N-Monthly VWAP

The Monthly VWAP can be used to create a Yearly VWAP

The N-Monthly VWAP is the volume-weighted average price (VWAP) of a security for the selected N-Month trading period. The VWAP calculation gives a fair reflection of the market conditions throughout the trading month and is probably the most commonly used institutional price benchmark. The Library VWAP version can be compared to the Premium VWAP version here.

Indicator Description

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

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

The N-Monthly VWAP calculation reflects such that large trades will have more impact / weight on the price benchmark than small ones.

In fact, many institutional traders have their trade execution measured by volume weighted average price (VWAP). Because their execution is measured as “good” or “bad” by how far removed they were from the average price, they will try to buy / sell as close as possible to the VWAP. Accordingly, there are two ways of using the VWAP, namely as trend filter or as support and resistance indicator.

The N-Monthly VWAP can be set to calculate for the entire period of N months or it can be set to calculate for custom hours such as the regular session. When a custom session is selected the VWAP calculation will pause outside the selected custom hours. The VWAP further comes with volume-weighted standard deviation bands. Although the VWAP uses volume information, it is best set to “Calculate” = “On price change”. It is not necessary to recalculate it with each incoming tick.

The indicator will calculate an accurate VWAP and 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

On our blog we have posted additional information on higher timeframe VWAPs and VWAP trading setups. Our Indicator Library also features the Current Day Median, Current Day VWAP, Current Week VWAP, Current Month VWAP, Current Day TWAP, Current Week TWAP, Current Month TWAP, Current N-Month TWAP, in addition to our Premium VWAP Package.

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 VWAP, used to calculate a Bi-monthly VWAP, Quarterly VWAP, Semi Annual VWAP or a Yearly VWAP, is available for NinjaTrader 8.