VWAP STD Bands for Thinkorswim

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iMauiC

Member
I need a VWAP with multiple standard deviations. Where the level turns yellow when price is equal to that level and reverts back to grey whenever price leaves away from it?
 
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iMauiC said:
I have this VWAP with multiple standard deviations. Any way I can have someone help me code it to where the level turns yellow when price is equal to that level and reverts back to grey whenever price leaves away from it?

Code: 
def numDevDn = -.618;
def numDevUp = .618;
def numDevDn1 = -1;
def numDevUp1 = 1;
def numDevDn2 = -1.5;
def numDevUp2 = 1.5;
def numDevDn3 = -2;
def numDevUp3 = 2;
def numDevDn4 = -2.5;
def numDevUp4 = 2.5;


input timeFrame = {default DAY, WEEK, MONTH};
input show_VWAP_label = Yes;
input VWAP_Label_Color_Choice = {default "magenta", "Green", "pink", "cyan", "orange", "red", "blue", "gray", "violet"};
input show_VWAP_bands_label = Yes;
input Bands_Label_Color_Choice = {default "magenta", "green", "pink", "cyan", "orange", "red", "blue", "gray", "violet"};


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;
VWAP.hide();

plot UpperBand = price + numDevUp * deviation;
UpperBand.hide();
plot LowerBand = price + numDevDn * deviation;
LowerBand.hide();
plot UpperBand1 = price + numDevUp1 * deviation;
UpperBand1.hide();
plot LowerBand1 = price + numDevDn1 * deviation;
LowerBand1.hide();
plot UpperBand2 = price + numDevUp2 * deviation;
UpperBand2.hide();
plot LowerBand2 = price + numDevDn2 * deviation;
LowerBand2.hide();
plot UpperBand3 = price + numDevUp3 * deviation;
UpperBand3.hide();
plot LowerBand3 = price + numDevDn3 * deviation;
LowerBand3.hide();
plot UpperBand4 = price + numDevUp4 * deviation;
UpperBand4.hide();
plot LowerBand4 = price + numDevDn4 * deviation;
LowerBand4.hide();


VWAP.setDefaultColor(getColor(0));

UpperBand.setDefaultColor(getColor(7));
LowerBand.setDefaultColor(getColor(7));
UpperBand1.setDefaultColor(getColor(7));
LowerBand1.setDefaultColor(getColor(7));
UpperBand2.setDefaultColor(getColor(7));
LowerBand2.setDefaultColor(getColor(7));
UpperBand3.setDefaultColor(getColor(7));
LowerBand3.setDefaultColor(getColor(7));
UpperBand4.setDefaultColor(getColor(7));
LowerBand4.setDefaultColor(getColor(7));




AddLabel(Show_VWAP_label, " VWAP = " + Round(VWAP, 2), GetColor(VWAP_Label_Color_Choice));
AddLabel(Show_VWAP_bands_label, " Upper Band = " + round(UpperBand3, 2) + "  /  " + " Lower Band = " + round(LowerBand3, 2), GetColor(Bands_Label_Color_Choice));
Click to expand...

As using close equal to the bands will not likely last long, I have made an option to use a 'near' range around the band, where you input the near amount.

Once the close moves out of the near or equal options, the color will revert to gray.

To test the code, an input is added to hide_lines = yes; Set this to no, to hide the lines as in your original code.

Screenshot 2023-10-23 004324.png
Code: 
input hide_lines = yes;

def numDevDn = -.618;
def numDevUp = .618;
def numDevDn1 = -1;
def numDevUp1 = 1;
def numDevDn2 = -1.5;
def numDevUp2 = 1.5;
def numDevDn3 = -2;
def numDevUp3 = 2;
def numDevDn4 = -2.5;
def numDevUp4 = 2.5;


input timeFrame = {default DAY, WEEK, MONTH};
input show_VWAP_label = Yes;
input VWAP_Label_Color_Choice = {default "magenta", "Green", "pink", "cyan", "orange", "red", "blue", "gray", "violet"};
input show_VWAP_bands_label = Yes;
input Bands_Label_Color_Choice = {"magenta", "green", "pink", "cyan", "orange", "red", "blue", default "gray", "violet"};


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;
VWAP.SetHiding(hide_lines);

plot UpperBand = price + numDevUp * deviation;
UpperBand.SetHiding(hide_lines);
plot LowerBand = price + numDevDn * deviation;
LowerBand.SetHiding(hide_lines);
plot UpperBand1 = price + numDevUp1 * deviation;
UpperBand1.SetHiding(hide_lines);
plot LowerBand1 = price + numDevDn1 * deviation;
LowerBand1.SetHiding(hide_lines);
plot UpperBand2 = price + numDevUp2 * deviation;
UpperBand2.SetHiding(hide_lines);
plot LowerBand2 = price + numDevDn2 * deviation;
LowerBand2.SetHiding(hide_lines);
plot UpperBand3 = price + numDevUp3 * deviation;
UpperBand3.SetHiding(hide_lines);
plot LowerBand3 = price + numDevDn3 * deviation;
LowerBand3.SetHiding(hide_lines);
plot UpperBand4 = price + numDevUp4 * deviation;
UpperBand4.SetHiding(hide_lines);
plot LowerBand4 = price + numDevDn4 * deviation;
LowerBand4.SetHiding(hide_lines);


VWAP.SetDefaultColor(GetColor(0));

UpperBand.SetDefaultColor(GetColor(7));
LowerBand.SetDefaultColor(GetColor(7));
UpperBand1.SetDefaultColor(GetColor(7));
LowerBand1.SetDefaultColor(GetColor(7));
UpperBand2.SetDefaultColor(GetColor(7));
LowerBand2.SetDefaultColor(GetColor(7));
UpperBand3.SetDefaultColor(GetColor(7));
LowerBand3.SetDefaultColor(GetColor(7));
UpperBand4.SetDefaultColor(GetColor(7));
LowerBand4.SetDefaultColor(GetColor(7));



input yellow_coloring = {default equal, near};
input near = .05;
AddLabel(show_VWAP_label, " VWAP = " + Round(VWAP, 2), GetColor(VWAP_Label_Color_Choice));

AddLabel(show_VWAP_bands_label, " Upper Band = " + Round(UpperBand3, 2) ,
if
    if yellow_coloring == yellow_coloring.near
    then Between(Round(close, 2), Round(UpperBand3, 2) - near, Round(UpperBand3, 2) + near)
    else Round(close, 2) == Round(UpperBand3, 2)
then Color.YELLOW
else GetColor(Bands_Label_Color_Choice));

AddLabel(show_VWAP_bands_label,  "  " + " Lower Band = " + Round(LowerBand3, 2),
if
    if yellow_coloring == yellow_coloring.near
    then Between(Round(close, 2), Round(LowerBand3, 2) - near, Round(LowerBand3, 2) + near)
    else  Round(close, 2) == Round(LowerBand3, 2)
then Color.YELLOW
else GetColor(Bands_Label_Color_Choice));

#
 
Last edited by a moderator:
SleepyZ said:
As using close equal to the bands will not likely last long, I have made an option to use a 'near' range around the band, where you input the near amount.

Once the close moves out of the near or equal options, the color will revert to gray.

To test the code, an input is added to hide_lines = yes; Set this to no, to hide the lines as in your original code.
Click to expand...
Wonderful Thank you! @SleepyZ. I appreciate it.
 
iMauiC said:
I have this VWAP with multiple standard deviations. Any way I can have someone help me code it to where the level turns yellow when price is equal to that level and reverts back to grey whenever price leaves away from it?

Code: 
def numDevDn = -.618;
def numDevUp = .618;
def numDevDn1 = -1;
def numDevUp1 = 1;
def numDevDn2 = -1.5;
def numDevUp2 = 1.5;
def numDevDn3 = -2;
def numDevUp3 = 2;
def numDevDn4 = -2.5;
def numDevUp4 = 2.5;


input timeFrame = {default DAY, WEEK, MONTH};
input show_VWAP_label = Yes;
input VWAP_Label_Color_Choice = {default "magenta", "Green", "pink", "cyan", "orange", "red", "blue", "gray", "violet"};
input show_VWAP_bands_label = Yes;
input Bands_Label_Color_Choice = {default "magenta", "green", "pink", "cyan", "orange", "red", "blue", "gray", "violet"};


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;
VWAP.hide();

plot UpperBand = price + numDevUp * deviation;
UpperBand.hide();
plot LowerBand = price + numDevDn * deviation;
LowerBand.hide();
plot UpperBand1 = price + numDevUp1 * deviation;
UpperBand1.hide();
plot LowerBand1 = price + numDevDn1 * deviation;
LowerBand1.hide();
plot UpperBand2 = price + numDevUp2 * deviation;
UpperBand2.hide();
plot LowerBand2 = price + numDevDn2 * deviation;
LowerBand2.hide();
plot UpperBand3 = price + numDevUp3 * deviation;
UpperBand3.hide();
plot LowerBand3 = price + numDevDn3 * deviation;
LowerBand3.hide();
plot UpperBand4 = price + numDevUp4 * deviation;
UpperBand4.hide();
plot LowerBand4 = price + numDevDn4 * deviation;
LowerBand4.hide();


VWAP.setDefaultColor(getColor(0));

UpperBand.setDefaultColor(getColor(7));
LowerBand.setDefaultColor(getColor(7));
UpperBand1.setDefaultColor(getColor(7));
LowerBand1.setDefaultColor(getColor(7));
UpperBand2.setDefaultColor(getColor(7));
LowerBand2.setDefaultColor(getColor(7));
UpperBand3.setDefaultColor(getColor(7));
LowerBand3.setDefaultColor(getColor(7));
UpperBand4.setDefaultColor(getColor(7));
LowerBand4.setDefaultColor(getColor(7));




AddLabel(Show_VWAP_label, " VWAP = " + Round(VWAP, 2), GetColor(VWAP_Label_Color_Choice));
AddLabel(Show_VWAP_bands_label, " Upper Band = " + round(UpperBand3, 2) + "  /  " + " Lower Band = " + round(LowerBand3, 2), GetColor(Bands_Label_Color_Choice));
Click to expand...
Do you use this on intraday timeframe (10 or 15 mnutes or hourly ? )
 
I use them on the 2min and 5min with the setting set to monthly.
I use them for levels and paired with fractals. Its a clean way to catch some reversals.

Here's this link. I did the whole workspace
https://tos.mx/moz83va
 
Last edited by a moderator:
priyamani said:
@SleepyZ i tried creating a simple scan with this code but its not fetching any results . here is the condition igave on 10 minutes chart

close crosses below vwapSTD."LowerBand3" - Expecting it to bring the stocks which hit band 3 below vwap /
Click to expand...

Added the highlighted code in the image to the script, saved as newstudy3338.

Screenshot 2023-11-01 091647.png
Click to expand...
Then used a custom study to scan. It seemed to work with currently set using lowerband3
Screenshot 2023-11-01 092103.png
Click to expand...
 
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