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Date/Time: Mon, 29 Apr 2024 21:12:16 +0000

Post From: VWAP- Rolling & Volume by price

[2016-04-21 03:21:46] Link To Thread - Link To Post [Go To First Post]
Neo - Posts: 198
The rolling VWAP study has the input to "exclude weekends in date look back", however, it's not coded to factor in Holidays, eg Good Friday, March 25, so weekends with an extra day will falsify the study. See pic attached using a 2day VWAP in Red, and the pink line showing what a 2day VWAP should have looked like from the 24th. This is problematic to hard code since the dates can change each year, and global markets have different holidays etc. However, is possible to add multiple manual inputs to the study so users have the ability to select which additional days they want to exclude from the calculation? Also, could the input to "exclude weekends in date look back" be added to the Volume by price/ Volume value area lines study. Thanks


2day VWAP.png / V - Attached On 2016-04-21 03:13:43 UTC - Size: 95.54 KB - 1321 views