#-----------------------------
def na = double.nan;
def bn = barnumber();
input percent_of_candle_above_vwap = 60;
def isup = close > open;
def isdwn = close < open;
# VWAP
# TD Ameritrade IP Company, Inc. (c) 2011-2023
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 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(0));
#UpperBand.setDefaultColor(getColor(2));
#LowerBand.setDefaultColor(getColor(4));
#---------------------------
def crossvwap = (high >= vwap and low <= vwap);
def rng = high - low;
def perabove = round(100*(high-vwap)/rng,1);
def isabove = (perabove >= percent_of_candle_above_vwap);
plot zup = if crossvwap and isabove then low*0.999 else na;
zup.SetPaintingStrategy(PaintingStrategy.ARROW_UP);
zup.SetDefaultColor(Color.green);
zup.setlineweight(3);
zup.hidebubble();
input test_bubble = no;
addchartbubble(test_bubble, low,
perabove + "\n" +
percent_of_candle_above_vwap
, (if crossvwap and isabove then color.green
else if crossvwap then color.yellow
else color.gray), no);
#