Daily Volume-Weighted Average Price (VWAP)

Category: volume, trend

Calculates the Volume-Weighted Average Price (VWAP) specifically for the current intra-day period, resetting the cumulative sums at the start of each new calendar day.

Formula

VWAP = \frac{\sum (Price \times Volume)}{\sum Volume} \text{ where } Price \in \{O, C, H, L, \text{combinations}\} \text{ reset on session start}

Inputs

• Price_Type (default: CLOSE_HIGH_LOW)

See signal primitives and every published strategy that uses Daily Volume-Weighted Average Price (VWAP) on WOBR StrategyVerse.