VWAP

Calculates Volume-Weighted Average Price (VWAP)

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')

VWAP function

<dl><dt>HLC3</dt>
<dd>Vector of High, Low, Close Average Values</dd>
<dt>volume</dt>
<dd>Vector of Volume values</dd>
<dt>period</dt>
<dd>Rolling window length</dd></dl>

Arguments

Title VWAP — VWAP

<dl>

<dt>HLC3</dt>
<dd>Vector of High, Low, Close Average Values</dd>


<dt>volume</dt>
<dd>Vector of Volume values</dd>


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

</dl>

VWAP: Title VWAP

Description

Usage

Value

Arguments

Examples