Current Month TWAP

The Current Month TWAP is the time-weighted average price (TWAP) of a security for the current trading month. The TWAP is an early algorithm that was used by high volume traders to exute large orders over a specified time period. Today it is only used as a benchmark when volume data is not available.

Monthly TWAP indicator for NinjaTrader 8

Indicator Description

The Monthly TWAP indicator (Time Weighted Average Price) is an average price that reflects how the asset’s market price has changed over time. The simplest version of this price study is based on “time slicing”. On a time-based chart, such as a minute chart the TWAP is calculated as the arithmetic mean of all data points. On tick-based charts all data points are weighted by the bar duration.

Trading algorithms that try to match the TWAP are typically based on a uniform time-based schedule. The Volume Weighted Average Price (VWAP) calculation is today considered to have replaced the TWAP approach. Accordingly, the Monthly TWAP should only be used with uniform volume, or when no volume data is available. You may compare the monthly TWAP output by adding it to a Monthly VWAP chart. On our blogs we also have posts discussing VWAPs in higher timeframes as well as different approaches to trading the VWAP.

The indicator can be set to calculate for the entire trading month. Alternatively,  it can be set to calculate for custom hours such as the regular session. When a custom session is selected the TWAP calculation will pause outside the selected custom hours. In case that there is a technical break inside the selected session, please select “Technical break in session” and enter start and end time for the technical break. The TWAP further comes with time-weighted standard deviation bands. As the TWAP does not use volume information, it should be set to “Calculate” = “On price change”.

The indicator will calculate an accurate monthly TWAP and bands when applied to high resolution charts. When used with higher timeframe charts, the plots may be one or a few ticks off the correct value.

Other Library Indicators

Our Indicator Library also features the Daily TWAP, Weekly TWAP, N-Monthly TWAP, Daily Median, Daily VWAP, Weekly VWAP, Monthly VWAP, N-Monthly VWAP, in addition to our Premium VWAPs.

The Monthly TWAP indicator is available for NinjaTrader 8.

Current Month TWAP

Disclaimer

Futures, stocks, and spot currency trading contains substantial risk and is not for every investor. An investor could potentially lose all or more than the initial investment. Risk capital is money that can be lost without jeopardizing ones financial security or lifestyle. Only risk capital should be used for trading and only those with sufficient risk capital should consider trading. Past performance is not necessarily indicative of future results.

CFTC RULE 4.41 – HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT BEEN EXECUTED, THE RESULTS MAY HAVE UNDER-OR-OVER COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFIT OR LOSSES SIMILAR TO THOSE SHOWN.

 

This website is intended for educational and informational purposes only and should not be viewed as a solicitation or recommendation of any product, service or trading strategy. No offer or solicitation to buy or sell securities, securities derivative or futures products of any kind, or any type of trading or investment advice, recommendation or strategy, is made, given, or in any manner endorsed by LizardIndicators and the information made available on this website is not an offer or solicitation of any kind.

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