Z-Score Distance From VWAP

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.

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

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  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¬īt 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.
    M√™me s’il n’y a officiellement pas de volume sur les CFD, le Vwap est quand m√™me calcul√© et apparait sur les charts CFD type Dax UT 15 (en Daily – et m√™me sur des unit√©s de temps plus petites – 60 min par exemple). Tr√®s instructif !
    En revanche, cet indicateur VWAP – Z score est s√Ľrement bien pratique, mais il n’apparait pas.
    Serait-il possible de lui permettre d’√™tre utilisable aussi avec des CFD ?
    Merci. ūüôā
    Bon début de semaine.

  5. arnaudat • 264 days ago #

    je suis tomb√© sur cet indicateur par des recherches sur les √©carts types et il me semble r√©ellement excellent. Il donne une “information” nouvelle vis √† vis d’autres indicateurs. Le seul soucis c’est qu’il s’affiche la premi√®re fois (je vois bien la courbe) mais disparait √† chaque nouvelle bougie (ie minute si UT1, 5 minute si UT5). Pour le faire r√©apparaitre il suffit que je modifie la p√©riode par exemple ce qui le fait se recalculer et s’afficher. Si je comprends le probl√®me je ne vois pas pourquoi il y en a un et encore moins comment le r√©soudre …
    Merci par avance,

    • Nicolas • 264 days ago #

      Il y a peut-√™tre une erreur de calcul caus√©e par un division par z√©ro, j’ai retrouv√© une autre version corrig√©e ici: https://www.prorealcode.com/topic/z-score-distance-from-vwap/#post-90008

  6. arnaudat • 264 days ago #

    Merci nicolas, j’ai d√©j√† 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 l√† 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’√©tait pour la V10.3 … J’essayerai de chercher pourquoi mais en attendant je vais le laisser sur la 10.3 !

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