I'm curious to know how Simpler Trading came up with their VWAP Max Tool Package indicator for ThinkorSwim. How does TOS calculate the VWAP line? It looks like they are starting each day from the open rather than summing from the beginning of the chart's period. Is this a correct interpretation? I am interested in VWAP on the daily chart. I find the Anchored VWAP is lining up with hand calculations but deviating big time from the TOS VWAP.
FYI: The VWAP Max Tool from Simpler Trading or Raghee Horner is the same as one of the Anchored VWAP indicator that Ben posted in this thread.
Additionally, you can even use the script below.
FYI: The VWAP Max Tool from Simpler Trading or Raghee Horner is the same as one of the Anchored VWAP indicator that Ben posted in this thread.
Additionally, you can even use the script below.
Code:
# n Bars VWAP
# Nube 6.24.19
#
input length = 20;
input price = vwap;
def p = if IsNaN(price) then p[1] else price;
def v = if IsNaN(volume) then v[1] else volume;
plot VWAP = if IsNaN(price) then Double.NaN else
Sum(p * v, length) / Sum(v, length);
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