Volume Weighted Average Price ATR Bands – VWAPAB
Works in SQX 137 and higher.
Volume Weighted Average Price (VWAP) ATR Bands is a technical analysis indicator that combines the concepts of Volume Weighted Average Price (VWAP) and Average True Range (ATR) to create dynamic support and resistance levels, or “bands”, around the VWAP line. This indicator helps traders to gauge the volatility and price action around the VWAP, providing additional insights for potential trade setups.
Here’s a brief explanation of the two components:
- Volume Weighted Average Price (VWAP): VWAP is a trading benchmark used by traders that gives the average price a security has traded at throughout the day, based on both volume and price. It is important because it provides traders with insight into both the trend and value of a security. VWAP is calculated by adding up the dollars traded for every transaction (price multiplied by the number of shares traded) and then dividing by the total shares traded for the day.
- Average True Range (ATR): ATR is a volatility indicator developed by J. Welles Wilder Jr. that measures the degree of price movement or volatility within a specific period. ATR is calculated by taking an average of the true ranges, which are the greatest of the following: the current high minus the current low, the absolute value of the current high minus the previous close, or the absolute value of the current low minus the previous close.
To create VWAP ATR Bands, you would first calculate the VWAP line and then add or subtract a multiple of the ATR from the VWAP. This multiple is typically a user-defined parameter that can be adjusted according to the desired sensitivity of the bands. The result is an upper and lower band that represents a range around the VWAP, which can be used to identify potential support and resistance levels or to gauge the strength of price moves relative to the VWAP.
VWAP ATR Bands can be used in various ways, such as identifying potential entry and exit points, setting stop-loss and take-profit levels, and evaluating the strength of trends. Keep in mind, though, that like any technical indicator, VWAP ATR Bands should be used in conjunction with other tools and analysis techniques to improve trading decisions.
The indicator has these parameters
- VWAP Period – Lookback Period of VWAP
- Multiplication – Multiplication of the ATR from the VWAP
Indicator is implemented for: MT4/MT5/Tradestation/ Multicharts
You can easily do your conditions in Custom blocks. More information you can find here:
In this module, you can also modify the custom blocks – change the periods, change the steps, etc.
How to import custom indicators to SQX: