An Anchored VWAP Channel For Congested Markets
Original article by Andrew Coles
AIQ Code by Richard Denning
Traders Studio Code by Richard Denning
AIQ Version:
The AIQ code for Andrew Coles’ indicator and the related functions from his July 2010 article, “An Anchored VWAP Channel for Congested Markets”, is shown below.
In Figure 1, I show the indicator on a chart of the S&P 500 SPDR (SPY). The plot before the start date is a simple percent band using the median price and the percent offset. In my example, I input the start date of 11/09/2009 because this was the start of a consolidation zone on the SPY. The VWAP bands will plot from the start date to the end of the chart.
Captions:
Figure 1: Anchored VWAP indicator on a chart of S&P 500 SPDR (SPY) using the following inputs: start date = 11/09/2009, pctBand = 2.
AIQ EDS Code for Anchored VWAP Channel For Congested Markets:
Anchor_VWAP.EDS
(RIGHT CLICK AND CHOOSE "SAVE AS." DO NOT LEFT CLICK OR YOUR BROWSER WILL TRY TO OPEN THE FILE.)
Traders Studio Version:
The TradersStudio code for Andrew Coles’ indicator and the related functions from his July 2010 article, “An Anchored VWAP Channel for Congested Markets”, is shown below.
In Figure 1, I show the indicator on a chart of the full size S&P 500 futures contract (SP). The inputs include an end date that can be set to a date in the future if the end date is not desired. The plot before the start date and after the end date is a simple percent band using the median price and the percent offset. In my example, I input the start date of 11/09/2009 because this was the start of a consolidation zone on the SP contract. I did not use the end date so the anchored VWAP bands continue to the end of the chart.
Captions:
Figure 1: Anchored VWAP indicator on a chart of the full size S&P 500 futures contract using the following inputs start_date =11/09/2009, end_date = 12/31/2010, pctBand = 1.8 (1091109, 1101231, 1.8). Note date input format uses Tradestation style dates.
Traders Studio Code for Fractal Dimension Indicator:
AnchorVWAP_July2010.zip
(RIGHT CLICK AND CHOOSE "SAVE AS.")
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