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).

 

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?

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

  1. Hans63 • 01/08/2019 #

    it does not appear on the chart when plotted

    • Nicolas • 01/08/2019 #

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

  2. Carlos Garcia • 01/08/2019 #

    why doesn´t work on Dax?

    • Nicolas • 01/08/2019 #

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

  3. Carlos Garcia • 01/08/2019 #

    Thank you!

  4. Choliver • 01/08/2019 #

    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.

  5. arnaudat • 01/08/2019 #

    Bonjour,
    je suis tombé sur cet indicateur par des recherches sur les écarts types et il me semble réellement excellent. Il donne une “information” nouvelle vis à vis d’autres indicateurs. Le seul soucis c’est qu’il s’affiche la première fois (je vois bien la courbe) mais disparait à chaque nouvelle bougie (ie minute si UT1, 5 minute si UT5). Pour le faire réapparaitre il suffit que je modifie la période par exemple ce qui le fait se recalculer et s’afficher. Si je comprends le problème je ne vois pas pourquoi il y en a un et encore moins comment le résoudre …
    Merci par avance,
    Arnaud

    • Nicolas • 01/08/2019 #

      Il y a peut-être une erreur de calcul causée par un division par zéro, j’ai retrouvé une autre version corrigée ici: https://www.prorealcode.com/topic/z-score-distance-from-vwap/#post-90008

  6. arnaudat • 01/08/2019 #

    Merci nicolas, j’ai déjà pris cette version et en plus je suis sur les futures. Par contre du coup je viens de l’installer sur CFD (PRT V10.3) et là je n’ai pas le bug … Ca vient donc de la V11 sur Future et c’est de ma faute car vous indiquiez bien que c’était pour la V10.3 … J’essayerai de chercher pourquoi mais en attendant je vais le laisser sur la 10.3 !
    Merci

  7. ullle73 • 01/08/2019 #

    hi nicolas, when im making a strategy out of this i get the error “PRC_VWAP z-score” called from “vwap z-score” returns 6 values but your code needs 7. how can i fix this?

    • Nicolas • 01/08/2019 #

      Please open a new topic in the ProOrder forum section and post the code there in order to check what could be wrong, thank you.

avatar
Register or

Likes

avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar avatar

+2 more likes

Related users ' posts
KumoNoJuzza Bonjour, @rominet44 pourrais tu expliquer à quoi sert le filtre: M8=average[11](close) // ...
Nicolas la moyenne mobile 11 période actuelle est ascendante ou descendante, on teste sa valeur vis ...
Patrice210 bonjour STANKO, effectivement la première ligne apparait en anomalie et je ne comprend pas v...
Khaled
1 year ago
Nicolas
2 years ago
DELBERT Bonsoir , Nicolas , j'ai transféré votre indicateur sur ma PRT 10,3 et j'ai un méssage d'ére...
Nicolas Vous pouvez essayer en remplacant la ligne avec: vwapsd = sqrt(average[lengthz](square(clo...
DELBERT Bonsoir , merci Nicolas , a bientôt .
larouedegann
2 years ago
TWAP
TWAP
0
Indicators
Jigsaw20000 Bonjour, Je voudrais mettre le liens du code en format .itf mais je n'y arrive pas , quelqu'...
Corto78 Il faut aller dans la liste des ProBacktest & Trading Automatique (là ou tu as créer ton...
Malloc Bonjour, Votre système a l'air intéressant et prometteur mais en l'état il est inutilisable...
Daniele Maddaluno If you need to use it in PRT v11 take a look at this topic: https://www.prorealcode.com/top...
Monobrow Hi Daniele Thank you for the indicator, it looks very good. However, I have a problem so...
avatar
Anonymous Thanks very much for sharing, look forward to testing this idea out.
FernetTrader think i found a solution!
monochrome Thanks for the indicator. Very interesting!
monochrome Can you please share how you made it work? I cant seem to make it work in a strategy
Fabian Hi Thomas, thanks for your explanations. Which indicator do you use in the screenshot ...
Thomas Thats On Balance Volume and Bollinger or SMA or what you want. It shows me the volume flow. ...
bertrandpinoy @MAKSIDE I would be grateful if you send me your version. have a nice day
GARNIEPI hello I am looking for an anchored vwap intraday, indicator which allows you to visualize th...
withoutwings To be able to flexibly wrap around the full 24h (i.e. past midnight), or to use just a singl...
Zigo
4 years ago
Zex-Indicator
Zex-Indicator
6
Indicators
bertrandpinoy Hello Zigo can you turn into an automatic strategy?
eckaw Hey @Zigo thanks for this indicator. May I ask what the multiplier 1.682 is derived from? I ...
Zigo Hello, eckaw, its not so important I had meant 1.618 and not 1.682. It has nothing to do wit...
oliverkeim Hi, also here not working. Only white lines.
killerplatuze Dont work anymore with the current version?
KryptoKat tolle Arbeit, professionell
kbrooks323 Hello would someone be willing to release a scan code for this? that would be helpful as I s...
Nicolas You can do easily this screener by using the assisted creation tool. It would take you about...
kbrooks323 I just figured it out thanks!
Vinks_o_7 Thanks Doc !
Maxime Baudin Intresting, thank you!
Maxime Baudin Very useful! Thanks Mat, and Happy New Year
nicko Great work. Thank you. However I am having trouble getting it to print in the first bar. If ...
Om Hello, thanks for sharing! Getting a message that Variable P is undefined?
matin Intraday Average Volume Indicator Not working, what can i do plz
rama what is the buy condition or sell condition for this can you suggest a code k1=1 buy and k1...
rama I would like to know at point 1 an alert or binary indicator so that I can place order
maxlys Bonjour Nicolas, merci pour ce code qui a l'air intéressant. Comment ajouter dans le code l'...
ggolfet Thanks Nicolas, I imported the itf file and solved the problem.
Hasardeur Hallo Nicolas, i tried to code the multi period heat map in combination with the Ehler’s ...
Nicolas Please open a new topic with the code in forum.
JOKAMAURICE Thank you but I don't really understand. The values don't fit with what I see on my chart. I...

Top