# VWAP Deviation Scaled Moving Average for ThinkorSwim

#### horserider

##### Well-known member
VIP
Shows the deviation from the VWAP . Plot is aqua and VWAP is yellow.

Code:
``````#
# TD Ameritrade IP Company, Inc. (c) 2018-2019
#Original code TD Ameritrade IP Company, Inc. (c) 2018-2019 for Deviation Scaled Moving Average altered to be Deviation Scaled Moving Average #of VWAP by Horserider.

input length = 40;

def zeros = vwap -vwap[2];
def filter = reference EhlersSuperSmootherFilter(price = zeros, "cutoff length" = 0.5 * length);
def rms = Sqrt(Average(Sqr(filter), length));
def scaledFilter = filter / rms;
def alpha = 5 * AbsValue(scaledFilter) / length;
def deviationScaledMovAvg = CompoundValue(1, alpha * vwap + (1 - alpha) * deviationScaledMovAvg[1], vwap);

plot DSMA = deviationScaledMovAvg;
DSMA.SetDefaultColor(GetColor(1));``````

#### Attachments

• 4EUm8yi.png
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Last edited:
If anyone can explain how this would be helpful, scaling to price with a vwap, please let us know.

Last edited:
Any idea why 40 MA has been chosen? Thank you.

@john3 No idea. That was the input length in the ToS Deviation study. I just modified it to show deviation from VWAP as someone was looking for something like it. Since VWAP is a moving average and follows price I am not even seeing any value in this. Better to just stick with the standard ToS Deviation Scaled Moving Average of price. As with any moving average the larger the input length the flatter and the larger the deviation from price can become. Adjust it to fit what you want.

If anyone can explain how this would be helpful, scaling to price with a vwap, please let us know.
This is my take on the usefulness. Price discovery is a process of auctioning: a High to Low/2 scaling of price action for a set period of time or transactions contrasted with an Volume Weighted Average Price scale for an idential set period of time or transactions or ticks provides a coincidental indicator for the comparative participation and agressiveness of the move. Similar to the "ever yearned for" cumulative delta volume of platforms like Ninja Trader or Trading View, this script is and can be very useful to some tape readers that are mindful enough to track the differential gap movement in a very short term flag from 1 to 5 minutes.. Give it a try. It works! Best to all on the Thread and elsewhere. Additionally others have called such a shfit in order flow a divergence or a skipped Pt of Control. Try it, you'll find it's reliable once you train your eyes to see the pattern.

Shows the deviation from the VWAP . Plot is aqua and VWAP is yellow.

Code:
``````#
# TD Ameritrade IP Company, Inc. (c) 2018-2019
#Original code TD Ameritrade IP Company, Inc. (c) 2018-2019 for Deviation Scaled Moving Average altered to be Deviation Scaled Moving Average #of VWAP by Horserider.

input length = 40;

def zeros = vwap -vwap[2];
def filter = reference EhlersSuperSmootherFilter(price = zeros, "cutoff length" = 0.5 * length);
def rms = Sqrt(Average(Sqr(filter), length));
def scaledFilter = filter / rms;
def alpha = 5 * AbsValue(scaledFilter) / length;
def deviationScaledMovAvg = CompoundValue(1, alpha * vwap + (1 - alpha) * deviationScaledMovAvg[1], vwap);

plot DSMA = deviationScaledMovAvg;
DSMA.SetDefaultColor(GetColor(1));``````

Take a look at my comments in reply to the open invitation to share some ideas on usefulness. Horserider is and continues to be a most generous and skilled member. Thanks again for your work! Magicquotes

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