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VWAP Boulevard Indicator (Request)


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If you're uncertain of what exactly "VWAP Boulevard" refers to here is the idea

I am very new to thinkscript, not so much new to programming but have been having some troubles with 'scanning' back through the previous bars in order to find high volume days ( volume > 30day avg.) and was wondering if anyone has some insight or even a script that does something similar that I could attempt to modify.

Below is a script that shows the previous day's VWAP which I would believe should be easy to add another check for a higher than avg volume on that day. Just unsure of exactly how to do so.

# Plot Previous Days VWAP
# By XeoNoX via https://usethinkscript.com/

input numDevDn = -4.0;
input numDevUp = 4.0;
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;
def UpperBand = price + numDevUp * deviation;
def LowerBand = price + numDevDn * deviation;

input aggregationPeriod = AggregationPeriod.DAY;
input length = 1;
input displace = -1;
input showOnlyLastPeriod = no;
plot PrevDayVWAP;
if showOnlyLastPeriod and !IsNaN(vwap(period = aggregationPeriod)[-1]) {
    PrevDayVWAP = Double.NaN;
} else if volume(period = aggregationPeriod) > VolumeAvg(30) {
    PrevDayVWAP = Highest(vwap(period = aggregationPeriod)[-displace], length);
} else
    PrevDayVWAP = Double.NaN;


Thanks in advance,

Last edited:

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