Stock Screener on VWAP and Price

• 02/24/2020 at 12:37 PM #120297
  Marcel van Vliet

  Hi, I have tried to build a stock screener which is able to scan for stocks which are priced between 5 and 25 euro (condition 1) and are CROSSING THE VWAP line (condition 2)

  The first condition is no problem but the second condition (both examples) seems not to work. What am I doing wrong here?

  This is to where I came so far:

  Screener on VWAP and price

  vw = volume*close vwsum = SUMMATION[20](vw) volsum = SUMMATION[20](volume) VWAP = vwsum/volsum PriceCond = 0 IF close >= 5 AND close <= 25 THEN PriceCond = 1 ENDIF C1 = PriceCond C2 = average crosses over VWAP C3 = average crosses under VWAP //or: //C2 = Open < VWAP and Close > VWAP //C3 = Open > VWAP and Close < VWAP screener [(C1 and C2) or (C1 and C3)]

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19

  vw = volume*close vwsum = SUMMATION[20](vw) volsum = SUMMATION[20](volume) VWAP = vwsum/volsum   PriceCond = 0 IF close >= 5 AND close <= 25 THEN PriceCond = 1 ENDIF   C1 = PriceCond C2 = average crosses over VWAP C3 = average crosses under VWAP   //or: //C2 = Open < VWAP and Close > VWAP //C3 = Open > VWAP and Close < VWAP   screener [(C1 and C2) or (C1 and C3)]

  Any suggestion is welcome!

  

  Marcel van Vliet

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  02/24/2020 at 12:47 PM #120299
  robertogozzi

  AVERAGE is missing:

  • periods
  • data series on which it should make calculations.

  It should be:

  average[Periods](XYZ) crosses over VWAP

  1	average[Periods](XYZ) crosses over VWAP

  PERIODS can be whatever integer number you like > 0 (5, 10, 20, 100,…), XYZ can be CLOSE, VOLUME, VWAP or any other data series of your interest.

  1 user thanked author for this post.

  Marcel van Vliet

  

  robertogozzi

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  02/24/2020 at 3:30 PM #120309
  Nicolas

  And please, post in the screener forum if your question is related to screener.. 🙄

  

  Nicolas

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  02/24/2020 at 3:50 PM #120318
  Marcel van Vliet

  Hi @robertogozzi , Unfortunately the code still does not work. I have tried also this conditions, but with the same result.

  C2 = Open < VWAP and Close > VWAP C3 = Open > VWAP and Close < VWAP

  1 2	C2 = Open < VWAP and Close > VWAP C3 = Open > VWAP and Close < VWAP

  Is there a coding rule available with the result of a candlestick crosses over a moving average or in this case the VWAP?

  It must be simple to implement such a simple coding rule in a screener, but somehow I cannot get this done.

  

  Marcel van Vliet

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  02/24/2020 at 3:51 PM #120319
  Marcel van Vliet

  @Nicolas, I am sorry. Next time i will address my post properly.

  

  Marcel van Vliet

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  02/24/2020 at 5:02 PM #120327
  robertogozzi

  The logical error is in lines 1-4, say you are working with DAX at 13,000, and that volume is 10,000;

  1. you multiply 13,000 by 10,000 and you get 130 million

  2.you sum that value 20 times and you get 2.6 billion

  3. you sum Volume 20 times and get 200,000

  4. you assign VWAP 13,000 (2.6 billion divided by 200,000), so VWAP is simply the starting price, all those calculations cancel one another

  How can any price be > or < to itself?

  

  robertogozzi

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