VWAP bands study
Posted: 27 Apr 2013
Since there's no real VWAP study built in MC, this is a workable one.
Only for RTH sessions.
Bands are identical to Investor/RT and SC.
Only for RTH sessions.
Bands are identical to Investor/RT and SC.
Code: Select all
{This study is derived from the one found here:
http://www.tradersxchange.com/viewtopic.php?f=51&t=538}
// http://www.multicharts.com/discussion/viewtopic.php?f=5&t=16154
// VWAP Bands
// For RTH session only
// 04-15-2013: added color inputs
// 04-20-2013: added ShowHistory input
// 04-27-2013: added previous VWAP and previoud VWAP "value area"
Inputs:
ShowVWAPhistory (false),
ColorVWAP (rgb(178,34,34)),
Show1stDev (true),
Color1stDev (rgb(13,40,16)),
Show2ndDev (true),
Color2ndDev (rgb(205,102,0)),
Show3rdDev (true),
Color3rdDev (rgb(51,51,51)),
Show4thDev (true),
Color4thDev (rgb(139,119,101)),
ShowPrevVWAP (false),
ShowPrevVWAPHistory (false),
PrevVWAPColor (rgb(178,34,34)),
PrevDevColor (rgb(205,102,0));
Variables:
haveStart (false),
PriceW (0),
ShareW (0),
Vari (0),
VolWAPVariance (0),
VolWAPsd (0),
VWAPval (0),
VolWAPValue (0),
stdDev1stUp (0),
stdDev1stDn (0),
stdDev2ndUp (0),
stdDev2ndDn (0),
stdDev3rdUp (0),
stdDev3rdDn (0),
stdDev4thUp (0),
stdDev4thDn (0),
prevVWAPValue (0),
prevstdDev2ndUp (0),
prevstdDev2ndDn (0);
If Date <> Date[1] then begin
haveStart = true;
PriceW = 0;
ShareW = 0;
VolWAPValue = 0;
vari = 0;
prevVWAPValue = VWAPval;
prevstdDev2ndUp = stdDev2ndUp;
prevstdDev2ndDn = stdDev2ndDn;
end;
If haveStart then begin
Pricew = PriceW + (Close * (UpTicks + DownTicks));
ShareW = ShareW + (UpTicks + DownTicks);
if ShareW > 0 then
VolWAPValue = PriceW / ShareW;
VWAPval = VolWAPValue;
Vari = Vari + (UpTicks + DownTicks) * (close - VolWAPValue) * (close - VolWAPValue);
VolWAPVariance = Vari * (.25 / ShareW) ;
VolWAPsd = SquareRoot(VolWAPVariance);
stdDev1stUp = VolWAPValue + VolWAPSD;
stdDev1stDn = VolWAPValue - VolWAPSD;
stdDev2ndUp = VolWAPValue + (2 * VolWAPSD);
stdDev2ndDn = VolWAPValue - (2 * VolWAPSD);
stdDev3rdUp = VolWAPValue + (3 * VolWAPSD);
stdDev3rdDn = VolWAPValue - (3 * VolWAPSD);
stdDev4thUp = VolWAPValue + (4 * VolWAPSD);
stdDev4thDn = VolWAPValue - (4 * VolWAPSD);
if ShowVWAPHistory = true or (ShowVWAPHistory = false and (LastCalcDate = Date)) then begin
Plot1(VolWAPValue, "VWAP", ColorVWAP);
if Show1stDev then begin
Plot3(stdDev1stUp, "VWAP1SDUp", Color1stDev);
Plot4(stdDev1stDn, "VWAP1SDDown", Color1stDev);
end;
if Show2ndDev then begin
Plot5(stdDev2ndUp, "VWAP2SDUp", Color2ndDev);
Plot6(stdDev2ndDn, "VWAP2SDDown", Color2ndDev);
end;
if Show3rdDev then begin
Plot7(stdDev3rdUp, "VWAP3SDDUp", Color3rdDev);
Plot8(stdDev3rdDn, "VWAP3SDDown", Color3rdDev);
end;
if Show4thDev then begin
Plot9(stdDev4thUp, "VWAP4SDUp", Color4thDev);
Plot10(stdDev4thDn, "VWAP4SDDown", Color4thDev);
end;
end;
if ShowPrevVWAP = true then begin
if ShowPrevVWAPHistory = true or (ShowPrevVWAPHistory = false and (LastCalcDate = Date)) then begin
if prevVWAPValue <> 0 then
plot11(prevVWAPValue, "prevVWAP", PrevVWAPColor);
if prevstdDev2ndUp <> 0 then
plot12(prevstdDev2ndUp, "prevDev2ndUp", PrevDevColor);
if prevstdDev2ndDn <> 0 then
plot13(prevstdDev2ndDn, "prevDev2ndDn", PrevDevColor);
end;
end;
end;