Anchored VWAP function - AVWAP()

Author: Optuma Team Last updated: Jun 3, 2020 21:23

Use the AVWAP() function to create a scan for price crossing above or below an anchored VWAP line. The VWAP anchor can be based off a rolling period, eg last month or change the Look Back Type to Fixed and select a specific date from the calendar.

Blog post: Scripting and Anchored VWAPs

Here’s crossing below the AVWAP over the last month:

CLOSE() CrossesBelow AVWAP(BACKTYPE=Month)

To set the anchoring to a specific date:

CLOSE() Crosses AVWAP(BACKTYPE=Fixed, DATE=2020-03-01)

Anchored VWAP Properties

To automatically draw the AVWAP from the year’s high in a Show Plot tool:

//Define starting date as first trading day of the year;
Start = (BARDATE() == STRDATE(DATE=2020-01-02));

//Find where date matches the Highest High since Dec 31st;
Sig = HIGH() == HIGHESTSINCE(Start);

//Remove Non Zero results to show date of high as latest value;
$DATE = BarDate(NonZero(Sig));

//Calculate VWAP from High Date;