Thinkorswim VWAP scanner
The VWAP scanner in Thinkorswim is significant for day traders on the platform. If you are looking for a Thinkorswim VWAP scanner a few options are available to you:
Thinkorswim VWAP Scanner Option 1: Use the Thinkorswim Platform Guide to Build a Scan
The VWAP acts as a comparison bar to ascertain the price of executed trades, particularly for large trades. This makes VWAP useful for trading in large volumes and short terms. Intraday and day traders find the benchmark a useful one to track. Many people make their lives simple by simply tagging prices just above or below the line to enter and exit into trades and positions.
According to the Thinkorswim’s Technical Analysis section, the Volume-Weighted Average Price (VWAP) can be calculated by using the formula below:
Where size is the number of shares traded at a price.
As shown in the formula above, VWAP is the result of the total money paid for a stock in a specific time period divided by the total number of shares traded.
To calculate VWAP, we multiply the stock’s price with the number of shares traded at a particular price. The result is divided by the total shares traded in the selected period.
The VWAP trends are plotted with two lines that indicate the overbought and oversold levels. The top band (overbought level) is drawn with a specific number of standard deviations above the VWAP (which you can customize), and the Lower band (oversold level) is drawn under the VWAP.
Standard deviations are calculated by the difference between the price and VWAP.
The indicators follow the basic concept of an oscillator reporting trends in the number of standard deviations from the VWAP mean. These SDs can be set according to user preferences.
The indicator sends an oversold or overbought alert when prices fall below or rise above the VWAP line. This tells traders when to sell or to short their trades.
Figure 1 below VWAP Plot on Thinkorswim
The page also describes the requirements to plot a VWAP on your portfolio and the parameters needed to design a VWAP scanner.
Thinkorswim VWAP Scanner Option 2: Free Hahn-Tech and useThinkScript Scanner Modifications to Design a VWAP Scan Customised for your needs.
This post on useThinkscript forum has very useful tips and tricks for all things related to VWAP.
- Create a custom column and then add this one line of code.
- This highlights prices above VWAP, which is bullish, in green and below VWAP, which is bearish, in red, which is very handy.
Audio alerts can also be added. You are allowed to use 1500 data per list without paying for extra data, so this is only enough for a few stocks.
Users have added a lot of customization, for example, adding an aggregation period of 1 year which is not standard.
useThinkscript users also created their own version of a VWAP Breakout indicator that combines with trading volumes. This free indicator releases buy and sell signals based on the candle crossover over the VWAP line in markets and stocks with irregular volume.
You can see the arrows used to signal below:
The code only works for the current chart you are viewing. Also remember that using the Thinkorswim built-in condition wizard can configure a lot settings without the use of code. This is what Pete Hahn suggests, see below.
There are several YouTube tutorials as well that allows users to build their scanners for the Thinkorswim platform. There are options for intraday scanners:
As well as for anchored VWAP scanners:
The scanner suggested by Pete Hahn on his page suggests using the Thinkorswim condition wizard to design a scanner. The solution is to plot a VWAP line, and the scanner works well for all sensitivity settings. User feedback regarding the scanner is also positive.
Thinkorswim VWAP Scanner Option 3: Paid Easycators Scans
Easycators offer two different forms of paid scanners for VWAP variation trading. At the time of posting this article on July 29th 2022 both of these are available at a price of $99.99. The original price of the Zscore scanner is $129.99.
- The Z-Score Distance from VWAP is an indicator that offers customizable alerts, indicators for overbought and oversold levels, and a table or column that reports the - score distance from VWAP. This indicator only works on intraday charts, so day traders may not find it useful for their entire portfolio.
- The Anchored VWAP & Multiple Time Frame AVWAP Indicator allows traders to follow Brian Shannon from Alphatrends’ AVWAP or Anchored VWAP tool. The Thinkorswim platform doesn't offer any point and click AVWAPs. This scanner allows users to plot real time VWAPs from pivot high and low points in any time frame. This scanner option offers a Multiple Timeframe VWAP indicator that lets traders VWAPs on multiple timeframes. These can be as low as 1 hour, 2-hour, 4 hours, and as high as yearly VWAPs or full chart VWAPs.
While both scanners have unique and thorough scanning options, the fact remains that they are paid for and offer value to a niche group of traders, who could probably build their own scanner. The Anchored VWAP & Multiple Time Frame AVWAP Indicators offers a more comprehensive range of offerings. Still, the skilled trader knows enough to design such scanners like the options listed under 1 and 2.
In short, you are paying a $100 for a scanner that you can get for free.
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