Current Week VWAP

The weekly VWAP is the volume-weighted average price (VWAP) of a security for the current trading month and is frequently tracked by institutional investors. Apart from the Library version of the weekly VWAP described below, we also offer a Professional VWAP Suite. To compare to the Library vs. Premium versions, please refer to this link.

The Weekly Time Weighted Average Price (TWAP)

Indicator Description

The weekly VWAP is the volume-weighted average price (VWAP) and reflects how market prices have developed during the current week. In particular, the indicator tracks the trading volume for the week, placing more weight on large trades and less for smaller ones. Many institutional traders will therefore pay close attention to the Current Week VWAP.  They will try to buy/sell as close as possible to this benchmark and execution is measured as good vs. bad by how far removed it was from the Current Week VWAP. For more information on how you may use the Weekly VWAP indicator, check out our Indicator Spotlight Post here (with video).

Custom Weekly VWAP Calculations

The Current Week VWAP can be set to calculate using the full session or be based on custom hours, such as the regular session. If a custom / regular session is used, the weekly VWAP will pause outside the specified time window. The indicator also comes with volume-weighted standard deviation bands. Although the VWAP uses volume information, we recommend setting it to “Calculate” = “On price change” as there is no added benefit to recalculate with each incoming tick.

The indicator will calculate a weekly VWAP and accurate bands when applied to high resolution charts. However, when used with higher timeframe charts, the plots may be few ticks off the correct value.

On our blog we have posted additional information on trading with VWAPs. The Indicator Library additionally has a Current Day Median, Current Day VWAP, Current Month VWAP, Current N-Monthly VWAP, Current Day TWAP, Current Week TWAP, Current Month TWAP and the Current N-Month TWAP.

The weekly VWAP is available for NinjaTrader 8.

Current Week VWAP

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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