H

#### horserider

##### Well-known member

**VIP**

**Warehouse**

As asked for here is the VWAP deviations in several forms.

Chart study. Pink is VWAP and cyan is 200 period Std Dev.

First lower study. VWAP deviation at 20 period and 200 period lengths.

Middle lower study. VWAP Z Score.

Bottom study. Just simple VWAP deviation.

Chart study. Pink is VWAP and cyan is 200 period Std Dev.

Code:

```
#
# TD Ameritrade IP Company, Inc. (c) 2018-2019
#
input length = 200;
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));
```

First lower study. VWAP deviation at 20 period and 200 period lengths.

Code:

```
declare lower;
input price = close;
input length = 20;
def SMA = Average(vwap[0], length);
plot DEV =(vwap/sma -1 )*100;
plot pdl = .5;
plot ndl = -.5;
plot zero = 0;
DEV.SetDefaultColor(GetColor(1));
input price2 = close;
input length2 = 200;
def SMA2 = Average(vwap[0], length2);
plot DEV2 =(vwap/SMA2 -1 )*100;
DEV2.SetDefaultColor(GetColor(2));
```

Middle lower study. VWAP Z Score.

Code:

```
# Intraday VWAP Zscore
# Mobius
# 06.10.2019 Chat Room Request
declare lower;
def RTH = GetTime() >= RegularTradingStart(GetYYYYMMDD()) and
GetTime() <= RegularTradingEnd(GetYYYYMMDD());
def n = if RTH and !RTH[1]
then 1
else if RTH
then n[1] + 1
else n[1];
def Avg = (fold i = 0 to n
with s
do s + getValue(close, i)) / n;
def VWAP_ = (fold ii = 0 to n
with ss
do ss + getValue(vwap, ii)) / n;
def StDev = Sqrt((fold iii = 0 to n
with sss = 0
do sss + Sqr(Avg - getValue(close, iii))) / n);
plot Zscore = (close - VWAP_) / StDev;
plot "0" = if isNaN(close) then double.nan else 0;
"0".SetDefaultColor(Color.white);
plot "1SD" = if isNaN(close) then double.nan else 1;
"1SD".SetDefaultColor(Color.Green);
plot "2SD" = if isNaN(close) then double.nan else 2;
"2SD".SetDefaultColor(Color.Green);
plot "-1SD" = if isNaN(close) then double.nan else -1;
"-1SD".SetDefaultColor(Color.Red);
plot "-2SD" = if isNaN(close) then double.nan else -2;
"-2SD".SetdefaultColor(Color.Red);
AddCloud(0, Zscore, color.red, color.green);
# End Code
```

Code:

```
declare lower;
input price = close;
input length = 20;
def vwd = Average(vwap[0], length);
plot DEV =(vwap/vwd -1 )*10;
plot pdl = .05;
plot ndl = -.05;
plot zero = 0;
Alert(DEV crosses below ndl, "", Alert.BAR, Sound.Bell);
Alert(DEV crosses above pdl, "", Alert.BAR, Sound.Bell);
DEV.SetDefaultColor(GetColor(1));
```

Last edited: