The N-Monthly VWAP is the volume-weighted average price (VWAP) of a security for the selected N-Month trading period, such as a Quarterly VWAP.
Indicator Description
Apart from the open source version of the N-Monthly VWAP, used to create a quarterly VWAP or a yearly VWAP, we also offer a Professional VWAP Suite. To compare to the Library vs. Premium versions, please refer to this link.
The N-Monthly VWAP will give you a good idea of market conditions throughout the selected period. Furthermore, it is the most frequently used institutional price benchmark for:
- 2 Month N Period: Bi-monthly VWAP
- 3 Month N Period: Quarterly VWAP
- 6 Month N Period: Semi-Annual VWAP
- 12 Month N Period: 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). Specifically, execution is measured as “good” or “bad” by how far removed it was from the average price. Accordingly, 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.
Custom N-Monthly VWAP Calculations
The N-Monthly VWAP can be set to calculate for the entire period of N months, alternatively for custom hours. 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, especially for higher timeframe calculations, such as the Bi-monthly VWAP, Quarterly VWAP, Semi-Annual VWAP and the Yearly VWAP.
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 Pivots, Weekly 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.
