POC Skew lower study- Help finishing a code

Prison Mike

Member
I have been learning a lot about auction theory, volume profile, value areas and use POC plots when I am trading on my phone. In my "studies" SKEW has come up as a way to give context to an average. My strategy has been plotting weekly and previous day's POC, HVA and LVA and monitoring how price reacts.

I thought I would add some context to POC by coding a simple SKEW lower study that could be seen on my phone so I went about chopping up the Volume Profile indicator and adding the SKEW formula at the end...and something isn't right....

One skew formula states:
Skew = ((3*(mean - median)) / Standard Deviation);


Code:
input pricePerRowHeightMode = {default AUTOMATIC, TICKSIZE, CUSTOM};
input customRowHeight = 1.0;
input timePerProfile = {default month, MINUTE, HOUR, DAY, WEEK, chart, "OPT EXP", BAR};
input multiplier = 1;
input onExpansion = no;
input profiles = 1000;
input showPointOfControl = yes;
input showValueArea = no;
input valueAreaPercent = 70;


def period;
def yyyymmdd = GetYYYYMMDD();
def seconds = SecondsFromTime(0);
def month = GetYear() * 12 + GetMonth();
def day_number = DaysFromDate(First(yyyymmdd)) + GetDayOfWeek(First(yyyymmdd));
def dom = GetDayOfMonth(yyyymmdd);
def dow = GetDayOfWeek(yyyymmdd - dom + 1);
def expthismonth = (if dow > 5 then 27 else 20) - dow;
def exp_opt = month + (dom > expthismonth);
switch (timePerProfile) {
case CHART:
    period = 0;
case MINUTE:
    period = Floor(seconds / 60 + day_number * 24 * 60);
case HOUR:
    period = Floor(seconds / 3600 + day_number * 24);
case DAY:
    period = CountTradingDays(Min(First(yyyymmdd), yyyymmdd), yyyymmdd) - 1;
case WEEK:
    period = Floor(day_number / 7);
case MONTH:
    period = Floor(month - First(month));
case "OPT EXP":
    period = exp_opt - First(exp_opt);
case BAR:
    period = BarNumber() - 1;
}

def count = CompoundValue(1, if period != period[1] then (count[1] + period - period[1]) % multiplier else count[1], 0);
def cond = count < count[1] + period - period[1];
def height;
switch (pricePerRowHeightMode) {
case AUTOMATIC:
    height = PricePerRow.AUTOMATIC;
case TICKSIZE:
    height = PricePerRow.TICKSIZE;
case CUSTOM:
    height = customRowHeight;
}

profile vol = VolumeProfile("startNewProfile" = cond, "onExpansion" = onExpansion, "numberOfProfiles" = profiles, "pricePerRow" = height, "value area percent" = valueAreaPercent);
def con = CompoundValue(1, onExpansion, no);
def pc = if IsNaN(vol.GetPointOfControl()) and con then pc[1] else vol.GetPointOfControl();
def hVA = if IsNaN(vol.GetHighestValueArea()) and con then hVA[1] else vol.GetHighestValueArea();
def lVA = if IsNaN(vol.GetLowestValueArea()) and con then lVA[1] else vol.GetLowestValueArea();

def hProfile = if IsNaN(vol.GetHighest()) and con then hProfile[1] else vol.GetHighest();
def lProfile = if IsNaN(vol.GetLowest()) and con then lProfile[1] else vol.GetLowest();
def plotsDomain = IsNaN(close) == onExpansion;


def POC = if plotsDomain then pc else Double.NaN;
def VAHigh = if plotsDomain then hVA else Double.NaN;
def VALow = if plotsDomain then lVA else Double.NaN;


#skew
declare lower;
declare zerobase;

input skewlength = 5;
plot mean = Average (POC, skewlength);
plot med = median(POC, skewlength);
plot SD = StDev(POC, skewlength);

plot skew = ((3*(mean - med)) / SD);

First, does the math look right? I'm now thinking the skew should be related to value areas rather than point of control?
Second, when only "skew" is plotted the scale is way off. Maybe bc of the volume profile code messing it up but skew values should be from 0-2, much like a put/call ratio

On another note maybe other applications of skew could be trend strength, or a weighted moving average.
 

Prison Mike

Member
Getting a little more clarity as I research.

Skew should be plot skew= poc-valow/vahigh-poc;

Skill having scaling issues and unfortunately the skew is just one data point/ length that is influenced by the input timePerProfile. Im sure this is easy for someone but working on making it compounding.

Some other stuff I added but doesn't do much still lol

input slength= 1;
declare lower;

plot skew= poc-valow/vahigh-poc;
plot deviation = standardDeviation(poc / slength);
plot UpperBand = skew * deviation+ vahigh;
plot LowerBand = skew * deviation + valow;

addlabel(yes,skew);
addlabel(yes,deviation);
addlabel(yes,UpperBand);
addlabel(yes,LowerBand);
 
Last edited:

greentonic

New member
Code:
#VOLUME AT PRICE HINT: This study plots volume that occured at different prices.  For example, if timePerProfile of CHART is selected then net total volume of the horizontal volume-by-price will be equal to the net total volume of the vertical volume bars under the chart.\n\n Use horizontal volume-by-price to find areas of hidden support/resistance by noticing prices where largest volume occured.\n.


input pricePerRowHeightMode = {default AUTOMATIC, TICKSIZE, CUSTOM};
input customRowHeight = 1.0;
input timePerProfile = {default CHART, MINUTE, HOUR, DAY, WEEK, MONTH, "OPT EXP", BAR}; #HINT timePerProfile: If onExpansion is set to no, select CHART to have horizontal volume-by-price include all volume for entire chart. Or select an aggregation period to show horizontal volume-by-price include only total volume for that time period (for example select MONTH to show only 1 month of volume on aa 1-year daily chart)
input onExpansion = no; #HINT onExpansion: no will plot horizontal volume-by-price bars under the chart bars/candles.  onExpansion yes will plot in the extra space to right of the chart.
input opacity = 20; #HINT opacity: If onExpansion is set to no, DECREASE the opacity number to make price bars/candles easier to see on top of the horizontal volume-by-price bars
input profiles = 1000; #HINT profiles: The numberOfProfiles parameter defines the number of profiles to be displayed if onExpansion is set to no. If onExpansion is set to yes then this parameter is ignored and only one profile is shown.
input multiplier = 1;


def period;
def yyyymmdd = getYyyyMmDd();
def seconds = secondsFromTime(0);
def month = getYear() * 12 + getMonth();
def day_number = daysFromDate(first(yyyymmdd)) + getDayOfWeek(first(yyyymmdd));
def dom = getDayOfMonth(yyyymmdd);
def dow = getDayOfWeek(yyyymmdd - dom + 1);
def expthismonth = (if dow > 5 then 27 else 20) - dow;
def exp_opt = month + (dom > expthismonth);
switch (timePerProfile) {
case CHART:
    period = 0;
case MINUTE:
    period = floor(seconds / 60 + day_number * 24 * 60);
case HOUR:
    period = floor(seconds / 3600 + day_number * 24);
case DAY:
    period = countTradingDays(min(first(yyyymmdd), yyyymmdd), yyyymmdd) - 1;
case WEEK:
    period = floor(day_number / 7);
case MONTH:
    period = floor(month - first(month));
case "OPT EXP":
    period = exp_opt - first(exp_opt);
case BAR:
    period = barNumber() - 1;
}

def count = CompoundValue(1, if period != period[1] then (count[1] + period - period[1]) % multiplier else count[1], 0);
def cond = count < count[1] + period - period[1];
def height;
switch (pricePerRowHeightMode) {
case AUTOMATIC:
    height = PricePerRow.AUTOMATIC;
case TICKSIZE:
    height = PricePerRow.TICKSIZE;
case CUSTOM:
    height = customRowHeight;
}

profile volumeByPrice = volumeProfile("startNewProfile" = cond, "onExpansion" = onExpansion, "numberOfProfiles" = profiles, "pricePerRow" = height);

DefineGlobalColor("Profile", color.CYAN);

volumeByPrice.show(globalColor("Profile"), color.CURRENT, color.CURRENT, opacity);
 

shawntrader05

New member
Hey could do you help me? I have a script that looks at the initial balance for any security and I am trying to find a way for the script to show me plots of previous day IB's? thanks!

Code:
input opentime = 0930;
input ORend = 1000;
input opacity = .7;
def na = Double.NaN;
#
# Check if the opening range time is now
#
def ORActive = if GetLastDay() == GetDay() and SecondsFromTime(opentime) >= 0 and SecondsFromTime(ORend) <
0 then 1 else 0;
#
# Track the OR high and low
#
def ORHigh = if ORActive then high else na;
def ORLow = if ORActive then low else na;
#
# Plot the OR high and low
#
plot ORAH = if GetLastDay() != GetDay() or !ORActive then na else HighestAll(ORHigh);
plot ORAL = if GetLastDay() != GetDay() or !ORActive then na else LowestAll(ORLow);
plot ORH = if GetLastDay() != GetDay() or SecondsFromTime(ORend) < 0 then na else HighestAll(ORHigh);
plot ORL = if GetLastDay() != GetDay() or SecondsFromTime(ORend) < 0 then na else LowestAll(ORLow);
#
# Formatting
#

ORAH.SetStyle(Curve.SHORT_DASH);
ORAL.SetStyle(Curve.SHORT_DASH);
ORAH.SetDefaultColor(Color.GREEN);
ORAL.SetDefaultColor(Color.RED);
ORH.SetStyle(Curve.SHORT_DASH);
ORL.SetStyle(Curve.SHORT_DASH);
ORH.SetDefaultColor(Color.GREEN);
ORL.SetDefaultColor(Color.RED);
#
# Add Cloud creates the shading
#

#
# Alerts:

#
def alerttrigger = if (high >= ORH and low <= ORH) or (high >= ORL and low <= ORL) then 1 else 0; #replace the 1 with


input alerttext = "OR Breakout!";
input UseAlerts = {false, default true};
input AlertType = {default "BAR", "ONCE", "TICK"};
def at = AlertType;
input AlertSound = {"Bell", "Chimes", default "Ding", "NoSound", "Ring"};
Alert(alerttrigger and UseAlerts, alerttext, if at == 1 then Alert.ONCE else if at == 2 then Alert.TICK else Alert.BAR,
AlertSound);
 
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