Anchored VWAP Indicator for ThinkorSwim

Good day to everyone.
Help to insert a sound signal when an arrow appears.

Thank you


Code:
## START STUDY
## Anchored_VWAP2
## linus, 2014-03-10, v0.1

#10:24 linus: it carries over the previous pivot's lines for high, low and close. (it plots vwaps of the high, low and close that are reset each time a new pivot is found.)
#10:25 linus: i wrote it to experiment with vwap as stops. (the high and low vwaps that can be offset by the ticks input.)
#10:25 linus: but it should serve as an example of how to reset the vwaps based on a signal.
#10:35 linus: #hint: VWAP stops anchored off  fractalTrader pivots.
#10:37 linus: the code calculates the pivots as PivH and PivL, and then restarts the high, low and close vwaps when it finds a new pivot.  Otherwise it continues to calculate the high, low and close vwaps.
#10:37 linus: the dashed vwap plots are the saved from the previous pivot, and the solid vwap plots are since the last pivot.


#hint: VWAP stops anchored off  fractalTrader pivots.

#hint n: Lookback period for finding swing highs, lows.
input n = 20;

#hint ticks: Offset High/Low VWAP lines by this number of ticks.
input ticks = 2.0;

def bnOK = barNumber() > n;

def isHigher = fold i = 1 to n + 1 with p = 1
               while p do high > GetValue(high, -i);

def HH = if bnOK and isHigher
         and high == Highest(high, n)
         then high else Double.NaN;

def isLower = fold j = 1 to n + 1 with q = 1
              while q do low < GetValue(low, -j);

def LL = if bnOK and isLower
         and low == Lowest(low, n)
         then low else Double.NaN;

def PivH = if HH > 0 then HH else Double.NaN;
def PivL = if LL > 0 then LL else Double.NaN;

plot Up = !isNaN(PivL);
Up.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_UP);
Up.SetLineWeight(3);
Up.SetDefaultColor(Color.WHITE);

plot Dn = !isNaN(PivH);
Dn.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_DOWN);
Dn.SetLineWeight(3);
Dn.SetDefaultColor(Color.ORANGE);

def LocH = (high + (tickSize() * ticks)) * volume;
def LocL = (low - (tickSize() * ticks)) * volume;
def LocC = close * volume;

rec PC;
rec VC;
rec PC2;
rec VC2;
rec PH;
rec VH;
rec PL;
rec VL;
rec PH2;
rec VH2;
rec PL2;
rec VL2;

if Dn or Up {
    PC = LocC;
    VC = volume;
    PC2 = PC[1];
    VC2 = VC[1];
} else {
    PC = compoundValue(1, LocC + PC[1], Double.NaN);
    VC = compoundValue(1, volume + VC[1], Double.NaN);
    PC2 = compoundValue(1, LocC + PC2[1], Double.NaN);
    VC2 = compoundValue(1, volume + VC2[1], Double.NaN);
}

if Dn {
    PH = LocH;
    VH = volume;
    PH2 = PH[1];
    VH2 = VH[1];
} else {
    PH = compoundValue(1, LocH + PH[1], Double.NaN);
    VH = compoundValue(1, volume + VH[1], Double.NaN);
    PH2 = compoundValue(1, LocH + PH2[1], Double.NaN);
    VH2 = compoundValue(1, volume + VH2[1], Double.NaN);
}
if Up  {
    PL = LocL;
    VL = volume;
    PL2 = PL[1];
    VL2 = VL[1];
} else {
    PL = compoundValue(1, LocL + PL[1], Double.NaN);
    VL = compoundValue(1, volume + VL[1], Double.NaN);
    PL2 = compoundValue(1, LocL + PL2[1], Double.NaN);
    VL2 = compoundValue(1, volume + VL2[1], Double.NaN);
}

plot VwapC = if Dn or Up then Double.NaN else PC / VC;
plot VwapC2 = if Dn or Up then Double.NaN else PC2 / VC2;
plot VwapH = if Dn then Double.NaN else PH / VH;
plot VwapL = if Up then Double.NaN else PL / VL;
plot VwapH2 = if Dn then Double.NaN else PH2 / VH2;
plot VwapL2 = if Up then Double.NaN else PL2 / VL2;

VwapC.SetDefaultColor(Color.YELLOW);
VwapC.SetLineWeight(2);
VwapC.HideBubble();

VwapC2.SetDefaultColor(Color.YELLOW);
VwapC2.SetLineWeight(2);
VwapC2.SetStyle(Curve.SHORT_DASH);
VwapC2.HideBubble();

VwapH.SetDefaultColor(Color.DARK_RED);
VwapH.HideBubble();

VwapL.SetDefaultColor(Color.DARK_GREEN);
VwapL.HideBubble();

VwapH2.SetDefaultColor(Color.DARK_RED);
VwapH2.SetStyle(Curve.SHORT_DASH);
VwapH2.HideBubble();

VwapL2.SetDefaultColor(Color.DARK_GREEN);
VwapL2.SetStyle(Curve.SHORT_DASH);
VwapL2.HideBubble();


will it be right ??
Code:
alert(PivL,”Signal BUY”,alert.BAR,Sound.Bell);
alert(PivH,”Signal Sell”,alert.BAR,sound.DING);
 
Last edited:

Join useThinkScript to post your question to a community of 21,000+ developers and traders.

I use VWAP and Advanced indicators on 12 TOS windows on my screen at a time. Since the screens are small the yellow, blue, white, pink title bars(?) in the upper left are in the way. Can I delete them?
 
Need help please.... I trade with TEFS/COLMEX and TOS for charting.. the problem is that TEFS VWAP is totally different from TOS... (literal like .05-.10 cents difference) and TEFS VWAP is more accurate for my strategies.. I look on every thread here and could not find any custom for VWAP by 1 minute,5 minutes ,15 minutes etc... I did my best trying to modifying current to VWAP to small time frames.. not success.. All I want is a normal VWAP but with the option for minute timeframes... like TEFS does... (TEFS use cumulative volume ) (pre market data off) THANKS @BenTen
 
I use VWAP and Advanced indicators on 12 TOS windows on my screen at a time. Since the screens are small the yellow, blue, white, pink title bars(?) in the upper left are in the way. Can I delete them?

Without a screenshot, I am assuming you are talking about Price Labels on the chart? Edit the study and add a "#" in front of the AddLabel(XX) lines like you see below to comment out those lines of code:

#AddLabel(XX)

Since you are modifying the code, the changes should reflect in all the charts in your grid. If this is not what you are looking for please post a screenshot and/or post the code here.
 
Anchored VWAP indicator can useful for intraday trading. It can also be used on any timeframe including hourly, daily, and weekly. VWAP can be a great tool for analyzing the market, especially for day traders.

Here we have 2 different Anchored VWAP indicator for ThinkorSwim. Feel free to test both out and use any that fits your trading style.

d29WCGC.png


Original - Anchored VWAP Stops

Rich (BB code):
#START STUDY
#Anchored_VWAP_STOPS
#linus, 2014-03-10, v0.1

#hint: VWAP stops anchored off FractalTrader pivots.

#hint n: Lookback period for finding swing highs, lows.
input n = 20;

#hint ticks: Offset VWAP lines by this number of ticks.
input ticks = 2.0;

def bnOK = barNumber() > n;

def isHigher = fold i = 1 to n + 1 with p = 1
               while p do high > GetValue(high, -i);

def HH = if bnOK and isHigher
         and high == Highest(high, n)
         then high else Double.NaN;

def isLower = fold j = 1 to n + 1 with q = 1
              while q do low < GetValue(low, -j);

def LL = if bnOK and isLower
         and low == Lowest(low, n)
         then low else Double.NaN;

def PivH = if HH > 0 then HH else Double.NaN;
def PivL = if LL > 0 then LL else Double.NaN;

rec dir = compoundValue(1, if !isNaN(PivL) then 1 else if !isNaN(PivH) then -1 else dir[1], 0);

plot Up = dir crosses above 0;
Up.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_UP);
Up.SetLineWeight(3);
Up.SetDefaultColor(Color.WHITE);

plot Dn = dir crosses below 0;
Dn.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_DOWN);
Dn.SetLineWeight(3);
Dn.SetDefaultColor(Color.ORANGE);

def LocH = (high + (tickSize() * ticks)) * volume;
def LocL = (low - (tickSize() * ticks)) * volume;
rec PH;
rec VH;
rec PL;
rec VL;

if Dn {
    PH = LocH;
    VH = volume;
} else {
    PH = compoundValue(1, LocH + PH[1], Double.NaN);
    VH = compoundValue(1, volume + VH[1], Double.NaN);
}
if Up  {
    PL = LocL;
    VL = volume;
} else {
    PL = compoundValue(1, LocL + PL[1], Double.NaN);
    VL = compoundValue(1, volume + VL[1], Double.NaN);
}

plot VwapH = if Dn then Double.NaN else PH / VH;
plot VwapL = if Up then Double.NaN else PL / VL;

VwapH.SetDefaultColor(Color.DARK_RED);
VwapL.SetDefaultColor(Color.DARK_GREEN);
#END STUDY
#Note: /ES 5m chart of the Anchored_VWAP_STOPS study.

Shareable Link: https://tos.mx/ICxmA7

AiLP8II.png


VWAP Anchored_v02

Rich (BB code):
#START STUDY
#Anchored_VWAP2
#linus, 2014-03-10, v0.1

#10:24 linus: it carries over the previous pivot's lines for high, low and close. (it plots vwaps of the high, low and close that are reset each time a new pivot is found.)
#10:25 linus: i wrote it to experiment with vwap as stops. (the high and low vwaps that can be offset by the ticks input.)
#10:25 linus: but it should serve as an example of how to reset the vwaps based on a signal.
#10:35 linus: #hint: VWAP stops anchored off  fractalTrader pivots.
#10:37 linus: the code calculates the pivots as PivH and PivL, and then restarts the high, low and close vwaps when it finds a new pivot.  Otherwise it continues to calculate the high, low and close vwaps.
#10:37 linus: the dashed vwap plots are the saved from the previous pivot, and the solid vwap plots are since the last pivot.

#hint: VWAP stops anchored off  fractalTrader pivots.

#hint n: Lookback period for finding swing highs, lows.
input n = 20;

#hint ticks: Offset High/Low VWAP lines by this number of ticks.
input ticks = 2.0;

def bnOK = barNumber() > n;

def isHigher = fold i = 1 to n + 1 with p = 1
               while p do high > GetValue(high, -i);

def HH = if bnOK and isHigher
         and high == Highest(high, n)
         then high else Double.NaN;

def isLower = fold j = 1 to n + 1 with q = 1
              while q do low < GetValue(low, -j);

def LL = if bnOK and isLower
         and low == Lowest(low, n)
         then low else Double.NaN;

def PivH = if HH > 0 then HH else Double.NaN;
def PivL = if LL > 0 then LL else Double.NaN;

plot Up = !isNaN(PivL);
Up.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_UP);
Up.SetLineWeight(3);
Up.SetDefaultColor(Color.WHITE);

plot Dn = !isNaN(PivH);
Dn.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_DOWN);
Dn.SetLineWeight(3);
Dn.SetDefaultColor(Color.ORANGE);

def LocH = (high + (tickSize() * ticks)) * volume;
def LocL = (low - (tickSize() * ticks)) * volume;
def LocC = close * volume;

rec PC;
rec VC;
rec PC2;
rec VC2;
rec PH;
rec VH;
rec PL;
rec VL;
rec PH2;
rec VH2;
rec PL2;
rec VL2;

if Dn or Up {
    PC = LocC;
    VC = volume;
    PC2 = PC[1];
    VC2 = VC[1];
} else {
    PC = compoundValue(1, LocC + PC[1], Double.NaN);
    VC = compoundValue(1, volume + VC[1], Double.NaN);
    PC2 = compoundValue(1, LocC + PC2[1], Double.NaN);
    VC2 = compoundValue(1, volume + VC2[1], Double.NaN);
}

if Dn {
    PH = LocH;
    VH = volume;
    PH2 = PH[1];
    VH2 = VH[1];
} else {
    PH = compoundValue(1, LocH + PH[1], Double.NaN);
    VH = compoundValue(1, volume + VH[1], Double.NaN);
    PH2 = compoundValue(1, LocH + PH2[1], Double.NaN);
    VH2 = compoundValue(1, volume + VH2[1], Double.NaN);
}
if Up  {
    PL = LocL;
    VL = volume;
    PL2 = PL[1];
    VL2 = VL[1];
} else {
    PL = compoundValue(1, LocL + PL[1], Double.NaN);
    VL = compoundValue(1, volume + VL[1], Double.NaN);
    PL2 = compoundValue(1, LocL + PL2[1], Double.NaN);
    VL2 = compoundValue(1, volume + VL2[1], Double.NaN);
}

plot VwapC = if Dn or Up then Double.NaN else PC / VC;
plot VwapC2 = if Dn or Up then Double.NaN else PC2 / VC2;
plot VwapH = if Dn then Double.NaN else PH / VH;
plot VwapL = if Up then Double.NaN else PL / VL;
plot VwapH2 = if Dn then Double.NaN else PH2 / VH2;
plot VwapL2 = if Up then Double.NaN else PL2 / VL2;

VwapC.SetDefaultColor(Color.YELLOW);
VwapC.SetLineWeight(2);
VwapC.HideBubble();

VwapC2.SetDefaultColor(Color.YELLOW);
VwapC2.SetLineWeight(2);
VwapC2.SetStyle(Curve.SHORT_DASH);
VwapC2.HideBubble();

VwapH.SetDefaultColor(Color.DARK_RED);
VwapH.HideBubble();

VwapL.SetDefaultColor(Color.DARK_GREEN);
VwapL.HideBubble();

VwapH2.SetDefaultColor(Color.DARK_RED);
VwapH2.SetStyle(Curve.SHORT_DASH);
VwapH2.HideBubble();

VwapL2.SetDefaultColor(Color.DARK_GREEN);
VwapL2.SetStyle(Curve.SHORT_DASH);
VwapL2.HideBubble();
#END STUDY

Shareable Link: https://tos.mx/s17BmB

Intraday Anchored VWAP

Code:
#yakBro intraday anchoredVWAP excluding extended hours volume 2019

declare hide_on_daily;

def anchorTime = 0930;
def anchorEnd = 1600;

input ShowTodayOnly = yes;
def Today = if GetDay() == GetLastDay() then 1 else 0;
def postAnchorTime = if SecondsFromTime(anchorTime) >= 0 then 1 else 0;
def endAchorTime = if SecondsTillTime(anchorEnd) >= 0 then 1 else 0;

#plot anchorVWAP for intraday
def  volumeSum = compoundValue(1, if postAnchorTime and endAchorTime then volumeSum[1] + volume else 0, volume);
def  volumeVwapSum = compoundValue(1, if postAnchorTime and endAchorTime then volumeVwapSum[1] + volume * vwap else 0, volume * vwap);

plot anchorVWAP = if ShowTodayOnly and !Today then Double.NaN else if anchorTime then volumeVwapSum / volumeSum else Double.NaN;
anchorVWAP.setStyle(Curve.Firm);
anchorVWAP.setDefaultColor(Color.light_ORANGE);
anchorVWAP.setlineWeight(2);

Video Tutorial


@BenTen does "VWAP Anchored_v02" repaint?
 
Without a screenshot, I am assuming you are talking about Price Labels on the chart? Edit the study and add a "#" in front of the AddLabel(XX) lines like you see below to comment out those lines of code:

#AddLabel(XX)

Since you are modifying the code, the changes should reflect in all the charts in your grid. If this is not what you are looking for please post a screenshot and/or post the code here.
Thank you it worked great!
 
@FOTM_8888 If you look into the original concept and idea of Anchored VWAP, it should not have any signals at all.
 
Is there a way that we can scan for the stocks based on Arrow up or Arrow down 15 min or 5 min time frame?
Thanks all!!
 
@mdtn Like I mentioned in comment #91, the arrows are delayed. By the time it shows up on your scanner, the move already happened.
 

Similar threads

Not the exact question you're looking for?

Start a new thread and receive assistance from our community.

87k+ Posts
324 Online
Create Post

Similar threads

Similar threads

The Market Trading Game Changer

Join 2,500+ subscribers inside the useThinkScript VIP Membership Club
  • Exclusive indicators
  • Proven strategies & setups
  • Private Discord community
  • ‘Buy The Dip’ signal alerts
  • Exclusive members-only content
  • Add-ons and resources
  • 1 full year of unlimited support

Frequently Asked Questions

What is useThinkScript?

useThinkScript is the #1 community of stock market investors using indicators and other tools to power their trading strategies. Traders of all skill levels use our forums to learn about scripting and indicators, help each other, and discover new ways to gain an edge in the markets.

How do I get started?

We get it. Our forum can be intimidating, if not overwhelming. With thousands of topics, tens of thousands of posts, our community has created an incredibly deep knowledge base for stock traders. No one can ever exhaust every resource provided on our site.

If you are new, or just looking for guidance, here are some helpful links to get you started.

What are the benefits of VIP Membership?
VIP members get exclusive access to these proven and tested premium indicators: Buy the Dip, Advanced Market Moves 2.0, Take Profit, and Volatility Trading Range. In addition, VIP members get access to over 50 VIP-only custom indicators, add-ons, and strategies, private VIP-only forums, private Discord channel to discuss trades and strategies in real-time, customer support, trade alerts, and much more. Learn all about VIP membership here.
How can I access the premium indicators?
To access the premium indicators, which are plug and play ready, sign up for VIP membership here.
Back
Top