Vide an earlier user request, I posted the following study in one of the sub forums, relocating it here for easier access/search
Code:
# VWAP Standard Deviation Bands
# lar
# 12.12.2015
# V1.0 - 12.12.2015 - lar - Initial release of VWAP Standard Deviation bands
# V1.1 - 12.17.2019 - tomsk - Minor edits
input timeFrame = {default Day, Week, Month, Year, Minute, Hour, Chart, "Opt Exp", Bar};
input BandType = {default Standard, "1/4 Day Range", "3x Avg Bar Range", ThinkScripter, None};
input ShowCloud = yes;
input HideSdLines = no;
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 seconds = SecondsFromTime(0);
def month = GetYear() * 12 + GetMonth();
def year = GetYear();
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);
def periodIndx;
switch (timeFrame) {
case Chart:
periodIndx = 0;
case Minute:
periodIndx = Floor(seconds / 60 + day_number * 24 * 60);
case Hour:
periodIndx = Floor(seconds / 3600 + day_number * 24);
case Day:
periodIndx = CountTradingDays(Min(First(yyyyMmDd), yyyyMmDd), yyyyMmDd) - 1;
case Week:
periodIndx = Floor(day_number / 7);
case Month:
periodIndx = Floor(month - First(month));
case Year:
periodIndx = Floor(year - First(year));
case "Opt Exp":
periodIndx = exp_opt - First(exp_opt);
case Bar:
periodIndx = BarNumber() - 1;
}
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;
switch (BandType) {
case Standard:
deviation = Sqrt(Max(volumeVwap2Sum / volumeSum - Sqr(price), 0));
case "1/4 Day Range":
deviation = Sqrt(AbsValue(high(Period = timeFrame) - low(Period = timeFrame)) * .25);
case "3x Avg Bar Range":
deviation = Sqrt(Average(TrueRange(high, close, low), 20) * 3);
case ThinkScripter:
deviation = Sqrt(TotalSum(Sqr(((open + high + low + close) / 4) - price) * volume) / TotalSum(volume));
case None:
deviation = Double.NaN;
}
plot VWAP = price;
VWAP.AssignValueColor(if VWAP > VWAP[1] then Color.Cyan
else if VWAP < VWAP[1] then Color.Red
else Color.Yellow);
VWAP.SetStyle(Curve.SHORT_DASH);
VWAP.SetLineWeight(2);
# TS_CHART_VWAP_SD_BANDS
# http://www.thinkscripter.com
# [email protected]
# Last Update 03 APR 2010
input VWAPStdev1 = 1.0;
input VWAPStdev2 = 2.0;
input VWAPStdev3 = 3.0;
plot r1 = VWAP + VWAPStdev1 * deviation;
plot s1 = VWAP - VWAPStdev1 * deviation;
plot r2 = VWAP + VWAPStdev2 * deviation;
plot s2 = VWAP - VWAPStdev2 * deviation;
plot r3 = VWAP + VWAPStdev3 * deviation;
plot s3 = VWAP - VWAPStdev3 * deviation;
DefineGlobalColor("sDev1", (CreateColor(40, 40, 40)));
DefineGlobalColor("sDev2", (CreateColor(128, 128, 128)));
DefineGlobalColor("sDev3", (CreateColor(100, 100, 100)));
r1.SetDefaultColor(GlobalColor("sDev1"));
s1.SetDefaultColor(GlobalColor("sDev1"));
r2.SetDefaultColor(GlobalColor("sDev2"));
s2.SetDefaultColor(GlobalColor("sDev2"));
r3.SetDefaultColor(GlobalColor("sDev2"));
s3.SetDefaultColor(GlobalColor("sDev2"));
r1.SetStyle(Curve.SHORT_DASH);
r2.SetStyle(Curve.SHORT_DASH);
r3.SetStyle(Curve.SHORT_DASH);
s1.SetStyle(Curve.SHORT_DASH);
s2.SetStyle(Curve.SHORT_DASH);
s3.SetStyle(Curve.SHORT_DASH);
VWAP.HideBubble();
r1.HideBubble();
r2.HideBubble();
r3.HideBubble();
s1.HideBubble();
s2.HideBubble();
s3.HideBubble();
r1.SetHiding(HideSdLines);
r2.SetHiding(HideSdLines);
r3.SetHiding(HideSdLines);
s1.SetHiding(HideSdLines);
s2.SetHiding(HideSdLines);
s3.SetHiding(HideSdLines);
# CLOUD ##########################
def CloudR1 = if ShowCloud then r1 else Double.NaN;
def CloudR2 = if ShowCloud then r2 else Double.NaN;
def CloudR3 = if ShowCloud then r3 else Double.NaN;
def CloudS1 = if ShowCloud then s1 else Double.NaN;
def CloudS2 = if ShowCloud then s2 else Double.NaN;
def CloudS3 = if ShowCloud then s3 else Double.NaN;
AddCloud(CloudR1, CloudR2, GlobalColor("sDev1"), GlobalColor("sDev1"));
AddCloud(CloudS1, CloudS2, GlobalColor("sDev1"), GlobalColor("sDev1"));
AddCloud(CloudR2, CloudR3, GlobalColor("sDev2"), GlobalColor("sDev2"));
AddCloud(CloudS2, CloudS3, GlobalColor("sDev2"), GlobalColor("sDev2"));
# End VWAP Standard Deviation Bands
Last edited:
