Volume-weighted average price · TradersWeek

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Output: Research filter
Input: Order book, spread, volume, auction and trading costs
Horizon: Seconds to the order life cycle
Best use: Choose an executable order and account for implementation cost.

Input: Order book, spread, volume, auction and trading costs.
Output: filter.
Use boundary: Choose an executable order and account for implementation cost.

The archive

Where the method has been read

Read in the archive21 readings

2000Volume-weighted average price as a baseline for indicator constructionIndicators and filters 2001Constructing VWAP support and resistance from cumulative volumeAuction and volume 2001Constructing an elastic volume-weighted average and volatility bandsIndicators and filters 2001An elastic volume-weighted moving average from a share-count lookbackIndicators and filters 2004Volume-weighted column averages and crossovers on point-and-figure chartsIndicators and filters 2004The last hour as a stack of forced executionsLiquidity and costs 2004Session volume-weighted average for limit placement and listed routingLiquidity and costs 2006Order-book depth and passive flow for executionOrder types and routing 2008Construct a launch-point VWAP as support and resistance filtersIndicators and filters 2008Building MIDAS curves from an anchored volume-weighted averageIndicators and filters 2014Constructing a volume-capacity channel from a sideways baseTrend and channels 2014Workstation order routing, VWAP, and session filtersOrder types and routing 2015Constructing price gravity and float turnover filtersIndicators and filters 2015Constructing four-stage cycles with anchored VWAPTrend and channels 2017Constructing a volume-weighted crossover and breakout as one swing rule setEntry and exit rules 2017Constructing a volume-weighted moving-average crossoverEntry and exit rules 2017Constructing anchored volume-weighted average price maps for crowd-visible execution costsLiquidity and costs 2018Order book heatmaps, VWAP, and flow for executionOrder types and routing 2018Constructing futures rolls ahead of first notice dayLiquidity and costs 2019Evaluate a mechanical futures system as one procedureSystem design 2020Every bounce is a falsifiable regime testChart patterns

This registry entry describes a research method. It is not investment advice and does not make a performance claim.