Intraday VWAP Reversion Indicator for ThinkorSwim

[BenTen]

Mean reversion strategy which lets you set a VWAP length, ATR length - then creates signal when distance closing price from VWAP is greater than ATR x a multiplier which you set

I would suggest using this on intraday chart only. Timeframes between 5m to 15m would work. But feel free to test it out on your own and choose what's best for you.

thinkScript Code

# VWAP ATR mean reeeeeeeeee
# Assembled by BenTen at useThinkScript.com
# Converted from https://www.tradingview.com/script/eZ3GJvsP-VWAP-ATR-mean-reeeeeeeeee/

## calculate period-based VWAP

input cumulativePeriod = 24;

def typicalPrice = (high + low + close) / 3;
def typicalPriceVolume = typicalPrice * volume;
def cumulativeTypicalPriceVolume = sum(typicalPriceVolume, cumulativePeriod);
def cumulativeVolume = sum(volume, cumulativePeriod);
def vwapValue = cumulativeTypicalPriceVolume / cumulativeVolume;

## set criteria for ATR distance from VWAP

input trulength = 12;  # ATR Length
def vwop = vwapValue;
def tru = atr(trulength);

input ATRMulti = 4; # ATR Multiple
def long = (vwop-close) > tru* ATRMulti;
def short = (close-vwop) > tru* ATRMulti;

plot buy = long;
buy.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_UP);
buy.AssignValueColor(color.green);
plot sell = short;
sell.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_DOWN);
sell.AssignValueColor(color.red);

 

[yman]

@BenTen is there any way to turn this into a scanner also is there any scanner when price touches yesterday vwap for reversal play?

 

[skyler1101]

@BenTen I have no idea why but any time copy your script or even follow a direct link I can't get them to work on my think or swim.... I've grabbed a few other peoples on here they work great I have no idea why yours won't show up for me is there something I'm doing wrong or any suggestions ? I really wanted your trend reversal to work can't get it tried this VWAP same thing won't work

 

[BenTen]

@skyler1101 Can you post a screenshot of the error message?

 

[BenTen]

@yman You should be able to run this indicator using the default Scan feature in ToS. Watch the video in this thread if you need help: https://usethinkscript.com/threads/how-to-use-the-tos-scanner.284/

 

[DaGekko]

Do these signals lag or repaint?

 

[BenTen]

@DaGekko I don't think so.

 

[inthefutures]

interesting study, Question, if running on a intra day time frame why have a look back on the vwap other than the days start?

 

[BenTen]

@inthefutures Good question, I just converted it based on the original script from TradingView. Do you recommend a different setting?

 

[inthefutures]

i set mine to RTH open, and or to new swing high or swing low

 

[hectorgasm]

@BenTen does it repaint?

 

[BenTen]

@hectorgasm I don't think so.

 

[jkruse]

@BenTen For some reason I cannot get the arrows to display. I copied the script and I see the code in there for the arrows but they do not display. Thanks

 

[MerryDay]

@BenTen For some reason I cannot get the arrows to display. I copied the script and I see the code in there for the arrows but they do not display. Thanks

The green up arrow is a rare unicorn. Red arrows are also rare, just not as rare. You should be able to find them on all timeframes, if you load enough history.

If you want to ensure that you loaded the study correctly.
Look at $BRO on the 5D5m chart. You should see these down arrows:

 

[Nari2007]

I would suggest using this on intraday chart only. Timeframes between 5m to 15m would work. But feel free to test it out on your own and choose what's best for you.

thinkScript Code

# VWAP ATR mean reeeeeeeeee
# Assembled by BenTen at useThinkScript.com
# Converted from https://www.tradingview.com/script/eZ3GJvsP-VWAP-ATR-mean-reeeeeeeeee/

## calculate period-based VWAP

input cumulativePeriod = 24;

def typicalPrice = (high + low + close) / 3;
def typicalPriceVolume = typicalPrice * volume;
def cumulativeTypicalPriceVolume = sum(typicalPriceVolume, cumulativePeriod);
def cumulativeVolume = sum(volume, cumulativePeriod);
def vwapValue = cumulativeTypicalPriceVolume / cumulativeVolume;

## set criteria for ATR distance from VWAP

input trulength = 12;  # ATR Length
def vwop = vwapValue;
def tru = atr(trulength);

input ATRMulti = 4; # ATR Multiple
def long = (vwop-close) > tru* ATRMulti;
def short = (close-vwop) > tru* ATRMulti;

plot buy = long;
buy.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_UP);
buy.AssignValueColor(color.green);
plot sell = short;
sell.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_DOWN);
sell.AssignValueColor(color.red);

Are these signals basically when it bounces off vwap?

 

[samport]

@Nari2007
This is not plotting an arrow triggered by a bounce off VWAP. The arrow, as I understand it, is plotting once the close has reached a distance from the volume weighted average price that is equal to a multiple of the average true range that you specify.