DAS 2-Day VWAP Display?

[Richie N 4]

Hey BBT,

Is it possible to display a 2-day VWAP in DAS?

Thanks!

 

[Abiel 474]

Hi Richie. What do you mean by display a 2-day VWAP? The volume weighted average price (VWAP) gives us the average price for a security, based on both volume and price during the current day. 

[Richie N 4]

Hi Abiel,

Thanks for the reply.  In a video from SMB Capital, Mike suggests adding a 2-day VWAP to your toolbox.  I assume this is to offer a broader perspective than that offered by the intraday data VWAP. 

Here's the link if you're interested: 

 

 

[Abiel 474]

Could you send the link @ the time he talks about 2 day VWAP? 

[Richie N 4]

 

[Richie N 4]

Cover screen looks the same, but this last link will take you to 15:48.

[Justin 262]

3 hours ago, Richie said:

Is it possible to display a 2-day VWAP in DAS?

I'm only just discovering how this works now, but there is an anchor function for VWAP that represents bars. It defaults to zero which apparently represents "all", which actually means the day.

If you right click the chart > Study Config > Select VWAP > Config

On a minute chart there are 390 candles in a day.... So if you unchecked "Calculate VWAP For Pre/Post market Hours" and changed the Anchor Period to 720.... That might work?

If you wanted to calculate with Pre/Post:
4hrs post...
4.5hrs pre...
So 510 more bars; which would be 1230 (510+720) for the Anchor Period.

Or would you want to add two Pre/Post periods? Which would be 1020 for Pre/Post, which would be 1740 (1020+720) for the Anchor Period.

Not 100% here... What do you think @Abiel?

 

[Abiel 474]

Yes with ACHOR PERIOD you tell DAS how many bars to calculate VWAP, for example, period = 10, means using the latest 10 bars. 

However, I am not familiar using 2-Days VWAP to trade or other than intraday VWAP. 

[Richie N 4]

Thanks for the info guys.

[Matthew_BBT 0]

2-day VWAP is anchored from prior day open (or pre-market open). It's not a true 2-day VWAP until the end of the day, but thought is it's something institutions may watch and use to liquidate or accumulate any of their leftover orders from the prior day that were unfinished.