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Indicator · Pine Script v5 · Own pane
TWAP VWAP EMA MACD
The TWAP VWAP EMA MACD indicator calculates two exponential moving averages: one based on the time-weighted average price (TWAP) and another on the volume-weighted average price (VWAP).
GitHub stars3on the repository
Pine versionv5runs as is
Lines of code35
Settings3inputs
LicenceGPL-3.0
Last update2 years ago22 May 2024
Add It to Your TradingView Chart
- 1Copy the scriptPress Copy script above, or the copy button on the code below.
- 2Open the Pine EditorOpen a TradingView chart and choose Pine Editor at the bottom of the screen.
- 3Paste over the templateCreate a new indicator, select all of the template text and paste. Press Save and give it a name.
- 4Add it to the chartPress Add to chart, then adjust the settings with the gear icon next to its name.
Source Code
35 lines of Pine Script v5 from twap-vwap-macd.pine, published under GPL-3.0. Keep the author's credit and licence lines when you reuse it.
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © jawauntb
//@version=5
indicator(title="TWAP VWAP EMA MACD", shorttitle="TVEM", overlay=false)
// User inputs for EMA periods
twapLength = input(12, title="TWAP EMA Length")
vwapLength = input(26, title="VWAP EMA Length")
signalLength = input(9, title="Signal EMA Length")
// Define a resettable cumulative sum function
rcum(x) =>
var float sum = na
sum := na(sum) or ta.change(year * 365 + dayofmonth) != 0 ? x : sum + x
sum
// Calculate TWAP and its EMA
twapPrice = (high + low + close) / 3
twap = rcum(twapPrice) / rcum(1)
twapEMA = ta.ema(twap, twapLength)
// Calculate VWAP and its EMA
typical_price = (high + low + close) / 3
vwap = rcum(typical_price * volume) / rcum(volume)
vwapEMA = ta.ema(vwap, vwapLength)
// Calculate MACD and Signal Line
macdLine = twapEMA - vwapEMA
signalLine = ta.ema(macdLine, signalLength)
// Plot the lines
plot(macdLine, color=color.red, title="MACD Line")
plot(signalLine, color=color.blue, title="Signal Line")
hline(0, title="Zero Line", color=color.gray)
Overview
TWAP VWAP EMA MACD subtracts the VWAP EMA from the TWAP EMA to form the MACD line and applies a signal line EMA to that difference. The indicator plots the MACD line and signal line in a separate pane below the price chart. TWAP uses a resettable cumulative sum function that resets at the start of each new day, while VWAP weights prices by volume. The main settings control the EMA lengths for TWAP, VWAP, and the MACD signal. It draws exclusively in a separate pane with no trading entries or exits.
- TWAP VWAP MACD
- Resettable cumulative sum
- Volume weighted average price
- Separate pane plots
- Custom EMA oscillator
Details
Published by
jawauntb on GitHub
Type
Indicator, Pine Script v5
Draws
Separate pane below the chart
Category
Oscillators & momentum, Moving averages, Volume
Markets
Any symbol
Timeframes
Any timeframe
Risk Notes
No repainting, lookahead or stacked entries were found in its code or README. That says nothing about how well it works: test it first.
Settings
The inputs you can change from the gear icon on the chart. Defaults are the author's.
| Setting | Type | Default | Variable |
|---|---|---|---|
| TWAP EMA Length | int | 12 | twapLength |
| VWAP EMA Length | int | 26 | vwapLength |
| Signal EMA Length | int | 9 | signalLength |
Third-party code. ForexR did not write, test or endorse this script, and the summary above was generated automatically from its code and README. Indicators describe the past, and a strategy's backtest can look better than live trading, especially when a script repaints. Check it in the Strategy Tester and on a demo account before you rely on it.
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