TWAP

Calculates Time-Weighted Average Price (TWAP)

This groundbreaking technical indicator directly integrates volatility into price averaging by weighting median range-bound prices using the True Range.  Unlike conventional metrics such as TWAP (Time-Weighted Average Price), which focuses solely on time, or VWAP (Volume-Weighted Average Price), which emphasizes volume, 'TrueWAP' captures fluctuating market behavior by reflecting true price movement within high/low performance boundaries.

Joshua Callaway

TrueWAP

True Range-Weighted Average Price ('TrueWAP')

TWAP function

<dl><dt>OHLC</dt>
<dd>Data frame object with Open, High, Low, &amp; Close fields</dd>
<dt>period</dt>
<dd>Rolling window length</dd></dl>

Arguments

Title TWAP — TWAP

<dl>

<dt>OHLC</dt>
<dd>Data frame object with Open, High, Low, &amp; Close fields</dd>


<dt>period</dt>
<dd>Rolling window length</dd>

</dl>

TWAP: Title TWAP

Description

Usage

Value

Arguments

Examples