Couldn't find a VWAP script that worked the way I needed so I created this one. Basically, it provides a multiday rolling VWAP. I made the rolling period configurable, but I primarily use it to add a 2 day VWAP to my chart alongside the standard VWAP indicator. This unique thing that this indicator does is dynamically anchor to the configured period, but starting...
Statistical methods based on mean cannot be effective all the time when attributed to financial data since it doesn't usually follow normal distribution, the data can be skewed or/and have extreme values which can be described as outliers.
In order to deal with this problem it is appropriate to use median-based techniques.
The most common one is called...
Shows rolling volume for 24 hours as exchanges does
default settings is for 1m candles
Inputs:
p = Period : is the number of candle to aggregate to the back, i.e for 1m candle there is 1440 candle in one day
for 5m candles as example: 24h * 60 / 5 = 288
so for 5m you have to change input p to be 288
Plots:
Red line is total volume
white line is per candle...
