Stock Screener on VWAP and Price

Marcel van Vliet · 2020-02-24T11:37:27+00:00

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: vw = volume*close vwsum = SUMMATION[20](vw) volsum = SUMMATION[20](volume) VWAP = vwsum/volsum PriceCond = 0 IF close >= 5 AND close VWAP //C3 = Open > VWAP and Close < VWAP screener [(C1 and C2) or (C1 and C3)] Any suggestion is welcome!

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

Veteran
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:
```
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!
02/24/2020 at 12:47 PM #120299 quote
robertogozzi
Moderator

Legend
AVERAGE is missing:
- periods
- data series on which it should make calculations.
It should be:
```
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.

Marcel van Vliet thanked this post
02/24/2020 at 3:30 PM #120309 quote

Nicolas
Keymaster

Legend

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

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

Veteran
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
```
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.
02/24/2020 at 3:51 PM #120319 quote

Marcel van Vliet
Participant

Veteran

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

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

robertogozzi
Moderator

Legend

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?
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