Dear murthyavr,
I have some query regarding calculation of VWAP.
1. If we are calculating VWAP after day end for next day, whether VWAP remains same for the next day, thorought the day or will it change within a day? If it keeps on changing what is the logic of calculating it on running basis?
2. In above calculation H,L&C are of prev day & then multiplied by volume of the whole day to get VP. Right?
3. I have not understood "And cumulative VP divided by cumulative Volume is the VWAP." can you pl explain with e.g.
4. Since you are calculating VWAP for next day on the basis of prev day data, how you are linking it with 1 min chart?
5. If i want to caculate VWAP on 5 min chart in metastock what should be the formulas so that i can have a VWAP line on my chart itself?
Kindly explain,
Regards
1. I am only aware of VWAP calculated for the intraday data. I don't know
if it can be equally and effectively escalated to a daily TF. What I have narrated
was the treatment for the intra-day data, and as such the value of VWAP
keeps changing every minute.
2. H,L,C refer to the values of completed 1-minute candle.
3. VP is calculated for each 1-minute bar. For example, by 10:15, you have
60 such values (VPs) on hand, besides 60 items of volume data. Divide the total
VP with total volume, to get the VWAP by 10:15
4. Please refer to (2) above.
5. I am not aware of the MetaStock environment. If you know the programming,
you can perhaps create a program with the kind of calculation suggested by me.
But then, you need to be knowing about arrays to do this job.
Q.If it keeps on changing what is the logic of calculating it on running basis?
The idea is to find out how far away the current price is from the VWAP. From
ST's experience, deviation of about 35 - 40 points is to be watched out.