Deviation Scaled VWAP with Fractal Energy for ThinkorSwim

[Billions]

@Billions - Did the same for me but it works if you copy https://tos.mx/kmDkwon and then paste in the "Open Shared Item" tab.

K got it thanks

 

[Billions]

@mc01439 Thank you working great awesome! Thanks for all your help!

 

[Billions]

@Billions - Did the same for me but it works if you copy https://tos.mx/kmDkwon and then paste in the "Open Shared Item" tab.

@mc01439 Sorry to bother you do you have any rules you follow with this as far as entry and exit? Thank you!

 

[novadolla]

@horserider Thank you for this, as well as all of your contributions. I was actually able to use this on the daily chart, with great success. Combined with TMO, im buying when price is above and selling when price is below

 

[MagicQuotes]

@markos The length was based on what best fit my likes. Looking for a smoother curve catching trends that skipped some of the small retraces.
As noted in the header adapted from DSMA which uses Ehlers filter.

@mc01439 Hope it works for you. Any tweaks let me know please.

I was a bit surprised more people did not have an interest. Seems to me to be a simple straightforward indicator. Maybe it is too simple and not full of lines and arrows.

Interesting approach, I am downloading and examining it.

Not sure. What are you alerting?

Interesting approach to VWAP. I am downloading it into TOS and will be examining it. Thanks for your creativity and energy

 

[MagicQuotes]

For VWAP and Fractual Energy fans. Deviation scaled MA of the VWAP. You can adjust the length to fit your trading. The fractual energy is added as a coloring of the plot line. The FE does not give an indication of direction. It shows energy of the trend. Magenta is an exhaustion in the trend
(below .382). Cyan is a compression or squeeze ( above .618) and may hint a breakout one way or the other may occur.

# Deviation Scaled VWAP with Fractual Energy Coloring.

# Adapted from ToS DSMA

# Mobius FE added with two choices of coloring in the code,

# < > .5

# and > .618 between and below .382

#

# Horserider 12/1/2019


input length = 55;


def zeros = vwap - vwap[2];

def filter = reference EhlersSuperSmootherFilter(price = zeros, "cutoff length" = 0.5 * length);

def rms = Sqrt(Average(Sqr(filter), length));

def scaledFilter = filter / rms;

def alpha = 5 * AbsValue(scaledFilter) / length;

def deviationScaledVWAP = CompoundValue(1, alpha * vwap + (1 - alpha) * deviationScaledVWAP[1], vwap);



#Inputs:

input nFE = 8;#hint nFE: length for Fractal Energy calculation.

input AlertOn = no;

input Glength  = 13;

input betaDev =  8;

input data = close;


def w = (2 * Double.Pi / Glength);

def beta = (1 - Cos(w)) / (Power(1.414, 2.0 / betaDev) - 1 );

def alphafe = (-beta + Sqrt(beta * beta + 2 * beta));

def Go = Power(alphafe, 4) * open +

             4 * (1 – alphafe) * Go[1] – 6 * Power( 1 - alphafe, 2 ) * Go[2] +

             4 * Power( 1 - alphafe, 3 ) * Go[3] - Power( 1 - alphafe, 4 ) * Go[4];

def Gh = Power(alphafe, 4) * high +

             4 * (1 – alphafe) * Gh[1] – 6 * Power( 1 - alphafe, 2 ) * Gh[2] +

             4 * Power( 1 - alphafe, 3 ) * Gh[3] - Power( 1 - alphafe, 4 ) * Gh[4];

def Gl = Power(alphafe, 4) * low +

             4 * (1 – alphafe) * Gl[1] – 6 * Power( 1 - alphafe, 2 ) * Gl[2] +

             4 * Power( 1 - alphafe, 3 ) * Gl[3] - Power( 1 - alphafe, 4 ) * Gl[4];

def Gc = Power(alphafe, 4) * data +

             4 * (1 – alphafe) * Gc[1] – 6 * Power( 1 - alphafe, 2 ) * Gc[2] +

             4 * Power( 1 - alphafe, 3 ) * Gc[3] - Power( 1 - alphafe, 4 ) * Gc[4];

# Variables:

def o;

def h;

def l;

def c;

def CU1;

def CU2;

def CU;

def CD1;

def CD2;

def CD;

def L0;

def L1;

def L2;

def L3;




# Calculations

o = (Go + Gc[1]) / 2;

h = Max(Gh, Gc[1]);

l = Min(Gl, Gc[1]);

c = (o + h + l + Gc) / 4;

def gamma = Log(Sum((Max(Gh, Gc[1]) - Min(Gl, Gc[1])), nFE) /

        (Highest(Gh, nFE) - Lowest(Gl, nFE)))

            / Log(nFE);


L0 = (1 – gamma) * Gc + gamma * L0[1];

L1 = -gamma * L0 + L0[1] + gamma * L1[1];

L2 = -gamma * L1 + L1[1] + gamma * L2[1];

L3 = -gamma * L2 + L2[1] + gamma * L3[1];

if L0 >= L1

then {

    CU1 = L0 - L1;

    CD1 = 0;

} else {

    CD1 = L1 - L0;

    CU1 = 0;

}

if L1 >= L2

then {

    CU2 = CU1 + L1 - L2;

    CD2 = CD1;

} else {

    CD2 = CD1 + L2 - L1;

    CU2 = CU1;

}

if L2 >= L3

then {

    CU = CU2 + L2 - L3;

    CD = CD2;

} else {

    CU = CU2;

    CD = CD2 + L3 - L2;

}


plot DSVWAP = deviationScaledVWAP;

#DSVWAP.SetDefaultColor(GetColor(1));


#DSVWAP.DefineColor("Up", GetColor(1));

#DSVWAP.DefineColor("Down", GetColor(0));

#DSVWAP.AssignValueColor(if gamma < .5 then DSVWAP.Color("Down") else DSVWAP.Color("Up"));



DSVWAP.AssignValueColor(if gamma > .618  then Color.CYAN else

if gamma < .382   then Color.MAGENTA else Color.WHite);

Ehlers work is exellent. Adding the VWAP to it is an enhancement: { It offers an alternative to ratio based Bayerism assumption of equally based ranked ratio system. Suggest you add the Ehlers median based DistantCoefficientFilter to a chart as an overlay.. It is a technique for finding the weigthed mov ave of the Median price, thereby showing the internal tension as the moving average occillates.} Engineers use such techniques in addition to Rate of Change with Bands to extract the positive and negative squared error of the means of any moving vector.. Once you grasp the significance of this it gives you an additional insight into the actual auction- price discovery process. Also Horserider, I have seen you before and am grateful for your diligence and work ethic. I have used this indicator and a series of similar ones as well. I commend your work ethic and generosity. Best wishes and Happy Holidays