted. Enjoy!
Pine Script™ indicator
by ClassicScott
4
Flunki T-WAP minus MA Oscillator Yo, Possible the last of these for now, and mostly for the sake of completeness.. This is.. Another simple oscillator that show the difference in price between a selectable timeframe TWAP and a Moving Average of that TWAP This is shown as a histogram. Use numeric TWAP values for minutes (30, 60 ,720 whatever) and D, 3D, W, M for higher values There is also a global timeframe which will set the timeframe for a global alternate timeframe (instead of current chart resolution) On top of that is a Moving Average of the histogram value, shown as a blue / red line with an option to highlight this MA crossing zero, and an option to colour bars to this line. The major difference between this Oscillator, and the other script (Flunki VWAP minus MA Oscillator) (I treid to insert a link but it's invisible so it would seem, anyway.. ) is that VWAP is usually calculated daily, so there is a sharp move upon the daily close, as VWAP starts a new day. Using TWAP this does not occur, so gives smoother transitions ; also the timeframe for TWAP is selectable for additional wap fun. Simple idea : Code open Enjoy !
Pine Script™ indicator
by syrinxflunki
7
Flunki TWAP minus MTF TWAP Oscillator Heys, Herewith a another simple oscillator that show the difference in price between a selectable timeframe TWAP and another alternative selectable timeframe TWAP This is shown as a histogram. Use numeric TWAP values for minutes (30, 60 ,720 whatever) and D, 3D, W, M for higher values There is also a global timeframe which will set the timeframe for a global alternate timeframe (instead of current chart resolution) On top of that is a Moving Average of the histogram value, shown as a blue / red line with an option to highlight this MA crossing zero, and an option to colour bars to this line. Simple idea : Code open Enjoy !
Pine Script™ indicator
by syrinxflunki
4
Fractal Trend Trading System [DW]This is an advanced utility that uses fractal dimension and trend information to generate useful insights about price activity and potential trade signals. In this script, my Advanced FDI algorithm is used to estimate the fractal dimension of the dataset over a user defined period. Fractal dimension, unlike spatial or topological dimension, measures how complexity or detail in an "object" changes as its unit of measurement changes, rather than the number of axes it occupies. Many forms of time series data (seismic data, ECG data, financial data, etc.) have been theoretically shown to have limited fractal properties. Consequently, we can estimate the fractal dimension from this data to get an approximate measure of how rough or convoluted the data stream is. Financial data's fractal dimension is limited to between 1 and 2, so it can also be used to roughly approximate the Hurst Exponent by the relationship H = 2 - D. When D=1.5, data statistically behaves like a random walk. D above 1.5 can be considered more rough or "mean reverting" due to the increase in complexity of the series. D below 1.5 can be considered more prone to trending due to the decrease in complexity of the series. In this script, you are given the option to apply my Band Shelf EQ algorithm to the dataset before estimating dimension. This enables you to transform your data and observe how its newly measured complexity changes the outputs. Whether you want to give emphasis to some frequencies, isolate specific bands, or completely alter the shape of your waveform, EQ filtration makes for an interesting experience. The default EQ preset in this script removes the low shelf, then attenuates low end and high end oscillations. The dominant cyclical components (bands 3 - 5 on default settings) are passed at 100%, keeping emphasis on 8 to 64 sample per cycle oscillations. The estimated dimension is then used to calculate the High Dimension Zone and the Error Bands. Both of these components are great for analyzing trends and for estimating support and resistance values. The High Dimension Zone is composed of a high line, low line, and midline that update their values when D is at or above the user defined zone activation threshold. The zone is then averaged over a user defined amount of updates and zone width is multiplied by a user defined value. The Error Bands are composed of a high, low, and middle band that are calculated using an error adjusted adaptive filter algorithm that utilizes dimension as the smoothing constant modulator. The basis filter for the error bands has two calculation types built in: -> MA - Calculates the filters as adaptive moving averages modulated by D. -> WAP - Calculates the filters as adaptive weighted average prices modulated by D. The WAP starting point can be based on the High Dimension Zone being moved or a user defined interval. You can also define the WAP's minimum and maximum periods for additional control of the initial and decayed sensitivity states. The alpha (smoothing constant) modulator can be fine tuned using the designated dimension thresholds. When D is at or below the low dimension threshold, the filter is most responsive, and vice-versa for the high dimension threshold. Alpha is then multiplied by a user defined amount for additional control of sensitivity. Band width is then multiplied by a user defined value. A Hull transformation can be optionally performed on the zone averaging and band filter algorithms as well, which will alter the frequency and phase responses at the cost of some overshoot. This transformation is the same as a typical Hull equation, but with custom filters being used instead of WMA. The calculated outputs are then used to gauge the trend for signal and color scheme calculations. First, a dominant trend indication is selected from its designated dropdown tab. The available built in indications to choose from are: -> Band Trend (Outer) - Detects band breakouts and saves their direction to gauge trend. -> Band Trend (Median) - Uses disparity between source and the band median to gauge trend. -> Zone Trend (Expansion) - Detects when the high fractal zone expands and saves its direction to gauge trend. -> Zone Trend (Outer Levels) - Detects zone breakouts and saves their direction to gauge trend. -> Zone Trend (Median) - Uses disparity between source and the zone median to gauge trend. Then the trend output is optionally filtered before triggering signals. There are multiple trend filtration options built into this script that can be used individually or in unison: -> Filter Trend With High Fractal Zone - Filters the trend using the specified zone level or combination of levels with either disparity or crossover conditions. There is a set of options for bullish and bearish trends. -> Filter Trend With Error Bands - Filters the trend using the specified band level or combination of levels with either disparity or crossover conditions. There is a set of options for bullish and bearish trends. -> Filter Trend With Band - Zone Disparity Condition - Filters the trend using the specified band level, zone level, and disparity direction. There is a set of options for bullish and bearish trends. -> Filter By Zone That Moves With The Trend - Filters the specified trend by detecting when the high fractal zone’s direction correlates. -> Filter By Bands That Move With The Trend - Filters the specified trend by detecting when the error bands’ direction correlates. -> Filter Using Wave Confirmation - Filters the specified trend by detecting when source is in a correlating wave with user defined length. You can also choose separate lengths for bullish and bearish trends. -> Filter By Bars With Decreasing Dimension - Filters the specified trend by detecting when fractal dimension is decreasing, suggesting source is approaching more linear movement. The filtered trend output is then used to generate entry and exit signals. There are multiple options included to fine tune how these signals behave. For entries, you have the following options built in: -> Limit Entry Dimension - Limits the range of dimensional values that are acceptable for entry with user defined thresholds. This can be incredibly useful for filtering out entries taken when price is moving in a more complex pattern, or when price is approaching a peak and you’re a little late to the party. -> Enable Position Increase Signals - Enables more entry signals to fire up to a user defined number of times when a position is active. This is helpful for those who incrementally increase their positions, or for those who want to see additional signals as reference. -> Limit Number Of Consecutive Trades - Limits the number of consecutive trades that can be opened in a single direction to a user defined maximum. This is especially useful for markets that only trend for brief durations. By limiting the amount of trades you take in one direction, you have more control over your market exposure. There is a set of these options for both bullish and bearish entries. For exits, you have the following options built in: -> Include Exit Signals From High Fractal Zone - Enables exit signals generated from either crossover or disparity conditions between price and a specified zone level. -> Include Exit Signals From Error Bands - Enables exit signals generated from either crossover or disparity conditions between price and a specified zone level. -> Include Inactive Trend Output For Exits - Triggers exit signals when the filtered trend output is an inactive value. -> Dimension Target Exit Method - Triggers exit signals based on fractal dimension hitting a user defined threshold. You can either choose for the exit to trigger instantly, or after dimension reverts from the target by a user specified amount. -> Exit At Maximum Entry Dimension - Triggers exit signals when dimension exceeds the maximum entry limit. -> Number Of Signals Required For 100% Exit - Controls the number of exit signals required to close the position. You can also choose whether or not to include partial exits. Enabling them will fire a partial signal when an exit occurs, but the position is not 100% closed. Of course, there is a set of these options for bullish and bearish exits. In my opinion, no system is complete without some sort of risk management protocol in place. So in this script, bullish and bearish trades come equipped with optional protective SL and TP levels with signals. The levels can be fixed or trailing, and are calculated with a user defined scale. The available scales for SL and TP distances are ticks, pips, points, % of price, ATR, band range, zone range, or absolute numerical value. Now what if you have some awesome signals of your own that you’d like to use in conjunction with this script? Well good news. You can! In addition to all of the customizable features built into the script, you can integrate your own signals into the system using the external data inputs and linking your script. This adds a whole new layer of customization to the system. With external signals, you can use your own custom dominant trend indication, filter the dominant trend, and trigger exits and protective stops using custom signals. The signal input is an integer format. 1=Bull Signal, -1=Bear Signal, 2=Bull Exit, -2=Bear Exit, 3=Bull SL Hit, -3=Bear SL Hit, 4=Bull TP Hit, -4=Bear TP Hit. You can also use the external input as a custom source value for either dimension or global sources to further tailor the system to your liking. The color scheme in this script utilizes two custom gradients that can be chosen for bar and background colors: -> Trend (Dominant or Filtered) - A polarized gradient that shows green scaled values for bullish trend and red scaled values for bearish trend. The colors are brighter and more vibrant as perceived trend strength increases. -> Dimension - A thermal gradient that shows cooler colors when dimension is higher, and hotter colors when dimension is lower. Both color schemes are dependent on the designated dimension thresholds. The script comes equipped with alerts for entries, additional entries, exits, partial exits, and protective stops so you can automate more and stare at your charts less. And lastly, the script comes equipped with additional external outputs to further your analysis: -> Entry And Exit Signals - Outputs in the same format as the external signal input with these additions: 5=Bull Increase, -5=Bear Increase, 6=Bull Reduce, -6=Bear Reduce. You can use these to send to other scripts, including strategy types so you can backtest your performance on TV’s engine. -> Dominant Trend - Outputs 1 for bullish and -1 for bearish. Can be used to send trend signals to another script. I designed this tool with individuality in mind. Every trader has a different situation. We trade on different schedules, markets, perspectives, etc. Analytical systems of basically any type are very seldom (if ever) “one size fits all” and usually require a fair amount of modification to achieve desirable results. That’s why this system is so freely customizable. Your system should be flexible enough to be tailored to your analytical style, not the other way around. When a system is limited in what you can control, it limits your experience, analytical potential, and possibly even profitability. This is not your typical pre-set system. If you're looking for just another "buy, sell" script that requires minimal thought, look elsewhere. If you’re ready to dive into a powerful technical system that allows you to tailor the experience to your style, welcome! ----------------------------------------------------------------------------------------------------------------------------------------------------------------- This is a premium script, and access is granted on an invite-only basis. To gain access, get a copy of the system overview, or for additional inquiries, send me a direct message. I look forward to hearing from you! ----------------------------------------------------------------------------------------------------------------------------------------------------------------- General Disclaimer: Trading stocks, futures, Forex, options, ETFs, cryptocurrencies or any other financial instrument has large potential rewards, but also large potential risk. You must be aware of the risks and be willing to accept them in order to invest in stocks, futures, Forex, options, ETFs or cryptocurrencies. Don’t trade with money you can’t afford to lose. This is neither a solicitation nor an offer to Buy/Sell stocks, futures, Forex, options, ETFs, cryptocurrencies or any other financial instrument. No representation is being made that any account will or is likely to achieve profits or losses of any kind. The past performance of any trading system or methodology is not necessarily indicative of future results.
Pine Script™ indicator
by DonovanWall
182
TWAP TrendHere we are experimenting with using TWAP for trend analysis. It appears to work better than VWAP on lower timeframes. TWAP is a tool used by algorithm based traders that allows them to distribute their orders throughout the day without disturbing price or having their positions known to rival traders in the market. It's similar to VWAP and serves the same function, except it lacks the volume aspect. This can be an issue when position entry/exit may be affected by slippage. The main benefit of TWAP is deciding how to distribute orders throughout the chosen timeframe. However, just like the VWAP traders will normally use it as a moving average or target for price action to pull into. There is an option to change the timeframe that TWAP is calculated from. Originally by NeoButane:
Pine Script™ indicator
by jaggedsoft
18
VWAP & TWAPFor Hong Kong market only. Apply the indicators on 1 min chart. Check off futures/stock buttons which fit your needs. VWAP is a indicator which takes into account volume and price to calculate the average cost of overall market players. Price above VWAP, bull is in control, vice versa. TWAP, in addition, is included in this package and functions similarly as VWAP, yet without putting weight on volume. Green is for only one day (average cost of market positions of previous day) , pink and blue are for the whole week (average cost of market positions of last five weekdays). For any inquiry and collaboration, please drop me a private message. This is an protected script, exclusively for friends and anyone who are interested.
Pine Script™ indicator
by lonelygrass
2
Interval Volatility Bands [DW]This is an experimental study that utilizes Volume Weighted Average Price or Time Weighted Average Price calculations, Bollinger Bands, and Fibonacci numbers to estimate volatility over a specified interval. First, the basis is calculated by selecting: -VWAP, which has the option to be calculated using real volume or tick volume -TWAP, which has the option to be calculated using the standard method or exponential method Next, standard deviation from the basis is calculated and multiplied by a specified expansion coefficient. The result is then added to and subtracted from the basis to calculate the high and low bands. There are three band calculation methods to chosse from in this script: -Standard, which uses the default calculations -Average, which takes a cumulative average of standard deviation -Hybrid, which takes the maximum of the standard and average standard deviation methods Lastly, the high and low band ranges are multiplied by Fibonacci Percentages 23.6 - 78.6. A custom color scheme with eight default presets to choose from is included.
Pine Script™ indicator
by DonovanWall
8