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July 2010 Stocks and Commodities Traders Tips


An Anchored VWAP Channel For Congested Markets

Original article by Andrew Coles
AIQ Code by Richard Denning
Traders Studio Code by Richard Denning

AIQ Version:

The AIQ code for Andrew Coles’ indicator and the related functions from his July 2010 article, “An Anchored VWAP Channel for Congested Markets”, is shown below.

In Figure 1, I show the indicator on a chart of the S&P 500 SPDR (SPY). The plot before the start date is a simple percent band using the median price and the percent offset. In my example, I input the start date of 11/09/2009 because this was the start of a consolidation zone on the SPY. The VWAP bands will plot from the start date to the end of the chart.

Captions:

Figure 1: Anchored VWAP indicator on a chart of S&P 500 SPDR (SPY) using the following inputs: start date = 11/09/2009, pctBand = 2.

AIQ EDS Code for Anchored VWAP Channel For Congested Markets:
Anchor_VWAP.EDS
(RIGHT CLICK AND CHOOSE "SAVE AS." DO NOT LEFT CLICK OR YOUR BROWSER WILL TRY TO OPEN THE FILE.)


Traders Studio Version:

The TradersStudio code for Andrew Coles’ indicator and the related functions from his July 2010 article, “An Anchored VWAP Channel for Congested Markets”, is shown below.

In Figure 1, I show the indicator on a chart of the full size S&P 500 futures contract (SP). The inputs include an end date that can be set to a date in the future if the end date is not desired. The plot before the start date and after the end date is a simple percent band using the median price and the percent offset. In my example, I input the start date of 11/09/2009 because this was the start of a consolidation zone on the SP contract. I did not use the end date so the anchored VWAP bands continue to the end of the chart.

Captions:

Figure 1: Anchored VWAP indicator on a chart of the full size S&P 500 futures contract using the following inputs start_date =11/09/2009, end_date = 12/31/2010, pctBand = 1.8 (1091109, 1101231, 1.8). Note date input format uses Tradestation style dates.

Traders Studio Code for Fractal Dimension Indicator:
AnchorVWAP_July2010.zip
(RIGHT CLICK AND CHOOSE "SAVE AS.")

 

 

 

 

 

 

 

 

 

 

 

 

 

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