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Automatic Zig Zag Anchored VWAP and Volume Profile

I had a request to do this indicator from a customer and I thought it would be a useful tool, so I got to work on it. I’ve added this as a free bonus to the existing Anchored VWAP and VWAP multiple timeframe set here.

The basic idea is you can define your Zig Zags as usual with the built in Zig Zag indicator. But instead of just plotting zig zags, the indicator will plot volume profiles for each wave/swing, and additionally anchor VWAPs to the most recent 5 swing high/low pivot points and plot them forward in time to present.

Here’s a quick walk through:

Thinkorswim automatic Zig Zag Anchored aVWAP and Volume Profile
Thinkorswim automatic Zig Zag Anchored aVWAP and Volume Profile

Get the indicator here (or if you’re an existing owner download it in the My Account > Orders > View Order Details page):

Anchored VWAP & Multiple Time Frame AVWAP Indicator for ThinkOrSwim
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Updates to ValueCharts

I recently overhauled ValueCharts and added some new features, such as a data frequency distribution like the one in the original book “Dynamic Trading Indicators”, showing how often different readings on the indicator are touched so you can place trades at the most ideal levels. For the data points you can either use the closing value of each ValueCharts bar, or the midpoint of each Value Charts bar.

I also added a back test enabled strategy file where you can see how your chosen levels perform on whichever symbols you like. The strategy includes an optional trend filter so you can tell it to only take long trades above a certain moving average, such as the 200 SMA, and only shorts below it, etc.

As always, prior purchasers get the updates for free and new customers will have access immediately at check out.

Click here to check it out.

Thanks!

Josiah

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Updates to the Position Sizer – new version 3.9 beta 1

  1. Added zigzag based pivot mode for stops and entries.
  2. Added x-period high/low mode for stops and entries.
  3. Added lookup table for futures margin requirements so instead of using a percentage of the total notional contract value, futures can now use actual hard-coded initial margin requirements. If the margins change in the future they can be easily updated in the code after line 478.
  4. Rearranged inputs to be more streamlined and quicker to manage and change.

New users can get the latest version here, and prior purchasers can download the latest update for free, as always, in the My Account > Orders > View order details page on the site (just reset your password to login if you’ve forgotten it).