Hi, I've been struggling to find an answer for this, but if anyone can help, it would be very appreciable. I am looking to adding VWAP and exponential moving average (EMA) into an intraday 1min candlestick. I can't find any solution about adding VWAP and EMA in this community. Thank you so much in advance for your contribution. Attached is the code I have so far, credited to Daniel. I'd like to add VWAP and EMA on it.

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3 responses

I'd suggest, Harry to search for VWAP and EMA in Quantopian Help to see what may work for you..

Cheers

Thank you for your reply. I tried, but couldn't figure it out... Do you know any reference?

Hi Harry,

I use a VWAP function on day's close and no EMA - not for 1min intervals - feel free to adapt for your purpose:

def getVWAP(ohlcv, bar): # OHLCV data in ascending order
avgPrice = (ohlcv['High'] + ohlcv['Low'] + ohlcv['Close']) / 3.0
if np.nansum(ohlcv['Volume'][:bar]) > 0:
return (avgPrice * ohlcv['Volume']).rolling(window=bar).sum() / (ohlcv['Volume']).rolling(window=bar).sum()
else: return (ohlcv['High'][-1] + ohlcv['Low'][-1] + ohlcv['Close'][-1]) / 3.0


Hope this helps.