VWAP Date anchored

VWAP Date anchored

Another version of the VWAP indicator, this time you can set the start of its calculation with a date in YYYYMMDD format (modify it in the indicator settings). Set it on the last gap a stock on a daily timeframe will give you a good idea of the mean price since this particular day.

You also have the possibility to view or not the 3 upper and 3 lower standard deviation lines with a switch in the settings.

The VWAP formula is:

VWAP = Sum (Price[t] x Volume[t])  / Sum(Volume[t])

Indicator coded by a request made in this forum topic: https://www.prorealcode.com/topic/anchored-vwap/

Share this

Risk disclosure:

No information on this site is investment advice or a solicitation to buy or sell any financial instrument. Past performance is not indicative of future results. Trading may expose you to risk of loss greater than your deposits and is only suitable for experienced investors who have sufficient financial means to bear such risk.

ProRealTime ITF files and other attachments : How to import ITF files into ProRealTime platform?

New! PRC is also now on YouTube, subscribe to our channel for exclusive content and tutorials

  1. hamid1736 • 10/19/2017 #

    Hi Nicolas,
    I couldn’t find a better way to ask you my question. I have a problem of finding a way to rerun a bar index of highest or lowest criteria. For example I want to know what is bar index of this statement highest [250](rsi[14](close)). Is it possible to get the bar index of such statement. Just to make it clear, I want to know what bar number that maximum or minimum RSI has happened in the last 52 weeks?
    Thanks in advance for your help.

    • Nicolas • 10/19/2017 #

      Sorry but this question has nothing to deal with this indicator, it belongs to a specific support to a new topic you need to open in the ProBuilder section of the forums. Thank you.

  2. rossneptune • 10/19/2017 #

    Hello Nicholas,

    I am super excited to see you having built this script (and @jaysay requesting it)! I assume he is a Brian Shannon scholar as am I. However, I am having difficulty creating this on the thinkorswim platform. I’m sure its a noob mistake, but my scripting knowledge is about nill. When I paste this script into thinkorswim, it replies with the error of “Invalid statement: // at 1:1”. When I remove the “//” of course I continually get similar errors. When I remove entire first two ‘paragraphs’ where these forward slashes occur, the script takes, but with no input ability (of course because the date settings you’ve created are removed. How can I get this thing to take?

    • Nicolas • 10/19/2017 #

      Hi, we do not offer free assistance for other trading platform than ProRealTime. There is no ThinkOrSwim (TOS) scripts at all here 🙂
      You can ask for private paid services through the programming services: https://www.prorealcode.com/trading-programming-services/

  3. Geons • 10/19/2017 #

    Hi! The indicator works perfect, but I can’t find a way to anchored the VWAP specify for each different ticker symbol. This VWAP has default settings like an moving average, eg. 200 days in every symbol, timeframe. I want the anchored VWAP to set different dates on different tickers. Is it possible? Thanks in advance!

    • Nicolas • 10/19/2017 #

      just change the starting date in the settings. The indicator does not have any predefined period as it uses the bars quantity elapsed since its first calculation, as per the VWAP formula.

    • Geons • 10/19/2017 #

      Not working because every change on VWAP not anchored on specific symbol. I want as a trend line is different for every ticker, not for all the same… Maybe this is not possible. Maybe must use drawing functions on code…

    • Nicolas • 10/19/2017 #

      Because you change the date in the code it affects all charts. Download the itf file from this page and use the settings from the indicator window and don’t change anything in the code.

  4. Geons • 10/19/2017 #

    No, I change the start date in settings, not in code. The problem is still here. I have installed the .itf file. Don’t know why..

    • Nicolas • 10/19/2017 #

      Because your charts are linked together in the same group. Just unlink them.

  5. Carlos G. Carreño • 312 days ago #

    Hi Nicolas,
    I´ve tried to add this script. Nonetheless, a message warning an error on programming code appears
    “the following variable is undefined: startDate, viewSD”
    I´m using the format yyyymmdd. Also I defined to show each standard deviation (1) .


    Thanks in advance

    • Nicolas • 312 days ago #

      Download the itf file and import it into the platform, or remove the // before the 2 variables names you mentionned, in your code.

  6. Carlos G. Carreño • 312 days ago #

    Thank you very much!!

  7. apalokamar • 230 days ago #

    Hello. Firstly, It doesn’t really replicate what Brian Shannon uses on his videos. Anyone has compared it and got the same ? And second It displays the anchored vwap on another window. can it be in the same window as the price? Anyone got any luck with it? Thank you for your help in advance.

    • Nicolas • 229 days ago #

      Sorry i don’t know who is Brian Shannon?! If you want to get the indicator applied on the price, apply it on the price. Use the wrench on the left upper side of the price chart.

  8. Bel • 203 days ago #

    Does look different esp when anchoring from the high… https://www.trendspider.com/blog/trendspider-user-guide-exploring-the-anchored-vwap-with-brian-shannon/

  9. PeterClothier • 17 days ago #

    Hi, is it possible to alter the SD setting to SD of say 0.5, 1.5 etc in the code? Thanks (Prorealtime user)

  10. PeterClothier • 16 days ago #

    @Bel. I was comparing to Trendspider too. I tried altering the code on Line 35 and Line 36 by adding a smaller the 1 SD to make it as similar as possible
    SDup1 = vwap+sd+0.45
    SDlw1 = vwap-sd+0.45.
    I then unticked the other lines. It makes it a much closer match to Trendspider, using MELI as an example from a youtube video.

Register or


avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar
Related users ' posts
Nicolas esta possible
bolsatonimora2 Hola Nicolas, perdona la molestia, pero podrias codificar el screener para rupturas de sopor...
Nicolas Utilice los foros para solicitar una codificaciĂłn personalizada.
Demon Bonjour, je n'ai pas téléchargé le code mais je l'ai lu et comme je ne comprenais pas la con...
Vivien René Tout a fait demon, cela depend de ce que tu recherches personnellement je ne souhaite enlev...
jaginho Bonjour Vivien, je n'arrive pas Ă  comprendre ce screener... En tout cas merci pour tes contr...
samsampop Superb, merci!
Vonasi There are actually two ways to calculate standard deviations and I seem to have used the ver...
Vonasi There are actually two ways to calculate standard deviations and I seem to have used the ver...
segie Can something similar be done with Supertrends?
Vonasi Not sure I fully understand what you are asking for. Are you asking for MTF Supertrend level...
Kris75 very interesting; thanks !
19Tom85 Good evening, I am new here and quite interested in Volume Price analysis. may I ask you if ...
angelpero Me alegra ver que has vuelto a programar en Proreal, me gustarĂ­a poder acceder a tu blog, si...
Fulminant Merci pour tout ce travail.
Maxime Baudin Very useful! Thanks Mat, and Happy New Year
Kris75 Merci Jeanguy, suis très preneur de vos stratégies profitables avec cet indicateur !!
Screw27 Salut je vient d’installer ton indicateur mais il fonctionne pas ça m’indique un message d’e...
Canis Majoris Hello, Is there any user guide for this interesting indicator ? Thanks in advance
Om Hello, thanks for sharing! Getting a message that Variable P is undefined?
swapping Excellent Nicolas ;)
Violet Hi Nicolas, There seems to be a small error in the code, which causes the channel not to...
Nicolas Hmm, I don't think so, otherwise the channel will have a moving start and not anchored anymo...
LucioleLucide Clean view, thanks for sharing
dertopen hi where i can found the window for candle configuration?
paolosab69 Ciao! . I have seen the pictures that explain this metod but i don't understand when is mome...
2 years ago
dario ti please can you help me to understand? i know i am wrong: Long Histogram = High Volume S...
TAC Bolsa hi, I have already seen the problem and requested that it be removed until an adequate so...
sixeight Hey TAC, Did you ever find a solution to this?