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input numDevDn = -2.0;
input numDevUp = 2.0;
input timeFrame = {default TWO_DAY, DAY, THREE_DAY,WEEK, MONTH};
input showbubbles = yes;
input bubbleoffset = 2;
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 TWO_DAY:
periodIndx = Floor((daysFromDate(first(yyyyMmDd)) + getDayOfWeek(first(yyyyMmDd))) / 2);
case THREE_DAY:
periodIndx = Floor((daysFromDate(first(yyyyMmDd)) + getDayOfWeek(first(yyyyMmDd))) / 3);
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;
def deviation = Sqrt(Max(volumeVwap2Sum / volumeSum - Sqr(price), 0));
plot VWAP = price;
#plot UpperBand = price + numDevUp * deviation;
#plot LowerBand = price + numDevDn * deviation;
VWAP.setDefaultColor(getColor(6));
#UpperBand.setDefaultColor(getColor(2));
#LowerBand.setDefaultColor(getColor(4));
####Bubbles
def n = BubbleOffset;
def n1 = n + 1;
AddChartBubble(showbubbles and IsNaN(close[n]) and !IsNaN(close[n1]) , price[n1] , "VWAP 2D: " + Round(price[n1] , 2), Color.GREEN);did you find the solution? am also looking for something similar, floating VWAP for 1D 2D and 3D
Ruby:input days = 3; def ymd = GetYYYYMMDD(); def ok = !IsNaN(close); def capture = ok and ymd != ymd[1]; def dayCount = CompoundValue(1, if capture then dayCount[1] + 1 else dayCount[1], 0); def thisDay = (HighestAll(dayCount) - dayCount) + 1; #hint:Plots the deviation channels based on the price-times-volume consideration. This may be called the dispersion of price-volume data. #VM_MIDAS_StandartDeviationBands coded by Growex; def Data = BarNumber();#Barnumber at the bar being calculated def Start_Bar = if thisday[1]==days+1 and thisday==days then barnumber() else start_bar[1]; input price = close; def Start_Cond = Data >= highestall(Start_Bar);#If true plotting is happening def Price_x_Vol = if Start_Cond then Price_x_Vol[1] + price * volume else 0;#Cumulative Price times Volume def cumvolume = if Start_Cond then cumvolume[1] + volume else 0;# Cumulative volume plot Equiv_price = Price_x_Vol / cumvolume;# The equivalent price def bars = data - Start_Bar; def sample = if Start_Cond then sample[1] + sqr(price - Equiv_price) else 0;# Sum of the Square-Root of difference between the current price and the equivalent price. This also may be called the statistical total variance def var = sample/bars;# Variance per bar def dev = sqrt(var);# By statistical-definition, the standard deviation (SD) equals the square root of the variance plot UBand = Equiv_price + dev;# The 1-deviation upper band plot LBand = Equiv_price - dev;# The 1-deviation lower band plot UBand2 = Equiv_price + 2 * dev;# The 2-deviation upper band plot LBand2 = Equiv_price - 2 * dev;# The 2-deviation lower band plot UBand3 = Equiv_price + 3 * dev;# The 3-deviation upper band plot LBand3 = Equiv_price - 3 * dev;# The 1-deviation lower band #end
Are you using the @SleepyZ script in the post above yours?
I am using HorseRiders
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