MultiCharts
https://www.multicharts.com/discussion/
https://www.multicharts.com/discussion/viewtopic.php?f=5&t=5640
Hi,how does it works?
it is already in MC.Hello,
I recently encountered this VWAP Oscillator (screenshot attached). Would any of you happen to have the EL code of it?
Regards
Hi TJ,does it oscillate against another VMAP, or against the close?
Code: Select all
{***********************************************************************************************
Coded by dbntina/boxmeister 8/2/2007
Used the VWAP_H code provided by TS on 02/07/2003 Topic ID = 6735 Thanks Guys!
Added the computation for variance and the Standard Deviation to combine into one indicator
plot and this indicator plots the VWAP, SD1 bands and SD2 bands
***********************************************************************************************}
[LegacyColorValue = true];
vars:
PriceW(0),
ShareW(0),
Count(0),
VolWAPValue(0),
VolWAPVariance(0),
VolWAPSD(0);
if date > date[1] then begin
PriceW = 0;
ShareW = 0;
Count = -1;
Value1 = 0;
Value2 = 0;
VolWAPValue = 0;
end;
PriceW = PriceW + (AvgPrice * (UpTicks+DownTicks));
ShareW = ShareW + (UpTicks+DownTicks);
Count = Count + 1;
Value3 = 0;
if ShareW > 0 then VolWAPValue = PriceW / ShareW;
{Calculate the individual variance terms for each intraday bar starting with the current
bar and looping back through each bar to the start bar. The terms are each normalized
according to the Variance formula for each level of volume at each price bar }
For Value1 = 0 To Count Begin
Value2 = ((UpTicks[Value1]+DownTicks[Value1])/ShareW) * (Square(AvgPrice[Value1]-VolWAPValue));
Value3 = Value3 + Value2;
End;
VolWAPVariance = Value3;
VolWAPSD = SquareRoot(VolWAPVariance);
Plot1(VolWAPValue, "VWAP");
Plot2(VolWAPValue + VolWAPSD, "VWAP1SDUp");
Plot3(VolWAPValue - VolWAPSD, "VWAP1SDDown");
Plot4(VolWAPValue + (2*VolWAPSD), "VWAP2SDUp");
Plot5(VolWAPValue - (2*VolWAPSD), "VWAP2SDDown");
// added by request http://www.traderslaboratory.com/forums/f46/vwap-indicator-with-1sd-and-2sd-2175.html#post27273
input : trdSD (2.5);
Plot6(VolWAPValue + (trdSD*VolWAPSD), "VWAP3SDUp");
Plot7(VolWAPValue - (trdSD*VolWAPSD), "VWAP3SDDown");
Code: Select all
// Type : Function
// Name : VWAP_H
vars:
PriceW(0),
ShareW(0),
Answer(0);
if date > date[1] then begin
PriceW = 0;
ShareW = 0;
end;
PriceW = PriceW + (AvgPrice * (UpTicks+DownTicks));
ShareW = ShareW + (UpTicks+DownTicks);
if ShareW > 0 then
Answer = PriceW / ShareW;
VWAP_H = Answer; Code: Select all
// VWAP Std Dev
vars: aa(0);
value1=
square(c-vwap_h)+
square(c[1]-vwap_h)+
square(c[2]-vwap_h)+
square(c[3]-vwap_h)+
square(c[4]-vwap_h)+
square(c[5]-vwap_h)+
square(c[6]-vwap_h)+
square(c[7]-vwap_h)+
square(c[8]-vwap_h)+
square(c[9]-vwap_h)+
square(c[10]-vwap_h)+
square(c[11]-vwap_h)+
square(c[12]-vwap_h)+
square(c[13]-vwap_h)+
square(c[14]-vwap_h)+
square(c[15]-vwap_h)+
square(c[16]-vwap_h)+
square(c[17]-vwap_h)+
square(c[18]-vwap_h)+
square(c[19]-vwap_h)+
square(c[20]-vwap_h)+
square(c[21]-vwap_h)+
square(c[22]-vwap_h)+
square(c[23]-vwap_h)+
square(c[24]-vwap_h)+
square(c[25]-vwap_h)+
square(c[26]-vwap_h)+
square(c[27]-vwap_h)+
square(c[28]-vwap_h)+
square(c[29]-vwap_h)+
square(c[30]-vwap_h)+
square(c[31]-vwap_h)+
square(c[32]-vwap_h)+
square(c[33]-vwap_h)+
square(c[34]-vwap_h)+
square(c[35]-vwap_h)+
square(c[36]-vwap_h)+
square(c[37]-vwap_h)+
square(c[38]-vwap_h)+
square(c[39]-vwap_h)+
square(c[40]-vwap_h)+
square(c[41]-vwap_h)+
square(c[42]-vwap_h)+
square(c[43]-vwap_h)+
square(c[44]-vwap_h);
value2=squareroot(value1/(45-1));
value3=vwap_h+value2;
value4=vwap_h-value2;
value5=vwap_h+(value2*2);
value6=vwap_h-(value2*2);
value7=vwap_h+2.50;
value8=vwap_h-2.50;
if time>930 and time<1615 then begin
{Plot1(vwap_h, "VWAP" ) ;}
Plot2(value7, "UpperBand" ) ;
Plot3(value8, "UpperBand" ) ;
Plot4(value5, "UpperBand" ) ;
Plot5(value6, "LowerBand" ) ;
end;
Hello RobotMan,There is a pretty good discussion of VWAP and Std Dev on the TradersLaboratory site. I have read through it and I DO use VWAP as a Moving Average S/R point on the chart, but not all the other stuff he talks about.
numeric.Hello TJ,
Thank you very much for the present
Is the VWAP_H function: a) Numeric / b) TrueFalse / c) String?
Regards
Code: Select all
vars:
Answer(0); // <--numeric
VWAP_H = Answer; // <--- the function returns this variable.too bad I can't get into the TS forum......
Some useful explanation and code here (you might need to be registered to get into the forum - sorry):
TS Forum - VWAP Standard Deviation Since Open -- Question
https://www.TS.com/Discussion ... c_ID=66875
TS Forum - Volume At Price Histogram (Futures)
https://www.TS.com/Discussion ... c_ID=67207
TS Forum - gkMtkProfileTL
https://www.TS.com/Discussion ... c_ID=50398
Roboman...I don't come in here too often, but I was going to post some code today and noticed this thread.
There is a pretty good discussion of VWAP and Std Dev on the TradersLaboratory site. I have read through it and I DO use VWAP as a Moving Average S/R point on the chart, but not all the other stuff he talks about.
Thanks TJ,numeric.Hello TJ,
Thank you very much for the present
Is the VWAP_H function: a) Numeric / b) TrueFalse / c) String?
Regards
you can see it by:
vars:
Answer(0); <--numeric
VWAP_H = Answer; <--- the function returns this variable.
mmm... this indicator is like a bollinger band.Thanks TJ,
This indicator works like per attached screenshot (from zero to zillions). Do you think anything could be done to to make these lines oscillate (between 0 to 100 or between 20 to 80 or between -100 to 100 or between a similar range of values)?
you need to learn to walk before run.TJ i don't understand the modification that u did at original code on Trsor , the code of dbtina vwap_H, could u exaplin please?
yes.Twap are u able to code it?
A cup of coffee???how much would you like to pay?
Code: Select all
{***********************************************************************************************
Coded by dbntina/boxmeister 8/2/2007
Used the VWAP_H code provided by TS on 02/07/2003 Topic ID = 6735 Thanks Guys!
Added the computation for variance and the Standard Deviation to combine into one indicator
plot and this indicator plots the VWAP, SD1 bands and SD2 bands
***********************************************************************************************}
[LegacyColorValue = true];
vars:
PriceW(0),
ShareW(0),
Count(0),
VolWAPValue(0),
VolWAPVariance(0),
VolWAPSD(0);
if date > date[1] then begin
PriceW = 0;
ShareW = 0;
Count = -1;
Value1 = 0;
Value2 = 0;
VolWAPValue = 0;
end;
PriceW = PriceW + (AvgPrice * (UpTicks+DownTicks));
ShareW = ShareW + (UpTicks+DownTicks);
Count = Count + 1;
Value3 = 0;
if ShareW > 0 then VolWAPValue = PriceW / ShareW;
{Calculate the individual variance terms for each intraday bar starting with the current
bar and looping back through each bar to the start bar. The terms are each normalized
according to the Variance formula for each level of volume at each price bar }
For Value1 = 0 To Count Begin
Value2 = ((UpTicks[Value1]+DownTicks[Value1])/ShareW) * (Square(AvgPrice[Value1]-VolWAPValue));
Value3 = Value3 + Value2;
End;
VolWAPVariance = Value3;
VolWAPSD = SquareRoot(VolWAPVariance);
Plot1(VolWAPValue, "VWAP");
Plot2(VolWAPValue + VolWAPSD, "VWAP1SDUp");
Plot3(VolWAPValue - VolWAPSD, "VWAP1SDDown");
Plot4(VolWAPValue + (2*VolWAPSD), "VWAP2SDUp");
Plot5(VolWAPValue - (2*VolWAPSD), "VWAP2SDDown");
Code: Select all
vars:
PriceW(0),
ShareW(0),
Count(0),
VolWAPValue(0),
VolWAPVariance(0),
VolWAPSD(0);
if date > date[1] then begin
PriceW = 0;
ShareW = 0;
Count = -1;
Value1 = 0;
Value2 = 0;
VolWAPValue = 0;
end;
PriceW = PriceW + (AvgPrice * (UpTicks+DownTicks));
ShareW = ShareW + (UpTicks+DownTicks);
Count = Count + 1;
Value3 = 0;
if ShareW > 0 then VolWAPValue = PriceW / ShareW;
{Calculate the individual variance terms for each intraday bar starting with the current
bar and looping back through each bar to the start bar. The terms are each normalized
according to the Variance formula for each level of volume at each price bar }
For Value1 = 0 To Count Begin
Value2 = ((UpTicks[Value1]+DownTicks[Value1])/ShareW) * (Square(AvgPrice[Value1]-VolWAPValue));
Value3 = Value3 + Value2;
End;
VolWAPVariance = Value3;
VolWAPSD = SquareRoot(VolWAPVariance);
Plot1(Close of data1 - VolWAPValue, "Diff VWAP");
Plot2(VolWAPSD, "VWAP1SDUp");
Plot3( -1* VolWAPSD, "VWAP1SDDown");
Plot4(2*VolWAPSD, "VWAP2SDUp");
Plot5(-2*VolWAPSD, "VWAP2SDDown");
Plot6(0, "zeroline");
{Plot2(VolWAPValue + VolWAPSD, "VWAP1SDUp");
Plot3(VolWAPValue - VolWAPSD, "VWAP1SDDown");
Plot4(VolWAPValue + (2*VolWAPSD), "VWAP2SDUp");
Plot5(VolWAPValue - (2*VolWAPSD), "VWAP2SDDown");}