Overlay · autoavwap
What it computes
A volume-weighted mean of typical price anchored at the most recent extreme (highest high or lowest low) within Lookback bars.
It describes bars that have already printed. QuantZ does not claim this indicator has predictive value, and it is not a recommendation to do anything.
Inputs and lookback
- Lookback · default 250
Reads open, high, low, close and volume from the loaded bars. The first value appears once the longest lookback its parameters name has elapsed; earlier bars are left empty rather than padded.
What it assumes about the series
- Bars arrive oldest to newest at one interval, each with a finite open, high, low and close. The input is the chart’s loaded series, whatever its length.
- The function is given bars, not sessions: it does not know the timeframe, where a session opens, or that a gap in the tape is a gap.
- Warm-up bars are omitted rather than padded. The first value appears once the arithmetic has enough history, and nothing is drawn before it.
- The newest bar is the forming bar. Its value uses the live close and settles when the bar closes.
- Each bar carries a volume field. A feed that reports no volume produces no line at all rather than an invented one.
- The anchor is chosen by rule from the newest Lookback bars, so it can jump when a new extreme prints; the rule and its fallbacks are stated beside selectVWAPAnchor in the code.
Whether a drawn value can change
trailing-anchor · Recomputed from the newest bar. The line is derived from an anchor measured back from the newest bar, so the values on closed bars are recomputed every time a bar arrives.
This class is read from the registry entry and checked by a test against the function itself: for a class that says closed bars are final, appending a bar must leave every earlier point unchanged, and for a class that says they are not, it must not.
Outside its inputs
- Nothing outside the loaded bars: no longer history than the chart has loaded, and no other interval.
- Nothing inside a bar: no individual trades, no order book, no bid or ask.
- No other symbol, no benchmark, no news, no fundamentals, no earnings dates.
- Volume is the bar’s total. Which side of the book it traded on is not in the data.