Z-Score Distance From VWAP

v10.3
Z-Score Distance From VWAP

In this indicator, the Z-Score distance is the current standard deviation from the intraday VWAP of the price.

If the exceed a certain deviation (such as 2 standard deviation), the indicator highlight an oversold or overbought area from which the price could tend to return to its mean, the VWAP.

The VWAP is the  Volume Weighted Average Price, in this indicator it is compute only for intraday trading because it resets its own value on each new day.

I included a minimal period setting for the calculation of the standard deviation (default period is 100), as soon as 100 bars have elapsed the SD is calculated with the summation of all present bar during the day (such as the VWAP does too), and a smoothing function for the curve (not used by default).

 

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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.

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  1. Hans63 • 71 days ago #

    it does not appear on the chart when plotted

    • Nicolas • 71 days ago #

      This indicator needs Volumes. Verify that this is the case for the instrument you applied the indicator on..

  2. Carlos Garcia • 69 days ago #

    why doesn´t work on Dax?

    • Nicolas • 69 days ago #

      Try to restrain to trading hours when Volumes are present (customized trading hours: righ click in the price chart).

  3. Carlos Garcia • 69 days ago #

    Thank you!

  4. Choliver • 52 days ago #

    Bonsoir Nicolas,
    Merci pour cet indicateur.
    Même s’il n’y a officiellement pas de volume sur les CFD, le Vwap est quand même calculé et apparait sur les charts CFD type Dax UT 15 (en Daily – et même sur des unités de temps plus petites – 60 min par exemple). Très instructif !
    En revanche, cet indicateur VWAP – Z score est sûrement bien pratique, mais il n’apparait pas.
    Serait-il possible de lui permettre d’être utilisable aussi avec des CFD ?
    Merci. 🙂
    Bon début de semaine.

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