Combination – Crossed Below VWAP (Price)

What is the Combination – Crossed Below VWAP (Price) Scanner?

The Combination – Crossed Below VWAP (Price) scanner will compare the current price to the real-time current VWAP for the day session. It’s also possible to compare the current price to the last 05/10/30/60-day VWAP. The results from this scan will return symbols where price has crossed below VWAP, either for the current day session, or based on the setting for the last 05/10/30/60-days and has moved a positive number of percentages higher.

• Scanner Category: Combination
• Scanner Type: Customizable, which means the threshold values of the filters can be changed.
• The scanner working time is from 04:00:00 to 20:00:00.

Trigger Conditions for Real-Time VWAP

The Combination – Crossed Below VWAP (Price) Scan will be triggered if all the following conditions are true:

• The current price is higher than real-time VWAP (today’s VWAP).
• The last price is lower than the real-time VWAP (today’s VWAP).
• (current price – VWAP)/VWAP is greater than the set percentage.
• All of the common filters are true.

Trigger Conditions for last 05/06/30/60-day VWAP

The Combination – Crossed Below VWAP (Price) Scan will be triggered if all the following conditions are true:

• The current price is lower than the historical VWAP.
• The last price is higher than the historical VWAP
• (current price – VWAP)/VWAP is greater than the set percentage.
• All of the common filters are true.

Create a new Subscription for the Combination – Crossed Below VWAP (Price) Scanner

In the Create Trade Signal window, choose ‘Combination – Crossed Below VWAP (Price)’ and click the OK button. A new subscription will be created.

After adding the Combination – Crossed Below VWAP (Price) scanner, it will appear in the main Trade Signal List window. Double click on the name of the scan in the Trade Signal List window and the Trade Signal Results screen will be visible. By default, the Combination – Crossed Below VWAP (Price) scan is already pre-configured and results should be visible in this window after opening it.

Update the Filters of the Combination – Crossed Below VWAP (Price) Scanner

There are several Optional Filters that can be adjusted for each Trade Signal scan. Please review these Optional Filters here: https://dastrader.com/docs/optional-filters/. The settings mentioned below fall under the Mandatory Filters section in the TradeSignal Config window.

VWAP-Type

This setting defines the use of either the real-time VWAP or the historical VWAP.

Values:

• Today-VWAP
  Real-Time (current session) VWAP
• 05 day average VWAP
  Historical VWAP
• 10 day average VWAP
  Historical VWAP
• 30 day average VWAP
  Historical VWAP
• 60 day average

VWAP Min Time Interval

This setting defines the VWAP Minimum Time Interval to filter our duplicate message. The time is measured in minutes. This is helpful when price and VWAP are criss-crossing each other when the symbol is trading sideways and to avoid constant alerts from TradeSignal during this sideways movement.

Value: 30-480
For example: 30 means duplicate messages would be filtered out during every 30 minute period. Only 1 message would be visible during the 30 minute period.

The image on the left has the Time Min Interval set to 30, which means every time price crossed VWAP during the session, an alert was generated (total of 4 alerts for AISP). The image on the right has the Time Min Interval set to 480, which means the alert for price crossing VWAP was only generated once during the 480 minute time frame.

VWAP-Min VWAP Divergence

This setting defines the minimum percentage of price below VWAP to filter.

Value Range: 1 – 9999
For example: 2 would mean price would need to be 2% below VWAP in order to be visible in this scan. (current price-VWAP)/VWAP*100% >= 2%

Example of the Combination – Crossed BelowVWAP Scanner

Open TradeSignal from the Tools > TradeSignal menu. When the TradeSignal List window opens, click the New button. In the window that opens, select Combination – Crossed Below VWAP (Price) under the Combination scanner options. Click the Advanced Settings button and set the following options:

• Exchange: N;A;Q;U;u (this is already configured by default)
• Price-Price Range (Dollars): Min: 5, Max: 100
• Vol-Today Volume (whole-day): Min 2000, Max: 9999999999
• VWAP-Type: Today VWAP
• VWAP-Min Time Interval: 30
• VWAP-Min VWAP Divergence: 2

The above scan result shows AISP crossed the VWAP with a 2% divergence 4 times during the real-time trading session.

The chart above shows where the signal was generated (white circles added to show the 4 times that price crossed VWAP).