VWAP Crosses, Format, Watchlist, Label, Scan for ThinkorSwim

[BenTen]

@pga0008 VWAP line remains the same regardless of which timeframe you go to. Entirely up to you.

 

[MoneyMaker]

Hello, I'm trying to use this script as a scanner. Is that possible? I have it added to my studies but it is not an option in my scanner. Will this work or is it not possible?

 

[BenTen]

@MoneyMaker Take a look at the video in this thread: https://usethinkscript.com/threads/how-to-use-the-tos-scanner.284/

 

[MoneyMaker]

Perfect! Thank you!

 

[vro3]

I know it's here.
I'm using two new strategies - 34 / VWAP / 200 and the SMA8 / VWMA34. Somewhere I've seen ways to get alerts or having some sort of feedback when 8 crosses 34. or when the stock crosses the 34 on the first... cant find it here. what am I doing wrong? thanks!

 

[Pensar]

@vro3 the standard formula for an alert is Alert(your condition here, "your text here", alert.bar, sound.chimes);. You can adjust the alert type and sound as well - see https://tlc.thinkorswim.com/center/reference/thinkScript/Functions/Others/Alert.

To write your crossover condition, you can use a method such as crosses above or crosses below. If you need help, post your code here.

 

[C4men]

@BenTen is there a way to do this same thing for the upper band?

I typically see very bullish activity above the VWAP Upper line when set to 1 SD.

Hopeful this is an easy edit!!!

Wait - I think I figured it out!

plot VWAPUB1 = reference VWAP("num dev up" = 1.0)."UpperBand";

AssignBackgroundColor(if close > VWAPUB1 then Color.DARK_GREEN else if close < VWAPUB1 then Color.DARK_RED else Color.Dark_ORANGE);

Nope, I lied - I am still missing something...

 

[BenTen]

@C4men Try this one:

#
# TD Ameritrade IP Company, Inc. (c) 2011-2020
#

input numDevDn = -1.0;
input numDevUp = 1.0;
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));

def VWAP = price;
plot UpperBand = price + numDevUp * deviation;
#plot LowerBand = price + numDevDn * deviation;

AssignBackgroundColor(if close > UpperBand then Color.DARK_GREEN else Color.Gray);

 

[C4men]

Thanks @BenTen!

I am pretty close, wondering if I might ask one more favor. I am trying to color it based on 4 different "conditions", but when I put in this code at the bottom, the colors don't always match the reality on the chart.

Above the Upper = Strong Bull
Between Upper and VWAP = Bullish
Between VWAP and Lower = Bear
Below the Lower = Strong Bearish

I typically trade on the 5 min chart - if that makes a difference - and price crossing above the VWAP Upper at 1 StDev has been a good signal.

Can you take a look and tell me what I am missing (Note: I replace UpperBand with VWAP_Upper)?

def VWAP_Upper = price + numDevUp * deviation;
def VWAP_Lower = price + numDevDn * deviation;

def VWAP_StrongBull = close > VWAP_Upper;
def VWAP_Bull = close < VWAP_Upper and close > price;
def VWAP_Bear = close > VWAP_Lower and close < price;
def VWAP_StrongBear = close < VWAP_Lower;

plot VWAP_Num = if VWAP_StrongBull is true then 2 else if VWAP_Bull is true then 1 else if VWAP_Bear is true then -1 else if VWAP_StrongBear is true then -2 else 0;

AssignBackgroundColor(if VWAP_Num == 2 then Color.DARK_GREEN else if VWAP_Num == 1 then color.GREEN else if VWAP_Num == -1 then color.RED else if VWAP_Num == -2 then Color.Dark_Red else Color.White);

Edit: I'm an ***** - I think setting the timeframe in the watchlist code editor to '5 min' did the trick (maybe).

 

[HighBredCloud]

@Bung Bang A scan code that looks for EMA(9) crossing VWAP can be simply coded as follows. If you want this to lookback 2 bars, just change the value of the variable lookback to 2. Be default it is set to 0, which means it looks at the current bar.

def lookback = 0;
def EMA = ExpAverage(close, 9);
def vwapValue = VWAP()[lookback];

plot scan = EMA crosses vwapValue;

Any competent coder can write a scan for the EMA to cross over lower VWAP line as well as the upper? Perhaps include all 3 VWAP lines so that you can choose which one you want to scan for in one scan by commenting out the rest? Also include both BULL/BEAR scans?

I was testing this out 9 EMA crossing VWAP and its very interesting on a 5 min timeframe...but it does not work good on higher timeframes as the 9 EMA crossover VWAP hits much later...,however, IF the scans that I mentioned above could be created on a higher timeframes such as 15min and up could work very well IF the EMA crossed over lower VWAP line when going LONG and vice versa when SHORTING.

Thanks in advance.

 

[C4men]

Hey everyone,

I tried repurposing some existing code, but fall short when it comes to the watchlist column.

Trying to have a column that turns green if the plot - an EMA crossing above VWAP Upper Band at 1.0 SD - is true within X bars.

Maybe I am missing a lookback? Or the code to color the column is wrong? Any thoughts?

Note: I am on a 10min chart.

input numDevDn = -1.0;
input numDevUp = 1.0;
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));

def VWAP = price;

def VWAP_Upper = price + numDevUp * deviation;
def VWAP_Lower = price + numDevDn * deviation;

def SignalEMA = movAvgExponential (3);

def VWAP_StrongBull = SignalEMA crosses above VWAP_Upper within 5 bars;

plot VWAP_Num = if VWAP_StrongBull is true then 2 else 0;

AssignBackgroundColor(if VWAP_Num == 2 then Color.BLUE else Color.Black);

 

[BenTen]

@C4men Try this:

# EMA crossing above Upper VWAP Band Watchlist Column
# By BenTen of useThinkScript.com

declare upper;

# Moving Average
input priceMA = close;
input lengthMA = 9;
input displace = 0;
input showBreakoutSignals = yes;
input price = close;

def EMA = ExpAverage(priceMA[-displace], lengthMA);

# VWAP
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 priceVWAP = volumeVwapSum / volumeSum;
def deviation = Sqrt(Max(volumeVwap2Sum / volumeSum - Sqr(priceVWAP), 0));

def VWAP = priceVWAP;
def UpperBand = priceVWAP + numDevUp * deviation;
#plot LowerBand = priceVWAP + numDevDn * deviation;

def bullish_signal = EMA crosses above UpperBand;
#def bearish_signal = EMA crosses below priceVWAP;

# Plot Signals
plot bullish = bullish_signal;

AssignBackgroundColor(if bullish then color.dark_green else color.gray);

We're using the 9 EMA in the code. Make sure to change it.

 

[C4men]

@BenTen Like a charm. Thank you sir!

 

[AssassinAR15]

Good afternoon. @BenTen

Hmmm....how to explain this.
I am looking for a scan that will show me around 5 minutes before the potential moment when the vWAP and EMA9 cross. The scanner I have in place now will give me the cross, but it's a minute or two after the cross.

I am looking for a way to get ahead of the potential cross, even if it doesn't end up making the actual cross.

Any help would be greatly appreciated!

 

[Parzinski]

Newbie here Looking for an intraday scan to find EMA9 ("trade line") crossing above VWAP.....

Can you point me in the right direction?

 

[XeoNoX]

Newbie here Looking for an intraday scan to find EMA9 ("trade line") crossing above VWAP.....

Can you point me in the right direction?

MovAvgExponential("length" = 9)."AvgExp" crosses above reference VWAP()."VWAP"

 

[PapaBear10]

@BenTen I have been using this vwap ema cross over, I was wondering if there was away to set arrows up or down arrow when the input 9 ema crosses either above the +1 deviation band (up arrow), or below -1 deviation band (down arrow) of vwap. Below is script I am using, would like any help to expand it to also trigger off of deviation band crosses.

Thanks

input maType = AverageType.EXPONENTIAL;
input maPrice = close;
input maLength = 9;
input numDevDn = -1.0;
input numDevUp = 1.0;
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));
plot ma = MovingAverage(maType, maPrice, maLength);
ma.SetStyle(Curve.MEDIUM_DASH);
plot crossAbove = ma[1] < VWAP[1] and ma > VWAP;
crossAbove.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_UP);
crossAbove.SetLineWeight(3);
crossAbove.SetDefaultColor(Color.CYAN);
plot crossBelow = ma[1] > VWAP[1] and ma < VWAP;
crossBelow.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_DOWN);
crossBelow.SetLineWeight(3);
crossBelow.SetDefaultColor(Color.MAGENTA);

 

[BenTen]

@PapaBear10 Sure, here you go. Just add the following code to the bottom of your existing script.

plot condition1 = ma crosses below LowerBand;
condition1.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_UP);
plot condition2 = ma crosses above UpperBand;
condition2.SetPaintingStrategy(PaintingStrategy.BOOLEAN_ARROW_DOWN);

 

[Champ]

Hi @BenTen

is there a code to add this as a column? I mean I am looking for a WL Column for the EMA cross over VWAP?

Thanks so much!

 

[BenTen]

@ngunda Certainly possible, but since the signal doesn't appear very often, I think you're better off creating a scanner for this sort of crossover and then save it as a watchlist. Otherwise, you're going to see a blank column most of the time.