- ago
Having issues with the VWAP indicator. Is VWAP defaulted to daily VWAP?

When running the following blocks, 0 trades happen. How would I return a value for a daily VWAP?




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- ago
#1
That's by design. The VWAP indicator's formula requires intraday data. Running it on Daily data should result in no signals.
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#2
Thanks Eugene. I'm trying to figure out the best way to backtest years of data without using intraday (obviously having VWAP as a parameter). Can you think of any other workarounds?
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#3
Sure. Volume Weighted Moving Average is available in the Advanced Smoothers extension:

https://www.wealth-lab.com/extension/detail/AdvancedSmoothers
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#4
Isn’t that in Advanced Smoothers?
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#5
You're right, I stand corrected. Was confused thinking that Volume Adjusted MA is something different.
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#6
Hi Guys,

I also find VWAP a very interesting indicator. I wanted to start a new thread for my question, but then I found this. So I am wondering, does the VWAP indicator in WL8 contain the 1, 2, and 3 standard deviation lines as well, like the YAHOO's version ? Can I set these ?

Thx.
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#7
Hi Jeno,

Our version of VWAP follows many other sources: http://www2.wealth-lab.com/WL5WIKI/VWAP.ashx I have no idea how Yahoo does it but in WL8 it's possible to apply standard deviation lines to an indicator like VWAP if you mean it.
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#8
Hi Eugene.

I was about to write a thread about the subject of post #6.

I understand that it's possible to do it through the code.

But can we do it using building blocks?

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#9
Hi,

It may be possible using a combo of MathIndOpInd and IndOnInd indicators. But let me double check that first.
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#10
No, it's not possible. Transformer indicators can't be stacked (a documented limitation), so coding it is the way to go.
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#11
Ok, understood. Thanks anyway.
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