VWAP Crosses, Format, Watchlist, Label, Scan for ThinkorSwim

[BenTen]

I wanted to quickly know if the stock price is currently above or below VWAP (Volume Weighted Average Price). One of our developers were able to help me put together a watchlist column that shows just that. Here is what it looks like.

Shared WatchList Link: http://tos.mx/X7jLAge Click here for --> Easiest way to load shared links

Notes:

• Green means price is currently above VWAP
• Red means price is currently below VWAP

thinkScript Code

plot vwap = vwap();
AssignBackgroundColor(if close > vwap then Color.DARK_GREEN else if close < vwap then Color.DARK_RED else Color.Dark_ORANGE);

Credit:

• WalkingBallista

 

[Likos]

@BenTen In your opinion, how does it help determine action decision?

 

[BenTen]

@Likos To me, above VWAP is bullish and below VWAP is bearish.

 

[Likos]

@BenTen Hopefully not to sound confusing, how does that make a definite sure thing buy/sell/hold? So let's say for example it suddenly turns green, is this bullish mode? What does the orange indicate?

 

[BenTen]

@Likos There is no orange on that specific column that was something else. Here is a good article on different ways to trade using VWAP.

 

[San]

@BenTen

@BenTen, Can you clarify this is Script for indicator? After i created the indicator using above script i get full chart Orange color?

 

[BenTen]

@San This is not an indicator. Click Customize on your Watchlist > Custom Quotes > select one of the of the custom column and just paste the code in there.

 

[thinky]

1) What time frame are you using?

2) Can the code be edited to just show Last for indexes like SPX and NDX, instead of NaN?

Thinking about removing Last column to make some space.

Saw your post "https://tos.mx/MREYid this is an Intraday VWAP that also works on Android" and was wondering if there was anything to it (Intraday vs just plain VWAP).

 

[markos]

To learn even more about VWAP, see Brian Shannon, CMT, who wrote a book on it.
https://t.co/Irh2y5lhZa and www.AlphaTrends.net
Also, check out his daily YouTube postings.
@thinky Any timeframe will work, some are just more reliable than others. Check out Brians info above.

@thinky nothing special at all, on my Android. It seems to start from the 2nd day on a one day 5 minute chart or on the 4th day on a 3 day 15 minute chart. I do not know why at this point.
It is a VWAP that happens to work on Android intraday only. That is the way that Mobius built it. BTW, I tried on a 10 day and one hour chart and android showed me 12 days. However, the VWAP did seem to restart every day at the open. It may be buggy, do your Due Diligence. If it doesn't work properly then don't use it.

UPDATE:
I found out where the bug was on android. When using the intraday VWAP on android, you must have "use extended hours" turned ON.

 

[Craighaber71]

Hey guys I'm looking for a watchlist script for a 9EMA cross Vwap..With the background color coded to the up/downside....also plot how many bars ago this happened...I've found many online but not like this...

Thanks

 

[BenTen]

Give this a try

# Price crossing above or below 9 EMA and VWAP
# By BenTen of useThinkScript.com

declare upper;

# Moving Average
input priceMA = close;
input lengthMA = 9;
input displace = 0;
input showBreakoutSignals = yes;
input price = close;

def EMA = ExpAverage(priceMA[-displace], lengthMA);

# VWAP
input numDevDn = -2.0;
input numDevUp = 2.0;
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 priceVWAP = volumeVwapSum / volumeSum;
def deviation = Sqrt(Max(volumeVwap2Sum / volumeSum - Sqr(priceVWAP), 0));

def VWAP = priceVWAP;

def bullish_signal = EMA crosses above priceVWAP;
def bearish_signal = EMA crosses below priceVWAP;

# Plot Signals
plot bullish = bullish_signal;
bullish.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_UP);
bullish.SetDefaultColor(Color.CYAN);
bullish.SetLineWeight(3);

plot bearish = bearish_signal;
bearish.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_DOWN);
bearish.SetDefaultColor(Color.CYAN);
bearish.SetLineWeight(3);

 

[zeek]

Hi guys, one of my long strategies is to look for the 5EMA to reclaim/cross the VWAP to the upside on the 5min chart and was wondering if anyone could code an indicator for this. Preferably, when the cross happens, a label lights up in a strong color and when there is no cross happening, it stays in a grey color.

Can this be done?

 

[horserider]

@zeek See if this works. You can turn off the plots if confirm it is working.

# 5 EMA and VWAP cross. Modified 2 ToS studies and added labels for crosses. By Horserider 7/21/2019

# TD Ameritrade IP Company, Inc. (c) 2011-2019
#

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 = volumeVwapSum / volumeSum;


plot VWAP = price;


# TD Ameritrade IP Company, Inc. (c) 2017-2019
#

input price2 = close;
input length = 5;
input displace = 0;


plot AvgExp = ExpAverage(price2[-displace], length);


AddLabel(yes, "Buy ", if avgexp > vwap then Color.GREEN else color.GRAY);

AddLabel(yes, "Sell", if avgexp < vwap then Color.RED else color.GRAY);

 

[zeek]

Tried this today and it works really well, thanks a lot @horserider

 

[markos]

@horserider you are a valuable help on this site. I appreciate the work you do. Thanks! Markos

 

[horserider]

Great you are welcome. Glad it works.

 

[stocksniper]

Is there is script that sound alerts you when candle crosses over or below vwap on the chart you are currently on. Sometimes you have multiple charts open and it would be nice to get an alert if a stock just touched vwap.

 

[BenTen]

Try this, did it on the go so I have not tested it yet.

def bull_cross = close crosses above VWAP;
def bear_cross = close crosses below VWAP;

# Alerts
Alert(bull_cross, " ", Alert.Bar, Sound.Chimes);
Alert(bear_cross, " ", Alert.Bar, Sound.Bell);

 

[Playstation]

@San This is not an indicator. Click Customize on your Watchlist > Custom Quotes > select one of the of the custom column and just paste the code in there.

Am I doing the right steps? I added this code as a study.
Then go to my watchlist>Custom Quotes. Filled in like this:

No colors on my watchlist though.

 

[wilmanv]

Any VWAP Cross Over Indicator with Moving Average?

Edit: Thanks to all, I thinks that script above resolve my question