OPEN-SOURCE SCRIPT
Smooths VWAP Suite
Title: Smooth's VWAP Suite: Advanced Futures Context & Filtered Signals
Description:
Overview & Purpose
Smooth's VWAP Suite is a comprehensive volume-weighted average price toolkit engineered specifically for futures traders (e.g., NQ, ES).
The primary justification for combining these specific elements—Daily VWAP, Standard Deviation Bands, Session AVWAPs (Overnight, RTH, Weekly), and dynamic signals—into a single script is to solve the problem of "context fragmentation." Futures markets respect multiple volume anchors simultaneously. Rather than cluttering a chart with five individual, unlinked indicators, this suite unites micro (intraday) and macro (weekly) volume levels into one cohesive map. Furthermore, it introduces a custom "Current Day Only" filter mathematically anchored to the 18:00 EST futures open, fixing the common issue where standard indicators rely on the midnight calendar-day rollover.
How It Works: Underlying Concepts & Logic
This script calculates the Volume-Weighted Average Price by maintaining a cumulative running total of Price × Volume, divided by Total Volume.
Session AVWAPs & Previous Day: The script calculates distinct VWAPs based on specific time anchors. It automatically tracks the Weekly open, the Regular Trading Hours (RTH) open, and the Overnight (OVN) session. It also statically plots the Previous Day's closing VWAP value, acting as a critical pivot for the current session.
Standard Deviation Variance: The bands surrounding the Daily VWAP are calculated using the mathematical square root of volume-weighted variance. This provides dynamic, mathematically sound support and resistance zones based on current market volatility, plotted at user-defined multipliers (defaulting to 1.0, 2.0, and 3.0 SD).
Signal Engine & EMA Filter: The built-in signals are not basic crossovers. To prevent false signals in chopping ranging markets, the script requires an EMA (Exponential Moving Average) directional filter to confirm the trend.
Reversal/Cross Signals: Trigger when price straddles the VWAP, closes on the opposite side, is aligned with the EMA slope, and is positioned correctly relative to the Weekly VWAP.
Continuation Signals: Trigger when price pushes into a Standard Deviation band (e.g., SD 1 or SD 2) and actively rejects it, closing back toward the trend direction while maintaining the EMA slope.
How Traders Can Use It
This suite is designed for trend identification, mean-reversion targeting, and precise entry confirmation.
Macro Context Alignment: Use the Weekly and Previous Day VWAP lines to determine the broader bias. If the current Daily VWAP is trading above both, the macro trend is bullish.
Mean Reversion: When price extends into the SD 2 or SD 3 bands, the asset is statistically overextended based on current volume. Traders can look for price action weakness at these extremes to target a reversion back to the Daily VWAP (the mean).
Signal Execution: Utilize the script's visual markers (Arrows/Triangles) for entry confirmations. A bullish signal firing after a bounce off the lower SD 1 band, while the Daily VWAP remains above the Weekly VWAP, offers a high-probability continuation setup.
Chart Decluttering: For active day traders, toggle the "Current Day Only" setting. This utilizes custom logic to sever all historical visual data prior to the exact 18:00 EST futures anchor, keeping your screen entirely focused on the current session's price action.
Customization
Every element is modular. Traders can toggle specific bands, adjust standard deviation multipliers, change the EMA filter length for signals, and customize the visual offsets of the price labels to fit their specific screen layout.
Description:
Overview & Purpose
Smooth's VWAP Suite is a comprehensive volume-weighted average price toolkit engineered specifically for futures traders (e.g., NQ, ES).
The primary justification for combining these specific elements—Daily VWAP, Standard Deviation Bands, Session AVWAPs (Overnight, RTH, Weekly), and dynamic signals—into a single script is to solve the problem of "context fragmentation." Futures markets respect multiple volume anchors simultaneously. Rather than cluttering a chart with five individual, unlinked indicators, this suite unites micro (intraday) and macro (weekly) volume levels into one cohesive map. Furthermore, it introduces a custom "Current Day Only" filter mathematically anchored to the 18:00 EST futures open, fixing the common issue where standard indicators rely on the midnight calendar-day rollover.
How It Works: Underlying Concepts & Logic
This script calculates the Volume-Weighted Average Price by maintaining a cumulative running total of Price × Volume, divided by Total Volume.
Session AVWAPs & Previous Day: The script calculates distinct VWAPs based on specific time anchors. It automatically tracks the Weekly open, the Regular Trading Hours (RTH) open, and the Overnight (OVN) session. It also statically plots the Previous Day's closing VWAP value, acting as a critical pivot for the current session.
Standard Deviation Variance: The bands surrounding the Daily VWAP are calculated using the mathematical square root of volume-weighted variance. This provides dynamic, mathematically sound support and resistance zones based on current market volatility, plotted at user-defined multipliers (defaulting to 1.0, 2.0, and 3.0 SD).
Signal Engine & EMA Filter: The built-in signals are not basic crossovers. To prevent false signals in chopping ranging markets, the script requires an EMA (Exponential Moving Average) directional filter to confirm the trend.
Reversal/Cross Signals: Trigger when price straddles the VWAP, closes on the opposite side, is aligned with the EMA slope, and is positioned correctly relative to the Weekly VWAP.
Continuation Signals: Trigger when price pushes into a Standard Deviation band (e.g., SD 1 or SD 2) and actively rejects it, closing back toward the trend direction while maintaining the EMA slope.
How Traders Can Use It
This suite is designed for trend identification, mean-reversion targeting, and precise entry confirmation.
Macro Context Alignment: Use the Weekly and Previous Day VWAP lines to determine the broader bias. If the current Daily VWAP is trading above both, the macro trend is bullish.
Mean Reversion: When price extends into the SD 2 or SD 3 bands, the asset is statistically overextended based on current volume. Traders can look for price action weakness at these extremes to target a reversion back to the Daily VWAP (the mean).
Signal Execution: Utilize the script's visual markers (Arrows/Triangles) for entry confirmations. A bullish signal firing after a bounce off the lower SD 1 band, while the Daily VWAP remains above the Weekly VWAP, offers a high-probability continuation setup.
Chart Decluttering: For active day traders, toggle the "Current Day Only" setting. This utilizes custom logic to sever all historical visual data prior to the exact 18:00 EST futures anchor, keeping your screen entirely focused on the current session's price action.
Customization
Every element is modular. Traders can toggle specific bands, adjust standard deviation multipliers, change the EMA filter length for signals, and customize the visual offsets of the price labels to fit their specific screen layout.
오픈 소스 스크립트
트레이딩뷰의 진정한 정신에 따라, 이 스크립트의 작성자는 이를 오픈소스로 공개하여 트레이더들이 기능을 검토하고 검증할 수 있도록 했습니다. 작성자에게 찬사를 보냅니다! 이 코드는 무료로 사용할 수 있지만, 코드를 재게시하는 경우 하우스 룰이 적용된다는 점을 기억하세요.
면책사항
해당 정보와 게시물은 금융, 투자, 트레이딩 또는 기타 유형의 조언이나 권장 사항으로 간주되지 않으며, 트레이딩뷰에서 제공하거나 보증하는 것이 아닙니다. 자세한 내용은 이용 약관을 참조하세요.
오픈 소스 스크립트
트레이딩뷰의 진정한 정신에 따라, 이 스크립트의 작성자는 이를 오픈소스로 공개하여 트레이더들이 기능을 검토하고 검증할 수 있도록 했습니다. 작성자에게 찬사를 보냅니다! 이 코드는 무료로 사용할 수 있지만, 코드를 재게시하는 경우 하우스 룰이 적용된다는 점을 기억하세요.
면책사항
해당 정보와 게시물은 금융, 투자, 트레이딩 또는 기타 유형의 조언이나 권장 사항으로 간주되지 않으며, 트레이딩뷰에서 제공하거나 보증하는 것이 아닙니다. 자세한 내용은 이용 약관을 참조하세요.