VWAP | Bots And Strategy | Help Center

VWAP

What SteadyEdge calculates

This page documents the exact runtime calculation for the listed filter IDs. Formula symbols use O , H , L , C , and V for the current candle open, high, low, close, and volume; p is the configured lookback.

- Registry filter IDs: vwap

Exact formula

TP_t = (H_t+L_t+C_t)/3

VWAP_t = sum(TP_i*V_i, i=0..t) / sum(V_i, i=0..t)

rule compares C_t directly with VWAP_t; it is cumulative over loaded history

Parameters, defaults, and bounds

This filter has no calculation parameters.

How the rule passes

above requires a strict > comparison.

below requires a strict < comparison.

There is no numeric Value field: the operator directly compares Close with VWAP.

Data, timing, and warm-up

Candle filters use the rule timeframe and the latest candle at or before the evaluation time. A non-finite calculated value does not pass.

Every rule in the same filter set must pass. Test Filters and a backtest validate the complete set.

- Filters Reference

- How Entry Filters Work

- Timeframe, Operator, Value, And Params