VWAP Study for eSignal

A number of people have asked for my VWAP EFS script for eSignal, so rather than keep emailing it out - here it is for download.

Disclaimer: No warranty is supplied or implied. This software is made available for use entirely at your own risk. By downloading this EFS study you agree that you use it entirely at your own risk, and that you are responsible for any losses financial or otherwise that may result through it's use or misuse.

Click Here To Download - If your browser does not ask you if you want to save the file, right click the link and choose the "Save Target As" option.

Notes On Using The VWAP Study


To calculate VWAP 100% accurately you really need to know about every single trade since the market opened; doing that with EFS is a) almost impossible and b) so time consuming that it renders the chart unusable. Therefore this study calculates the average price of each bar, and so is more accurate the smaller the bar size i.e. 1 min bars will give a more accurate VWAP figure than 5 min bars and so on. However, if you look at the difference in values calculated on 5 min vs 1 min bars after the first half hour or so, you will see it's usually less than 2 cents if that (on a typical Nasdaq stock), and so in reality the figure this study produces is usable on most charts.

Two versions of "MPD" (Maximum Permissable Deviation) bands are shown. The red lines are calculated using previous days hi/lo, and purple lines using today's hi/lo. Whilst the purple lines are usually more effective, the obvious limitation is that as the price is hitting them, it is probably in the process of setting the hi/lo for the day and so the price hitting the line is effectively the result of the price being where it is anyway! When I used this study myself I tended to find that the red lines were more effective in the early session, with around 90% of the charts I was watching bouncing off them, although often only by a small amount. The purple lines are much more effective in the second half of the day when the range is well established.

The VWAP and it's bands are shown as horizontal lines - in other words their values at the current time - you can't look back and see what the values were 20 mins ago for example. If you leave the study on the same chart over time, they will trace their history, but as soon as you change symbol this will be lost. This is again a limitation of doing this in EFS - to have it recalculate the entire chart throughout the day in order to draw history on the chart renders the chart so slow as to be unusable.

The values of VWAP and its MPD bands are also displayed in the cursor window, but again only the values for the current bar (and previous bars for as long as the chart has been open).







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