Interday Anchored VWAP Zscore.

W

Whistler

New member
I am trying to convert some previously posted thinkscript code for plotting VWAP Z-Score on an intraday chart so that It can calculate and display values anchored to both the 7:00 and 12:30 time periods. I’m having a hard time grasping how thinkscript deals with time values. Can anyone help?

Code: 
# Intraday VWAP Zscore
# Mobius
# 06.10.2019 Chat Room Request

declare lower;
def RTH = GetTime() >= RegularTradingStart(GetYYYYMMDD()) and
          GetTime() <= RegularTradingEnd(GetYYYYMMDD());
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(vwap, ii)) / n;
def StDev = Sqrt((fold iii = 0 to n
                  with sss = 0
                  do sss + Sqr(Avg - getValue(close, iii))) / n);
plot Zscore = (close - VWAP_) / StDev;
plot "0" = if isNaN(close) then double.nan else 0;
"0".SetDefaultColor(Color.white);
plot "1SD" = if isNaN(close) then double.nan else 1;
"1SD".SetDefaultColor(Color.Green);
plot "2SD" = if isNaN(close) then double.nan else 2;
"2SD".SetDefaultColor(Color.Green);
plot "-1SD" = if isNaN(close) then double.nan else -1;
"-1SD".SetDefaultColor(Color.Red);
plot "-2SD" = if isNaN(close) then double.nan else -2;
"-2SD".SetdefaultColor(Color.Red);
AddCloud(0, Zscore, color.red, color.green);
# End Code
 
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Hey!
I have been trying to blend two indicators but am having trouble getting them to work correctly. Thanks for taking the time to open this thread!

I looked around and found many interday studies of the standard deviation from the vwap, but had trouble finding a z score of an anchored vwap. I have been trying to use the VWAP Zscore (which is really intraday) from this thread: https://usethinkscript.com/threads/z-score-distance-from-vwap-for-thinkorswim.602/

Code: 
# Intraday VWAP Zscore
# Mobius
# 06.10.2019 Chat Room Request

declare lower;
def RTH = GetTime() >= RegularTradingStart(GetYYYYMMDD()) and
          GetTime() <= RegularTradingEnd(GetYYYYMMDD());
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(vwap, ii)) / n;
def StDev = Sqrt((fold iii = 0 to n
                  with sss = 0
                  do sss + Sqr(Avg - getValue(close, iii))) / n);
plot Zscore = (close - VWAP_) / StDev;
plot "0" = if isNaN(close) then double.nan else 0;
"0".SetDefaultColor(Color.white);
plot "1SD" = if isNaN(close) then double.nan else 1;
"1SD".SetDefaultColor(Color.Green);
plot "2SD" = if isNaN(close) then double.nan else 2;
"2SD".SetDefaultColor(Color.Green);
plot "-1SD" = if isNaN(close) then double.nan else -1;
"-1SD".SetDefaultColor(Color.Red);
plot "-2SD" = if isNaN(close) then double.nan else -2;
"-2SD".SetdefaultColor(Color.Red);
AddCloud(0, Zscore, color.red, color.green);
# End Code

And to replace the VWAP with an anchored VWAP with adjustable date and time from this thread: https://usethinkscript.com/threads/anchored-vwap-indicator-for-thinkorswim.171/

Code: 
input anchorDate = 20200422;
input anchorTime = 2030;

def tradeStartEST = 0930;
def tradeEndEST = 1600;
def inPeriod = if SecondsTillTime(tradeStartEST) <= 0 and SecondsTillTime(tradeEndEST) > 0 then 1 else 0;

def revisedDate = if SecondsTillTime(anchorTime)<=0 and !inPeriod then anchorDate+1 else if SecondsTillTime(anchorTime)<=0 and inPeriod then anchorDate else anchorDate;

def postAnchorDate = if GetYYYYMMDD() >= revisedDate then 1 else 0;
def postAnchorTime = if SecondsTillTime(anchorTime) <= 0 then 1 else 0;

plot anchoredVWAP = TotalSum(if postAnchorDate and postAnchorTime then ((high+low+close)/3)*(volume) else 0)/TotalSum(if postAnchorDate and postAnchorTime then volume else 0);

anchoredVWAP.setStyle(Curve.Firm);
anchoredVWAP.SetLineWeight(3);
anchoredVWAP.SetDefaultColor(Color.Cyan);

#AddChartBubble(yes,close, revisedDate, color.yellow);

I have tried simply changing out VWAP with achoredVWAP or changing RTH to try to emulate the time change, but I appear to be lost. I just want a lower indicator with an oscillator showing this score of the anchored vwap but the math and different codes have me a bit turned around. I would be extremely grateful for anyone's help or input! Thanks!
 
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I'm sorry, I don't have an answer to your question but I do have a question you might be able to help me with. I'm trying to add a custom study one of my scans. I want it to scan for stocks trading no less than -1 standard deviation from VWAP. Have you come across any scans that have just this code without all the extra stuff that you're adding in? Thanks for the help!
 
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As you are setting up the scan in TOS, add a study filter. Under popular scans is the VWAP scan. You need to specify the time period VWAP you are looking at, but you can enter less than -1 as the criteria and it should work.
 
Upvote 0 Downvote
megazord said:
Hey!
I have been trying to blend two indicators but am having trouble getting them to work correctly. Thanks for taking the time to open this thread!

I looked around and found many interday studies of the standard deviation from the vwap, but had trouble finding a z score of an anchored vwap. I have been trying to use the VWAP Zscore (which is really intraday) from this thread: https://usethinkscript.com/threads/z-score-distance-from-vwap-for-thinkorswim.602/

Code: 
# Intraday VWAP Zscore
# Mobius
# 06.10.2019 Chat Room Request

declare lower;
def RTH = GetTime() >= RegularTradingStart(GetYYYYMMDD()) and
          GetTime() <= RegularTradingEnd(GetYYYYMMDD());
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(vwap, ii)) / n;
def StDev = Sqrt((fold iii = 0 to n
                  with sss = 0
                  do sss + Sqr(Avg - getValue(close, iii))) / n);
plot Zscore = (close - VWAP_) / StDev;
plot "0" = if isNaN(close) then double.nan else 0;
"0".SetDefaultColor(Color.white);
plot "1SD" = if isNaN(close) then double.nan else 1;
"1SD".SetDefaultColor(Color.Green);
plot "2SD" = if isNaN(close) then double.nan else 2;
"2SD".SetDefaultColor(Color.Green);
plot "-1SD" = if isNaN(close) then double.nan else -1;
"-1SD".SetDefaultColor(Color.Red);
plot "-2SD" = if isNaN(close) then double.nan else -2;
"-2SD".SetdefaultColor(Color.Red);
AddCloud(0, Zscore, color.red, color.green);
# End Code

And to replace the VWAP with an anchored VWAP with adjustable date and time from this thread: https://usethinkscript.com/threads/anchored-vwap-indicator-for-thinkorswim.171/

Code: 
input anchorDate = 20200422;
input anchorTime = 2030;

def tradeStartEST = 0930;
def tradeEndEST = 1600;
def inPeriod = if SecondsTillTime(tradeStartEST) <= 0 and SecondsTillTime(tradeEndEST) > 0 then 1 else 0;

def revisedDate = if SecondsTillTime(anchorTime)<=0 and !inPeriod then anchorDate+1 else if SecondsTillTime(anchorTime)<=0 and inPeriod then anchorDate else anchorDate;

def postAnchorDate = if GetYYYYMMDD() >= revisedDate then 1 else 0;
def postAnchorTime = if SecondsTillTime(anchorTime) <= 0 then 1 else 0;

plot anchoredVWAP = TotalSum(if postAnchorDate and postAnchorTime then ((high+low+close)/3)*(volume) else 0)/TotalSum(if postAnchorDate and postAnchorTime then volume else 0);

anchoredVWAP.setStyle(Curve.Firm);
anchoredVWAP.SetLineWeight(3);
anchoredVWAP.SetDefaultColor(Color.Cyan);

#AddChartBubble(yes,close, revisedDate, color.yellow);

I have tried simply changing out VWAP with achoredVWAP or changing RTH to try to emulate the time change, but I appear to be lost. I just want a lower indicator with an oscillator showing this score of the anchored vwap but the math and different codes have me a bit turned around. I would be extremely grateful for anyone's help or input! Thanks!
Click to expand...
can you make the Intraday VWAP Zscore an upper study? can "xSD" lines be shown on the price as upper study
 
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majidg said:
can you make the Intraday VWAP Zscore an upper study? can "xSD" lines be shown on the price as upper study
Click to expand...

If your question is: "Can you SIMPLY scale the vwapZscore standard deviations to price?"
The answer is: "No". The vwapZscore is apples and the price on the upper chart is oranges. They have nothing in common upon which to correspond their plots and scale.
 
Last edited:
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