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Vwap MT5

reference:

"High Frequency Trading, A Pratical Guide to Algorithmic Strategies and Trading Systems (Aldridge, Irene)"


Characteristics
  • The calculation of VWAP is in accordance with the literature.
  • 4 types of VWAPs, daily, monthly, yearly, moving. Note: Daily is the most popular form, the calculation is performed from the beginning to the end of each trading session (Market benchmark). In the moving, the calculation is carried out from n periods past to the current period, as with the famous moving averages, however weighted by volume.
  • Possibility to choose between 2 types of volume calculation, real volume or tick volume.
  • A label is displayed with the VWAP price calculation, which is allowed to change the size and style the border.
  • Possibility to change the width and stylize the VWAP's historic line.

Input Parameters tab
  • VWAP Type - VWAP type, daily, monthly, yearly or moving.
  • Period - Period to be considered in the moving VWAP calculation.
  • Volume Type - Type of volume. By real volume or tick volume.
  • Color - Line color.
  • Width - Line width.
  • Style - Line style.
  • Border Width - Size of the digits and the label's border.
  • Border Style - Label border style.
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Sant Clear Ali Costa
4 (1)
Features Value area lines (POC, VAH and VAL) of the present and the past separately customizable, making it easier for the trader to read on the most important levels. Value areas and volume profile work in any time period and in any market such as: stocks, futures, forex. commodities, etc. Customizable volume profiles color in single color or gradient. The gradient offers the view of how the volume behaved over time. Customizable performance setup. Allowed to set the number of sessions in whic
EMarket AI
Sant Clear Ali Costa
The wait is over, the AI for Traders has arrived! The Elite Market AI is an Expert Advisor powered by one of the most advanced generative AI models available today. As a utility class tool, it does not execute trades automatically. However, it processes the price and indicator data displayed on the screen, providing traders with valuable insights into the current market situation. This analysis can be crucial for making informed buy or sell decisions, assisting in trading strategy, and enhanc
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Version 1.6 2020.03.01
Melhorias no algoritmo.
Version 1.5 2020.02.29
New VWAP type parameters: Monthly and yearly.
Version 1.4 2020.02.29
New VWAP Type parameter. Allows you to change the type of VWAP to mobile or daily.
Version 1.3 2020.02.28
Optimizations in the code.
Version 1.2 2020.02.28
Fixed, the label was not displayed when adding more than 1 VWAP.
Version 1.1 2020.02.27
Added new data entry, to allow selection of the volume type.