Change this VWAP so it can be anchored

dsvitale

dsvitale

New member
Can anyone please improve this VWAP so the beginning date can be changed
Ruby: 
input StDev1 = 1.0;
input StDev2 = 2.0;
input timeFrame = {default DAY, WEEK, MONTH};
input VWAP_Color = {default SlopeBasic, SlopeSignal, Single};

input Background_Color_Signal = {default Cloud, Fast_Lane, Both, None};
def show_cloud = if background_color_signal == background_color_signal."Cloud" or background_color_signal == background_color_signal."Both" then 1 else 0;
def show_fast_lane = if background_color_signal == background_color_signal."Fast_Lane" or background_color_signal == background_color_signal."Both" then 1 else 0;

input Show_Dev_Signal = no;
input Tolerance_Band_Width = 0.0;
def ToleranceTrue = Tolerance_Band_Width > 0.0;

input High_or_Low_of_x_bars = 0;
def high_low_threshold = 0.25;
def HLBarLength = if High_or_Low_of_x_bars == 0 then Double.NaN else High_or_Low_of_x_bars;

def Show_Day_Divider = Yes;
def Market_Open = RegularTradingStart(GetYYYYMMDD());
def Equities_Futures = if ticksize() * tickvalue() == 0.0001 then 1 else 0;
def tooearly = 0;
#if Equities_Futures and GetTime() <= Market_Open + 1200000 then 1 else 0;
def cap = GetAggregationPeriod();
def errorInAggregation = timeFrame == timeFrame.DAY and cap >= AggregationPeriod.WEEK or timeFrame == timeFrame.WEEK and cap >= AggregationPeriod.MONTH;
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 NewDay = CompoundValue(1, periodIndx != periodIndx[1], yes);
def highestDays = TotalSum(NewDay);

rec VolumeSum;
rec MoneySum;
rec volumeVwap2Sum;

if (NewDay) {
VolumeSum = volume;
MoneySum = volume * vwap;
volumeVwap2Sum = volume * Sqr(vwap);
} else {
VolumeSum = CompoundValue(1, VolumeSum[1] + volume, volume);
MoneySum = CompoundValue(1, MoneySum[1] + volume * vwap, volume * vwap);
volumeVwap2Sum = CompoundValue(1, volumeVwap2Sum[1] + volume * Sqr(vwap), volume * Sqr(vwap));
}

def VW = MoneySum / VolumeSum;
def deviation = Sqrt(Max(volumeVwap2Sum / VolumeSum - Sqr(VW), 0));

def slopelength = 5;
def slopelookback = 8;
def slope = ((VW - VW[slopelength]) / slopelength) / close * 100000;

def slopeup = if slope[slopelookback] > 1 then 1 else 0;
def slopedn = if slope[slopelookback] < -1 then 1 else 0;
def nonslope = if !slopeup and !slopedn then 1 else 0;

def v_counter_low = fold index = 1 to 90 with v_tempvar = 0 while v_tempvar == 0 do if low[index] < low then index else 0;
def v_counter_high = fold index2 = 1 to 90 with v_tempvar2 = 0 while v_tempvar2 == 0 do if high[index2] > high then index2 else 0;


plot VWAP;
plot UpperBand_2;
plot LowerBand_2;
plot UpperBand_1;
plot LowerBand_1;
plot OuterBand_H;
plot InnerBand_H;
plot InnerBand_L;
plot OuterBand_L;

if (!errorInAggregation) {
VWAP = VW;
UpperBand_2 = VW + StDev2 * deviation;
LowerBand_2 = VW - StDev2 * deviation;
UpperBand_1 = VW + StDev1 * deviation;
LowerBand_1 = VW - StDev1 * deviation;
OuterBand_H = VW + ((1 + Tolerance_Band_Width) * deviation);
InnerBand_H = VW + ((1 - Tolerance_Band_Width) * deviation);
InnerBand_L = VW - ((1 - Tolerance_Band_Width) * deviation);
OuterBand_L = VW - ((1 + Tolerance_Band_Width) * deviation);
} else {
VWAP = Double.NaN;
UpperBand_2 = Double.NaN;
LowerBand_2 = Double.NaN;
UpperBand_1 = Double.NaN;
LowerBand_1 = Double.NaN;
OuterBand_H = Double.NaN;
InnerBand_H = Double.NaN;
InnerBand_L = Double.NaN;
OuterBand_L = Double.NaN;
}

UpperBand_2.AssignValueColor(if tooearly then Color.DARK_GRAY else if Show_Dev_Signal and slope >= 0 and slopeup then Color.GREEN else Color.GRAY);
UpperBand_2.SetDefaultColor(Color.GRAY);
UpperBand_2.HideBubble();
UpperBand_2.HideTitle();

OuterBand_H.SetDefaultColor(Color.GRAY);
OuterBand_H.HideBubble();
OuterBand_H.HideTitle();
OuterBand_H.SetHiding(!ToleranceTrue);

UpperBand_1.AssignValueColor(if tooearly then Color.DARK_GRAY else Color.WHITE);
UpperBand_1.SetDefaultColor(Color.WHITE);
UpperBand_1.SetStyle(Curve.SHORT_DASH);
UpperBand_1.HideBubble();
UpperBand_1.HideTitle();

InnerBand_H.SetDefaultColor(Color.GRAY);
InnerBand_H.HideBubble();
InnerBand_H.HideTitle();
InnerBand_H.SetHiding(!ToleranceTrue);

VWAP.SetDefaultColor(Color.CYAN);
VWAP.DefineColor("VWAP Ascending", Color.ORANGE);
VWAP.DefineColor("VWAP Descending", Color.MAGENTA);
VWAP.DefineColor("Above VWAP",CreateColor(0,199,145));
VWAP.DefineColor("Below VWAP",Color.DARK_RED);
VWAP.DefineColor("Fast Lane +", Color.CYAN);
VWAP.DefineColor("Fast Lane -",CreateColor(150,0,50));

VWAP.AssignValueColor(if VWAP_Color == VWAP_Color.SlopeSignal and slopeup and slopeup[1] and slopeup[2] and slopeup[3] and slopeup[4] then Color.CYAN
else if VWAP_Color == VWAP_Color.SlopeSignal and slopedn and slopedn[1] and slopedn[2] and slopedn[3] and slopedn[4] then Color.MAGENTA
else if VWAP_Color == VWAP_Color.SlopeBasic and slope > 0 then VWAP.Color("VWAP Ascending")
else if VWAP_Color == VWAP_Color.SlopeBasic and slope <= 0 then VWAP.Color("VWAP Descending")
else if VWAP_Color == VWAP_Color.Single then color.CYAN
else Color.WHITE);

InnerBand_L.SetDefaultColor(Color.GRAY);
InnerBand_L.HideBubble();
InnerBand_L.HideTitle();
InnerBand_L.SetHiding(!ToleranceTrue);

LowerBand_1.AssignValueColor(if tooearly then Color.DARK_GRAY else Color.WHITE);
LowerBand_1.SetDefaultColor(Color.WHITE);
LowerBand_1.SetStyle(Curve.SHORT_DASH);
LowerBand_1.HideBubble();
LowerBand_1.HideTitle();

OuterBand_L.SetDefaultColor(Color.GRAY);
OuterBand_L.HideBubble();
OuterBand_L.HideTitle();
OuterBand_L.SetHiding(!ToleranceTrue);

LowerBand_2.AssignValueColor(if tooearly then Color.DARK_GRAY else if Show_Dev_Signal and slope < 0 and slopedn then Color.RED else Color.GRAY);
LowerBand_2.SetDefaultColor(Color.GRAY);
LowerBand_2.HideBubble();
LowerBand_2.HideTitle();

plot counter_low = if !isNaN(HLBarLength) and v_counter_low > HLBarLength and (between(close,VW-high_low_threshold*deviation,VW+high_low_threshold*deviation) or between(close,VW-(1+high_low_threshold)*deviation,VW-(1-high_low_threshold)*deviation) or between(close,VW+(1-high_low_threshold)*deviation,VW+(1+high_low_threshold)*deviation)) then v_counter_low else Double.NaN;
counter_low.SetPaintingStrategy(paintingstrategy.VALUES_BELOW);
counter_low.SetDefaultColor(color.RED);
counter_low.HideBubble();
counter_low.HideTitle();

plot counter_high = if !isNaN(HLBarLength) and v_counter_high > HLBarLength and (between(close,VW-high_low_threshold*deviation,VW+high_low_threshold*deviation) or between(close,VW-(1+high_low_threshold)*deviation,VW-(1-high_low_threshold)*deviation) or between(close,VW+(1-high_low_threshold)*deviation,VW+(1+high_low_threshold)*deviation)) then v_counter_high else Double.NaN;
counter_high.SetPaintingStrategy(paintingStrategy.VALUES_ABOVE);
counter_high.SetDefaultColor(color.GREEN);
counter_high.HideBubble();
counter_high.HideTitle();

def var_close = if Show_Cloud then close else Double.NaN;
AddCloud(var_close, VW, VWAP.Color("Above VWAP"), VWAP.Color("Below VWAP"));

def var_VWoneup = if Show_Fast_Lane then UpperBand_1 else Double.NaN;
def var_VWonedn = if Show_Fast_Lane then LowerBand_1 else Double.NaN;

AddCloud(close, var_VWoneup, VWAP.Color("Fast Lane +"),color.BLACK);
AddCloud(close, var_VWonedn, Color.BLACK, VWAP.Color("Fast Lane -"));

AddVerticalLine(if GetAggregationPeriod() < AggregationPeriod.DAY and Show_Day_Divider then if GetTime() == Market_Open and !isNaN(close) then yes else if GetTime() <= Market_Open + 60000 and !isNaN(close) and periodIndx != periodIndx[1] then yes else no else no,"",CreateColor(40,40,40),curve.FIRM);
 
Last edited by a moderator:
Solution
S
dsvitale said:
Can anyone please improve this VWAP so the beginning date can be changed
Click to expand...
This will start the VWAP at the:

input timeFrame = {default DATE, DAY, WEEK, MONTH};
input date_begin = 20230920;
case DATE:
periodindx = getyyyYMMDD() >= date_begin;

Screenshot 2023-09-25 141342.png
Code: 
input StDev1 = 1.0;
input StDev2 = 2.0;
input timeFrame = {default DATE, DAY, WEEK, MONTH};
input date_begin = 20230920;
input VWAP_Color = {default SlopeBasic, SlopeSignal, Single};

input Background_Color_Signal = {default Cloud, Fast_Lane, Both, None};
def show_cloud = if background_color_signal == background_color_signal."Cloud" or background_color_signal == background_color_signal."Both" then 1 else 0;
def show_fast_lane = if...
Click to expand...
Sort by date Sort by votes
dsvitale said:
Can anyone please improve this VWAP so the beginning date can be changed
Click to expand...
This will start the VWAP at the:

input timeFrame = {default DATE, DAY, WEEK, MONTH};
input date_begin = 20230920;
case DATE:
periodindx = getyyyYMMDD() >= date_begin;

Screenshot 2023-09-25 141342.png
Code: 
input StDev1 = 1.0;
input StDev2 = 2.0;
input timeFrame = {default DATE, DAY, WEEK, MONTH};
input date_begin = 20230920;
input VWAP_Color = {default SlopeBasic, SlopeSignal, Single};

input Background_Color_Signal = {default Cloud, Fast_Lane, Both, None};
def show_cloud = if background_color_signal == background_color_signal."Cloud" or background_color_signal == background_color_signal."Both" then 1 else 0;
def show_fast_lane = if background_color_signal == background_color_signal."Fast_Lane" or background_color_signal == background_color_signal."Both" then 1 else 0;

input Show_Dev_Signal = no;
input Tolerance_Band_Width = 0.0;
def ToleranceTrue = Tolerance_Band_Width > 0.0;

input High_or_Low_of_x_bars = 0;
def high_low_threshold = 0.25;
def HLBarLength = if High_or_Low_of_x_bars == 0 then Double.NaN else High_or_Low_of_x_bars;

def Show_Day_Divider = Yes;
def Market_Open = RegularTradingStart(GetYYYYMMDD());
def Equities_Futures = if ticksize() * tickvalue() == 0.0001 then 1 else 0;
def tooearly = 0;
#if Equities_Futures and GetTime() <= Market_Open + 1200000 then 1 else 0;
def cap = GetAggregationPeriod();
def errorInAggregation = timeFrame == timeFrame.DAY and cap >= AggregationPeriod.WEEK or timeFrame == timeFrame.WEEK and cap >= AggregationPeriod.MONTH;
def yyyyMmDd = GetYYYYMMDD();

def periodIndx;
switch (timeFrame) {
case DATE:
periodindx = getyyyYMMDD() >= date_begin;
case DAY:
periodIndx = yyyyMmDd;
case WEEK:
periodIndx = Floor((DaysFromDate(First(yyyyMmDd)) + GetDayOfWeek(First(yyyyMmDd))) / 7);
case MONTH:
periodIndx = RoundDown(yyyyMmDd / 100, 0);
}
def NewDay = CompoundValue(1, periodIndx != periodIndx[1], yes);
def highestDays = TotalSum(NewDay);

rec VolumeSum;
rec MoneySum;
rec volumeVwap2Sum;

if (NewDay) {
VolumeSum = volume;
MoneySum = volume * vwap;
volumeVwap2Sum = volume * Sqr(vwap);
} else {
VolumeSum = CompoundValue(1, VolumeSum[1] + volume, volume);
MoneySum = CompoundValue(1, MoneySum[1] + volume * vwap, volume * vwap);
volumeVwap2Sum = CompoundValue(1, volumeVwap2Sum[1] + volume * Sqr(vwap), volume * Sqr(vwap));
}

def VW = MoneySum / VolumeSum;
def deviation = Sqrt(Max(volumeVwap2Sum / VolumeSum - Sqr(VW), 0));

def slopelength = 5;
def slopelookback = 8;
def slope = ((VW - VW[slopelength]) / slopelength) / close * 100000;

def slopeup = if slope[slopelookback] > 1 then 1 else 0;
def slopedn = if slope[slopelookback] < -1 then 1 else 0;
def nonslope = if !slopeup and !slopedn then 1 else 0;

def v_counter_low = fold index = 1 to 90 with v_tempvar = 0 while v_tempvar == 0 do if low[index] < low then index else 0;
def v_counter_high = fold index2 = 1 to 90 with v_tempvar2 = 0 while v_tempvar2 == 0 do if high[index2] > high then index2 else 0;


plot VWAP;
plot UpperBand_2;
plot LowerBand_2;
plot UpperBand_1;
plot LowerBand_1;
plot OuterBand_H;
plot InnerBand_H;
plot InnerBand_L;
plot OuterBand_L;

if (!errorInAggregation) {
VWAP = VW;
UpperBand_2 = VW + StDev2 * deviation;
LowerBand_2 = VW - StDev2 * deviation;
UpperBand_1 = VW + StDev1 * deviation;
LowerBand_1 = VW - StDev1 * deviation;
OuterBand_H = VW + ((1 + Tolerance_Band_Width) * deviation);
InnerBand_H = VW + ((1 - Tolerance_Band_Width) * deviation);
InnerBand_L = VW - ((1 - Tolerance_Band_Width) * deviation);
OuterBand_L = VW - ((1 + Tolerance_Band_Width) * deviation);
} else {
VWAP = Double.NaN;
UpperBand_2 = Double.NaN;
LowerBand_2 = Double.NaN;
UpperBand_1 = Double.NaN;
LowerBand_1 = Double.NaN;
OuterBand_H = Double.NaN;
InnerBand_H = Double.NaN;
InnerBand_L = Double.NaN;
OuterBand_L = Double.NaN;
}

UpperBand_2.AssignValueColor(if tooearly then Color.DARK_GRAY else if Show_Dev_Signal and slope >= 0 and slopeup then Color.GREEN else Color.GRAY);
UpperBand_2.SetDefaultColor(Color.GRAY);
UpperBand_2.HideBubble();
UpperBand_2.HideTitle();

OuterBand_H.SetDefaultColor(Color.GRAY);
OuterBand_H.HideBubble();
OuterBand_H.HideTitle();
OuterBand_H.SetHiding(!ToleranceTrue);

UpperBand_1.AssignValueColor(if tooearly then Color.DARK_GRAY else Color.WHITE);
UpperBand_1.SetDefaultColor(Color.WHITE);
UpperBand_1.SetStyle(Curve.SHORT_DASH);
UpperBand_1.HideBubble();
UpperBand_1.HideTitle();

InnerBand_H.SetDefaultColor(Color.GRAY);
InnerBand_H.HideBubble();
InnerBand_H.HideTitle();
InnerBand_H.SetHiding(!ToleranceTrue);

VWAP.SetDefaultColor(Color.CYAN);
VWAP.DefineColor("VWAP Ascending", Color.ORANGE);
VWAP.DefineColor("VWAP Descending", Color.MAGENTA);
VWAP.DefineColor("Above VWAP",CreateColor(0,199,145));
VWAP.DefineColor("Below VWAP",Color.DARK_RED);
VWAP.DefineColor("Fast Lane +", Color.CYAN);
VWAP.DefineColor("Fast Lane -",CreateColor(150,0,50));

VWAP.AssignValueColor(if VWAP_Color == VWAP_Color.SlopeSignal and slopeup and slopeup[1] and slopeup[2] and slopeup[3] and slopeup[4] then Color.CYAN
else if VWAP_Color == VWAP_Color.SlopeSignal and slopedn and slopedn[1] and slopedn[2] and slopedn[3] and slopedn[4] then Color.MAGENTA
else if VWAP_Color == VWAP_Color.SlopeBasic and slope > 0 then VWAP.Color("VWAP Ascending")
else if VWAP_Color == VWAP_Color.SlopeBasic and slope <= 0 then VWAP.Color("VWAP Descending")
else if VWAP_Color == VWAP_Color.Single then color.CYAN
else Color.WHITE);

InnerBand_L.SetDefaultColor(Color.GRAY);
InnerBand_L.HideBubble();
InnerBand_L.HideTitle();
InnerBand_L.SetHiding(!ToleranceTrue);

LowerBand_1.AssignValueColor(if tooearly then Color.DARK_GRAY else Color.WHITE);
LowerBand_1.SetDefaultColor(Color.WHITE);
LowerBand_1.SetStyle(Curve.SHORT_DASH);
LowerBand_1.HideBubble();
LowerBand_1.HideTitle();

OuterBand_L.SetDefaultColor(Color.GRAY);
OuterBand_L.HideBubble();
OuterBand_L.HideTitle();
OuterBand_L.SetHiding(!ToleranceTrue);

LowerBand_2.AssignValueColor(if tooearly then Color.DARK_GRAY else if Show_Dev_Signal and slope < 0 and slopedn then Color.RED else Color.GRAY);
LowerBand_2.SetDefaultColor(Color.GRAY);
LowerBand_2.HideBubble();
LowerBand_2.HideTitle();

plot counter_low = if !isNaN(HLBarLength) and v_counter_low > HLBarLength and (between(close,VW-high_low_threshold*deviation,VW+high_low_threshold*deviation) or between(close,VW-(1+high_low_threshold)*deviation,VW-(1-high_low_threshold)*deviation) or between(close,VW+(1-high_low_threshold)*deviation,VW+(1+high_low_threshold)*deviation)) then v_counter_low else Double.NaN;
counter_low.SetPaintingStrategy(paintingstrategy.VALUES_BELOW);
counter_low.SetDefaultColor(color.RED);
counter_low.HideBubble();
counter_low.HideTitle();

plot counter_high = if !isNaN(HLBarLength) and v_counter_high > HLBarLength and (between(close,VW-high_low_threshold*deviation,VW+high_low_threshold*deviation) or between(close,VW-(1+high_low_threshold)*deviation,VW-(1-high_low_threshold)*deviation) or between(close,VW+(1-high_low_threshold)*deviation,VW+(1+high_low_threshold)*deviation)) then v_counter_high else Double.NaN;
counter_high.SetPaintingStrategy(paintingStrategy.VALUES_ABOVE);
counter_high.SetDefaultColor(color.GREEN);
counter_high.HideBubble();
counter_high.HideTitle();

def var_close = if Show_Cloud then close else Double.NaN;
AddCloud(var_close, VW, VWAP.Color("Above VWAP"), VWAP.Color("Below VWAP"));

def var_VWoneup = if Show_Fast_Lane then UpperBand_1 else Double.NaN;
def var_VWonedn = if Show_Fast_Lane then LowerBand_1 else Double.NaN;

AddCloud(close, var_VWoneup, VWAP.Color("Fast Lane +"),color.BLACK);
AddCloud(close, var_VWonedn, Color.BLACK, VWAP.Color("Fast Lane -"));

AddVerticalLine(if GetAggregationPeriod() < AggregationPeriod.DAY and Show_Day_Divider then if GetTime() == Market_Open and !isNaN(close) then yes else if GetTime() <= Market_Open + 60000 and !isNaN(close) and periodIndx != periodIndx[1] then yes else no else no,"",CreateColor(40,40,40),curve.FIRM);
Click to expand...
 
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