Rolling VWAP with Signals

Update: new defaults

RVWAP timeframe: the chart timeframe.
RVWAP period: 1 hour.
Standard deviation multiplier: 1.0.
Smoothing: on by default, with type SWMA. SWMA always uses 4 samples, so the length input is disabled while it is selected.
Directional volume lookback: 34 bars.

Note

The window never holds fewer than 10 bars. With the 1-hour default, the window is effectively 10 bars on chart timeframes of 15 minutes and above, because the hour spans fewer than 10 bars there.

4 天前

發行說明

Update notes

Band multiplier is now a Fibonacci ratio dropdown: the free-form Standard Deviation Multiplier is replaced by a list of 19 ratios, from 0.236 to 4.236 (0.236, 0.382, 0.5, 0.618, 0.707, 0.786, 0.886, 1.0, 1.13, 1.272, 1.414, 1.618, 2.0, 2.272, 2.414, 2.618, 3.141, 3.618, 4.236). Each entry shows a short note on how traders read that level, so you can pick a band width with a reason. Tighter ratios signal earlier and more often; wider ratios signal later, with fewer and stronger breakouts. The default is 1.13, the closest ratio to the previous 1.1.
New "Require Narrow Band" signal filter: a signal now needs the band to have been narrow before the breakout. The previous bar's band width, as a fraction of price, must be at most "Max × avg width" times its rolling 24-hour average. The default is 0.8, and lower values demand a tighter squeeze. Untick it to get the previous behaviour back. The filter looks at the bar before the breakout, because the breakout itself widens the band.

Things to know

The narrow-band filter is on by default, so you will see fewer signals than before.
The multiplier range is now 0.236 to 4.236. Values below 0.236 and above 4.236 are no longer available.
Ratios above 2 put the bands very far from the VWAP, so signals will be rare. They suit volatile symbols or long RVWAP windows.
On higher timeframes the 24-hour window holds few bars, so the narrow filter may give no signals until enough bars exist. Untick it if that happens.
The ratio notes describe common trading conventions, not guarantees.

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