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/
//PRC_VWAP Date anchored | indicator
//19.10.2017
//Nicolas @ www.prorealcode.com
//Sharing ProRealTime knowledge
// --- settings
//startDate = 20161212
//viewSD = 1 //1 = true / 0 = false
// --- end of settings
VWAP=undefined
SDup1 = undefined
SDlw1 = undefined
SDup2 = undefined
SDlw2 = undefined
SDup3 = undefined
SDlw3 = undefined
if opendate=startDate then
startbar=barindex
endif
if opendate>=startDate then
barcount=barindex-startbar
d = max(1, barcount)
VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume)
if(barcount=0) then
sd = 0
else
sd = SUMMATION[d](max(abs(high-vwap),abs(vwap-low)))/d
endif
if viewSD then
SDup1 = vwap+sd
SDlw1 = vwap-sd
SDup2 = vwap+sd*2
SDlw2 = vwap-sd*2
SDup3 = vwap+sd*3
SDlw3 = vwap-sd*3
endif
if vwap>vwap[1] then
color = 1
else
color = -1
endif
endif
RETURN VWAP coloured by color as "VWAP", SDup1 coloured(102,102,102) as "upper 1 STD", SDlw1 coloured(102,102,102) as "lower 1 STD", SDup2 coloured(102,102,102) as "upper 2 STD", SDlw2 coloured(102,102,102) as "lower 2 STD", SDup3 coloured(102,102,102) as "upper 3 STD", SDlw3 coloured(102,102,102) as "lower 3 STD"
Comments
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//PRC_VWAP Date anchored | indicator //19.10.2017 //Nicolas @ www.prorealcode.com //Sharing ProRealTime knowledge // --- settings //startDate = 20161212 //viewSD = 1 //1 = true / 0 = false // --- end of settings whith this setting my vwap is anchorated on 16.06.2022. where am i wrong? i want anchorate vwap and sd or at a specified date or at last week? Thanks you very much
Hi Nicolas. I am really late to the party about this post but I have a question. I am an absolute newbie when it comes to coding and this is the first indicator that I have tried to import to PRT. I would like the indicator to show on my charts and it doesn't, instead it displays underneath the chart. I know it's not meant to be like this, from the illustration. Can you help me?
Bonjour Nicolas. Avant tout merci beaucoup pour votre aide et cet indicateur. J'aimerais savoir s'il est possible d'apporter une modification à cet indicateur, afin de pouvoir ajouter des heures et minutes. Celapermet de positionner l'anchored VWAP a des bougie précises (gap, point bas, breakout etc) Où dois-je faire la demande, ici ou j'ouvre un post dans le forum ? merci
@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.
Hi, is it possible to alter the SD setting to SD of say 0.5, 1.5 etc in the code? Thanks (Prorealtime user)
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.
Thank you very much!!
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) . Suggestions? Thanks in advance
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!
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?
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. Hamid
Hi Nicolas, thanks for sharing the VWAP Date Indicator. It is really powerful. Nevertheless, It seems that there are slight differences on values in different time frames if you set the same date. The difference is around about 30/40 points from 1m TF to the daily. Thanks for your feedback. Regards Marco