N-Monthly TWAP

The N-Monthly TWAP is the time-weighted average price (TWAP) of a security for the last N months. 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.

The N-Monthly Time Weighted Average Price (TWAP)

Indicator Description

This indicator is used to calculate a Bi-monthly TWAP, Quarterly TWAP, Semi Annual TWAP or a Yearly TWAP. The N-Monthly Time Weighted Average Price reflects how the asset’s market price has developed over the N month period:

  • 2 Month N Period: Bi-monthly TWAP
  • 3 Month N Period: The Quarterly TWAP
  • 6 Month N Period: The Semiannual TWAP
  • 12 Month N Period: The Yearly TWAP

The N-Monthly TWAP (Time Weighted Average Price) is an average price that reflects how the asset’s market price has changed over time. The simplest version of a N-monthly TWAP 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 Current N-Month TWAP should only be used with uniform volume, or when no volume data is available. You may compare the N-Monthly TWAP output by adding it to a N-Monthly VWAP chart. On our blogs we also have posts discussing VWAPs in higher timeframes as well as different approaches to trading the VWAP.

Using the N-Monthly TWAP

The N-Monthly TWAP can be set to calculate for the entire period of N months. 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. If there is a technical break during the session, please select “Technical break in session” and specify the start and end time. 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 N-monthly TWAP with accurate 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, Monthly TWAP, Daily Median, Daily VWAP, Weekly VWAP, Monthly VWAP, N-Monthly VWAP, in addition to our Premium VWAPs.

Other indicators available from the Session Tools category include the Hourly Pivot levels, Daily Pivot Levels, Weekly Pivot levels, Monthly Pivot levels and N-Monthly Pivots. The category also features the Daily Camarilla Pivots, Weekly Camarilla Pivots, Monthly Camarilla Pivots and the N-Monthly Camarilla Pivots. Finally, it offers the Daily Rolling PivotsWeekly Rolling Pivots and Monthly Rolling Pivots.

The N-Monthly TWAP, used to calculate a Bi-monthly TWAP, Quarterly TWAP, Semi Annual TWAP or a Yearly TWAP, is available for NinjaTrader 8.

N-Monthly TWAP