出来高加重平均価格ボリンジャーバンド – VWAPBB

SQX 137以降で動作します。.

Volume Weighted Average Price (VWAP) Bollinger Bands is a technical analysis indicator that combines the concepts of Volume Weighted Average Price (VWAP) and Bollinger Bands 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.

2つのコンポーネントについての簡単な説明は以下の通りです：

1. 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.
2. Bollinger Bands: Bollinger Bands is a volatility indicator developed by John Bollinger that consists of three lines: a simple moving average (middle band) and two standard deviations above (upper band) and below (lower band) the moving average. The bands widen or narrow based on the volatility of the security’s price, with higher volatility leading to wider bands and lower volatility leading to narrower bands.

To create VWAP Bollinger Bands, you would first calculate the VWAP line and then apply the Bollinger Bands methodology using the VWAP as the middle line (instead of the simple moving average). This means calculating the standard deviation of the price based on a specific period and then adding or subtracting a multiple of the standard deviation (typically two) from the VWAP to form the upper and lower bands.

VWAP Bollinger 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. They can also be used to determine whether the price is relatively high or low compared to the VWAP. Keep in mind, though, that like any technical indicator, VWAP Bollinger Bands should be used in conjunction with other tools and analysis techniques to improve trading decisions.

このインジケーターには以下のパラメータがあります

• VWAP Period –  Lookback Period of VWAP

インジケーターの対応プラットフォーム：MT4 / MT5 / TradeStation / MultiCharts

カスタムブロックを使えば、条件分岐を簡単に行うことができます。詳細はこちらをご覧ください：

• https://strategyquant.com/doc/strategyquant/custom-blocks/
• https://strategyquant.com/doc-category/strategy-templates-custom-blocks/
• https://www.youtube.com/watch?v=CGkn5kh_etc

このモジュールでは、カスタムブロックを変更することもできます。ピリオドの変更、ステップの変更などを行います。.

SQXにカスタムインジケーターをインポートする方法：

• https://strategyquant.com/doc/programming-for-sq/import-export-custom-indicators-and-other-snippets/