VWAP: volume weighted average price

The vwap is a nice tool to find intraday support/resistance. It calculates the average price of the day, taking volume and price, and displays the evolving result on an intraday chart.

If you take into account the direction of the vwap and the position of the market relative to it, you get a nice setup for some intraday trend following strategies.

 

Chart of 5min german bund future

Indicator code:

Meta: subchart(false);
Variables: vw, bn,counter1, counter2;

bn=barnumber;
if datedate[1] then begin
counter1=0;
counter2=0;
vw=close;
end;

if date=date[1] then begin
counter1=counter1+close*volume;
counter2=counter2+volume;
if counter20 then vw=counter1/counter2;
end;

drawsymbol(vw);