Time Weighted Average Price (TWAP) Indicator for ThinkorSwim

[rad14733]

Ok, upon further research I have learned that there are multiple uses of TWAP just as there are for VWAP... There is the standard TWAP and then some traders also use an anchored TWAP of one day and three days... This is all something I've been wanting to research for a while now and I'm glad I took the time to do so today... The bog standard TWAP is as simple as the following code...

input length = 21;
plot twap = Average(ohlc4, length);

That's pretty simple, eh...??? It's when you start adding in anchoring that more code is required... I'm going to monitor a trade strategy this coming week that is based on TWAP/VWAP crossover... Didn't you refer to that strategy @germanburrito...??? The strategy I saw uses standard TWAP/VWAP rather than anchored...

 

[iZaTrader]

I have been having success with the 9ema crossing over TWAP followed by VWAP crossing TWAP. both the 9EMA and VWAP has to be trading above TWAP. Backtest it on the 5m timeframe

 

[iZaTrader]

Can someone please build an intraday scanner for when VWAP crosses TWAP on MTF ..with alerts..in a watchlist column within 2 bars...

######################################################################
input showlabels = yes;
######################################################################
# VWAP
input timeFrame = {default DAY, WEEK, MONTH};

def cap = getAggregationPeriod();
def errorInAggregation =
    timeFrame == timeFrame.DAY and cap >= AggregationPeriod.WEEK or
    timeFrame == timeFrame.WEEK and cap >= AggregationPeriod.MONTH;
assert(!errorInAggregation, "timeFrame should be not less than current chart aggregation period");

def yyyyMmDd = getYyyyMmDd();
def periodIndx;
switch (timeFrame) {
case DAY:
    periodIndx = yyyyMmDd;
case WEEK:
    periodIndx = Floor((daysFromDate(first(yyyyMmDd)) + getDayOfWeek(first(yyyyMmDd))) / 7);
case MONTH:
    periodIndx = roundDown(yyyyMmDd / 100, 0);
}
def isPeriodRolled = compoundValue(1, periodIndx != periodIndx[1], yes);

def volumeSum;
def volumeVwapSum;
def volumeVwap2Sum;

if (isPeriodRolled) {
    volumeSum = volume;
    volumeVwapSum = volume * vwap;
    volumeVwap2Sum = volume * Sqr(vwap);
} else {
    volumeSum = compoundValue(1, volumeSum[1] + volume, volume);
    volumeVwapSum = compoundValue(1, volumeVwapSum[1] + volume * vwap, volume * vwap);
    volumeVwap2Sum = compoundValue(1, volumeVwap2Sum[1] + volume * Sqr(vwap), volume * Sqr(vwap));
}
def price_VWAP = volumeVwapSum / volumeSum;
def deviation = Sqrt(Max(volumeVwap2Sum / volumeSum - Sqr(price_VWAP), 0));

plot VWAP = price_VWAP;
VWAP.setDefaultColor(getColor(0));
AddLabel(Showlabels, " VWAP = " + Round(VWAP, 2), if close >= VWAP then color.LIGHT_GREEN else color.LIGHT_RED);
######################################################################
#TWAP
input price = FundamentalType.HLC3;
script TimeWAP {

    input price = hlc3;
    input timeFrame = {default Day, Week, Month, Chart};
  

    def yyyyMmDd = GetYYYYMMDD();
    def periodIndx;
    switch (timeFrame) {
    case Day:
        periodIndx = yyyyMmDd;
    case Week:
        periodIndx = Floor((DaysFromDate(First(yyyyMmDd)) + GetDayOfWeek(First(yyyyMmDd))) / 7);
    case Month:
        periodIndx = RoundDown(yyyyMmDd / 100, 0);
    case Chart:
        periodIndx = 0;
}

    def newday = CompoundValue(1, periodIndx != periodIndx[1], yes);
    rec cumeprice = if newday then price else price + cumeprice[1];
    rec cumebarnumber = if newday then 1 else 1 + cumebarnumber[1];

    plot TWAP = Round(cumeprice / cumebarnumber, 4);

}

plot TWAP = TimeWAP(Fundamental(price));
TWAP.AssignValueColor(if TWAP > TWAP[1] then Color.LIGHT_GREEN else if TWAP is equal to TWAP[1] then Color.GRAY else Color.RED);
TWAP.SetStyle(Curve.SHORT_DASH);
TWAP.SetLineWeight(2);
TWAP.HideBubble();
AddLabel(Showlabels, " TWAP = " + Round(TWAP, 2), if close >= TWAP then color.LIGHT_GREEN else color.LIGHT_RED);
######################################################################
Addlabel(showlabels, if VWAP >= TWAP then "Above" else "Below", if VWAP >= TWAP then color.WHITE else color.DARK_GRAY);
######################################################################

 

[germanburrito]

@iZaTrader How to you intend to use it multi time frame, it doesn't really work well multi time frame I notice it works best on the daily no?

 

[iZaTrader]

@iZaTrader How to you intend to use it multi time frame, it doesn't really work well multi time frame I notice it works best on the daily no?

What I have noticed, is the cross intraday tends to trend the 9ema as long as VWAP is above TWAP... 1m, 5m and 15m.. if its not lined up sequentially . I don't take the trade.. I am developing my discipline using it. I have not used it with the standard deviation as of yet, just the midline..

 

[germanburrito]

What I have noticed, is the cross intraday tends to trend the 9ema as long as VWAP is above TWAP... 1m, 5m and 15m.. if its not lined up sequentially . I don't take the trade.. I am developing my discipline using it. I have not used it with the standard deviation as of yet, just the midline..

try this this i added a cud between them that turns red or green, i use it everyday to trade.

 

[iZaTrader]

Can someone please build an intraday scanner for when VWAP crosses TWAP ..with an alerts..in a watchlist column within 2 bars...
and create a label when the cross do occur.. here is the code below

######################################################################
input showlabels = yes;
######################################################################
# VWAP
input timeFrame = {default DAY, WEEK, MONTH};

def cap = getAggregationPeriod();
def errorInAggregation =
timeFrame == timeFrame.DAY and cap >= AggregationPeriod.WEEK or
timeFrame == timeFrame.WEEK and cap >= AggregationPeriod.MONTH;
assert(!errorInAggregation, "timeFrame should be not less than current chart aggregation period");

def yyyyMmDd = getYyyyMmDd();
def periodIndx;
switch (timeFrame) {
case DAY:
periodIndx = yyyyMmDd;
case WEEK:
periodIndx = Floor((daysFromDate(first(yyyyMmDd)) + getDayOfWeek(first(yyyyMmDd))) / 7);
case MONTH:
periodIndx = roundDown(yyyyMmDd / 100, 0);
}
def isPeriodRolled = compoundValue(1, periodIndx != periodIndx[1], yes);

def volumeSum;
def volumeVwapSum;
def volumeVwap2Sum;

if (isPeriodRolled) {
volumeSum = volume;
volumeVwapSum = volume * vwap;
volumeVwap2Sum = volume * Sqr(vwap);
} else {
volumeSum = compoundValue(1, volumeSum[1] + volume, volume);
volumeVwapSum = compoundValue(1, volumeVwapSum[1] + volume * vwap, volume * vwap);
volumeVwap2Sum = compoundValue(1, volumeVwap2Sum[1] + volume * Sqr(vwap), volume * Sqr(vwap));
}
def price_VWAP = volumeVwapSum / volumeSum;
def deviation = Sqrt(Max(volumeVwap2Sum / volumeSum - Sqr(price_VWAP), 0));

plot VWAP = price_VWAP;
VWAP.setDefaultColor(getColor(0));
AddLabel(Showlabels, " VWAP = " + Round(VWAP, 2), if close >= VWAP then color.LIGHT_GREEN else color.LIGHT_RED);
######################################################################
#TWAP
input price = FundamentalType.HLC3;
script TimeWAP {

input price = hlc3;
input timeFrame = {default Day, Week, Month, Chart};


def yyyyMmDd = GetYYYYMMDD();
def periodIndx;
switch (timeFrame) {
case Day:
periodIndx = yyyyMmDd;
case Week:
periodIndx = Floor((DaysFromDate(First(yyyyMmDd)) + GetDayOfWeek(First(yyyyMmDd))) / 7);
case Month:
periodIndx = RoundDown(yyyyMmDd / 100, 0);
case Chart:
periodIndx = 0;
}

def newday = CompoundValue(1, periodIndx != periodIndx[1], yes);
rec cumeprice = if newday then price else price + cumeprice[1];
rec cumebarnumber = if newday then 1 else 1 + cumebarnumber[1];

plot TWAP = Round(cumeprice / cumebarnumber, 4);

}

plot TWAP = TimeWAP(Fundamental(price));
TWAP.AssignValueColor(if TWAP > TWAP[1] then Color.LIGHT_GREEN else if TWAP is equal to TWAP[1] then Color.GRAY else Color.RED);
TWAP.SetStyle(Curve.SHORT_DASH);
TWAP.SetLineWeight(2);
TWAP.HideBubble();
AddLabel(Showlabels, " TWAP = " + Round(TWAP, 2), if close >= TWAP then color.LIGHT_GREEN else color.LIGHT_RED);
######################################################################
Addlabel(showlabels, if VWAP >= TWAP then "Above" else "Below", if VWAP >= TWAP then color.WHITE else color.DARK_GRAY);
######################################################################

 

[germanburrito]

@iZaTrader You might like this, I use it on my lower chart I turn off the line and I just leave the cloud most of the time, that's what I meant to share with you. https://tos.mx/5kIPdi5

 

[BenTen]

@iZaTrader Here is how you setup the condition for your scanner.

Once you have it saved as a watchlist, you can choose the option to get alerted.

 

[germanburrito]

Ben would "is greater than or equal to" be also a reliable condition? this might be what he wants? im not sure.

 

[BenTen]

@germanburrito According to @iZaTrader

...build an intraday scanner for when VWAP crosses TWAP

Using "is greater than or equal to" would not be best for such request.

 

[iZaTrader]

Thanks @germanburrito @BenTen

 

[germanburrito]

finally figured out way to implement twap to expand like vwap, its awesome

#German Burrito twap

declare upper;
input price = ohlc4;
input timeFrame = { Day, Week, Month,default Chart};

def yyyyMmDd = GetYYYYMMDD();
def periodIndx;
switch (timeFrame) {
case Day:
    periodIndx = yyyyMmDd;
case Week:
    periodIndx = Floor((DaysFromDate(First(yyyyMmDd)) + GetDayOfWeek(First(yyyyMmDd))) / 7);
case Month:
    periodIndx = RoundDown(yyyyMmDd / 100, 0);
case Chart:
    periodIndx = 0;
}

def newday = CompoundValue(1, periodIndx != periodIndx[1], yes);
def cumeprice = if newday then price else price + cumeprice[1];
def cumebarnumber = if newday then 1 else 1 + cumebarnumber[1];
#def cumebarnumber2 = if newday then

def TWAP_price = Round(cumeprice / cumebarnumber, 4);
plot TWAP = TWAP_price;
def sDev = stdevAll(data = TWAP_price);

#
# TD Ameritrade IP Company, Inc. (c) 2011-2020
#





def RTH = timeframe;
def n = if RTH and !RTH[1]
           then 1
           else if RTH
           then n[1] + 1
           else n[1];
def Avg = (fold i = 0 to n
           with s
           do s + getValue(close, i)) / n;
def VWAP_ = (fold ii = 0 to n
            with ss
            do ss + getValue(twap, ii)) / n;
def StDev = Sqrt((fold iii = 0 to n
                  with sss = 0
                  do sss + Sqr(Avg - getValue(close, iii))) / n);

plot "0" = twap+ stdev*2;
plot "1" = twap- stdev*2;


# End Code

 

[FellowTrader]

Hi Everyone , Appreciate if Any one share the Anchored VWAP TWAP combined strategy indicator with a scan TOS links or code.

 

[merryDay]

Hi Everyone , Appreciate if Any one share the Anchored VWAP TWAP combined strategy indicator with a scan TOS links or code.

https://usethinkscript.com/threads/...dicator-for-thinkorswim.610/page-2#post-48372

 

[FellowTrader]

https://usethinkscript.com/threads/...dicator-for-thinkorswim.610/page-2#post-48372

Thanks Merry Day, are you referring to the code of
iZaTrader and scan by Benten ?

 

[CashMoney]

well thats a problem becuse it shouldnt contract, the deviation lines on a vwap do not contract they only expand, and this is very helpful, i do find mobious script to be helpful in dictating where price might move away from, i ovelay it with volume profiles, if the time prifiles in red extand pass volume profile this means that the stock is just sitting there and not generating enough as much volume as time, meaaning that market makers and brokers are not making money on commision, so i sometimes find price moving away from this areas into areas of more liquidity, just and idea to go along with the thread.View attachment 8756

how do u have two different colors on volume profile?