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Vwap

This document defines an indicator to calculate and plot the volume weighted average price (VWAP) and standard deviation bands for a security. It computes the VWAP and standard deviation for each period based on the volume and price. It then plots the VWAP, and has options to plot 1-3 standard deviation bands above and below the VWAP based on user-defined multipliers. The period/anchor can be set to different timeframes like daily, weekly, monthly etc.

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MR. INDIAN VILLAIN
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183 views3 pages

Vwap

This document defines an indicator to calculate and plot the volume weighted average price (VWAP) and standard deviation bands for a security. It computes the VWAP and standard deviation for each period based on the volume and price. It then plots the VWAP, and has options to plot 1-3 standard deviation bands above and below the VWAP based on user-defined multipliers. The period/anchor can be set to different timeframes like daily, weekly, monthly etc.

Uploaded by

MR. INDIAN VILLAIN
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as TXT, PDF, TXT or read online on Scribd
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//@version=5

indicator(title="Volume Weighted Average Price", shorttitle="VWAP", overlay=true,


timeframe="", timeframe_gaps=true)

var cumVol = 0.
cumVol += nz(volume)
if barstate.islast and cumVol == 0
runtime.error("No volume is provided by the data vendor.")

computeVWAP(src, isNewPeriod) =>


var float sumSrcVol = na
var float sumVol = na
var float sumSrcSrcVol = na

sumSrcVol := isNewPeriod ? src * volume : src * volume + sumSrcVol[1]


sumVol := isNewPeriod ? volume : volume + sumVol[1]
// sumSrcSrcVol calculates the dividend of the equation that is later used to
calculate the standard deviation
sumSrcSrcVol := isNewPeriod ? volume * math.pow(src, 2) : volume *
math.pow(src, 2) + sumSrcSrcVol[1]

_vwap = sumSrcVol / sumVol


variance = sumSrcSrcVol / sumVol - math.pow(_vwap, 2)
variance := variance < 0 ? 0 : variance
stDev = math.sqrt(variance)

[_vwap, stDev]

computeStdevBands(value, stdev, bandMult) =>


float upperBand = value + stdev * bandMult
float lowerBand = value - stdev * bandMult
[upperBand, lowerBand]

hideonDWM = input(false, title="Hide VWAP on 1D or Above", group="VWAP Settings")


var anchor = input.string(defval = "Session", title="Anchor Period",
options=["Session", "Week", "Month", "Quarter", "Year", "Decade", "Century",
"Earnings", "Dividends", "Splits"], group="VWAP Settings")
src = input(title = "Source", defval = hlc3, group="VWAP Settings")
offset = input(0, title="Offset", group="VWAP Settings")

showBand_1 = input(true, title="", group="Standard Deviation Bands Settings",


inline="band_1")
stdevMult_1 = input(1.0, title="Bands Multiplier #1", group="Standard Deviation
Bands Settings", inline="band_1")
showBand_2 = input(false, title="", group="Standard Deviation Bands Settings",
inline="band_2")
stdevMult_2 = input(2.0, title="Bands Multiplier #2", group="Standard Deviation
Bands Settings", inline="band_2")
showBand_3 = input(false, title="", group="Standard Deviation Bands Settings",
inline="band_3")
stdevMult_3 = input(3.0, title="Bands Multiplier #3", group="Standard Deviation
Bands Settings", inline="band_3")

timeChange(period) =>
ta.change(time(period))

new_earnings = request.earnings(syminfo.tickerid, earnings.actual,


barmerge.gaps_on, barmerge.lookahead_on, ignore_invalid_symbol=true)
new_dividends = request.dividends(syminfo.tickerid, dividends.gross,
barmerge.gaps_on, barmerge.lookahead_on, ignore_invalid_symbol=true)
new_split = request.splits(syminfo.tickerid, splits.denominator, barmerge.gaps_on,
barmerge.lookahead_on, ignore_invalid_symbol=true)

isNewPeriod = switch anchor


"Earnings" => not na(new_earnings)
"Dividends" => not na(new_dividends)
"Splits" => not na(new_split)
"Session" => timeChange("D")
"Week" => timeChange("W")
"Month" => timeChange("M")
"Quarter" => timeChange("3M")
"Year" => timeChange("12M")
"Decade" => timeChange("12M") and year % 10 == 0
"Century" => timeChange("12M") and year % 100 == 0
=> false

isEsdAnchor = anchor == "Earnings" or anchor == "Dividends" or anchor == "Splits"


if na(src[1]) and not isEsdAnchor
isNewPeriod := true

float vwapValue = na
float stdev = na
float upperBandValue1 = na
float lowerBandValue1 = na
float upperBandValue2 = na
float lowerBandValue2 = na
float upperBandValue3 = na
float lowerBandValue3 = na

if not (hideonDWM and timeframe.isdwm)


[_vwap, _stdev] = computeVWAP(src, isNewPeriod)
vwapValue := _vwap
stdev := _stdev
[upBV1, loBV1] = computeStdevBands(vwapValue, stdev, stdevMult_1)
upperBandValue1 := showBand_1 ? upBV1 : na
lowerBandValue1 := showBand_1 ? loBV1 : na
[upBV2, loBV2] = computeStdevBands(vwapValue, stdev, stdevMult_2)
upperBandValue2 := showBand_2 ? upBV2 : na
lowerBandValue2 := showBand_2 ? loBV2 : na
[upBV3, loBV3] = computeStdevBands(vwapValue, stdev, stdevMult_3)
upperBandValue3 := showBand_3 ? upBV3 : na
lowerBandValue3 := showBand_3 ? loBV3 : na

plot(vwapValue, title="VWAP", color=#2962FF, offset=offset)

upperBand_1 = plot(upperBandValue1, title="Upper Band #1", color=color.green,


offset=offset)
lowerBand_1 = plot(lowerBandValue1, title="Lower Band #1", color=color.green,
offset=offset)
fill(upperBand_1, lowerBand_1, title="Bands Fill #1", color= showBand_1 ?
color.new(color.green, 95) : na)

upperBand_2 = plot(upperBandValue2, title="Upper Band #2", color=color.olive,


offset=offset)
lowerBand_2 = plot(lowerBandValue2, title="Lower Band #2", color=color.olive,
offset=offset)
fill(upperBand_2, lowerBand_2, title="Bands Fill #2", color= showBand_2 ?
color.new(color.olive, 95) : na)
upperBand_3 = plot(upperBandValue3, title="Upper Band #3", color=color.teal,
offset=offset)
lowerBand_3 = plot(lowerBandValue3, title="Lower Band #3", color=color.teal,
offset=offset)
fill(upperBand_3, lowerBand_3, title="Bands Fill #3", color= showBand_3 ?
color.new(color.teal, 95) : na)

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