VWAP Band indicator

This topic has 4 replies, 4 voices, and was last updated 1 year ago by Nicolas.

Tagged: vwap

Viewing 5 posts - 1 through 5 (of 5 total)

10/10/2020 at 2:18 PM #146981

Oliviertrader2020

I am looking for a solution to code a VWAP indicator with the same bands/SD as the PRT VWAP Band indicator.

As you can see on the screenshots (on the left the PRT one), the indicators you have created with the help of PRT (https://www.prorealcode.com/topic/is-there-any-working-intraday-vwap/#post-116309) do not give the same bands as the original indicator present on the platform.

In my manual trading one of my strategies is based on buy/sell when rejecting prices between SD2 and SD3 of the PRT VWAP Band indicator.

Is it possible to have the code to obtain the same bands as the PRT indicator in order to integrate it into a trading robot?

Thank you for your help 🙂

Oliviertrader2020

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10/12/2020 at 8:22 AM #147113

Nicolas

You are right there is a difference, while it is exactly the same but for CFD instrument (look at attached picture).

The formula might have changed between 10.3 and v11, I’ll try to know more about the new VWAP formula and let you know.

1 user thanked author for this post.

Oliviertrader2020

Nicolas

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12/26/2020 at 3:39 PM #155248

stefou102

hello Nicolas,

Any feedback on this? Big differences between built-in and recoded

stefou102

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07/04/2022 at 9:13 AM #196706

Albaran

Any news on this topic?

Albaran

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07/04/2022 at 10:36 AM #196713

Nicolas

Here is the new version of the custom code of the PRT VWAP Bands, it works the same as the internal indicator now:

//PRC_VWAP Bands v11 intraday
//04/07/2022
//Nicolas @ www.prorealcode.com
//Sharing ProRealTime knowledge

d = max(1, intradaybarindex)

VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume)
if(intradaybarindex=0) then
sd = 0
else
p1 = SUMMATION[d](volume*typicalprice)
p2 = SUMMATION[d](volume)
p3 = SUMMATION[d](volume*typicalprice*typicalprice)
ma = p1/p2
ma2 = p3/p2
sd = sqrt(abs(ma2 - ma * ma))
endif

SDup1 = vwap+sd
SDlw1 = vwap-sd
SDup2 = vwap+sd*2
SDlw2 = vwap-sd*2
SDup3 = vwap+sd*3
SDlw3 = vwap-sd*3

if vwap>vwap[1] then
color = 1
else
color = -1
endif

//yesterday vwap
if intradaybarindex=0 then
yVWAP = VWAP[1]
endif

RETURN VWAP coloured by color as "VWAP", SDup1 coloured(102,102,102) as "upper 1 STD", SDlw1 coloured(102,102,102) as "lower 1 STD", SDup2 coloured(102,102,102) as "upper 2 STD", SDlw2 coloured(102,102,102) as "lower 2 STD", SDup3 coloured(102,102,102) as "upper 3 STD", SDlw3 coloured(102,102,102) as "lower 3 STD", yVWAP as "yesterday VWAP"

//PRC_VWAP Bands v11 intraday

//04/07/2022

//Nicolas @ www.prorealcode.com

//Sharing ProRealTime knowledge

d = max(1, intradaybarindex)

VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume)

if(intradaybarindex=0) then

sd = 0

else

p1 = SUMMATION[d](volume*typicalprice)

p2 = SUMMATION[d](volume)

p3 = SUMMATION[d](volume*typicalprice*typicalprice)

ma = p1/p2

ma2 = p3/p2

sd = sqrt(abs(ma2 - ma * ma))

endif

SDup1 = vwap+sd

SDlw1 = vwap-sd

SDup2 = vwap+sd*2

SDlw2 = vwap-sd*2

SDup3 = vwap+sd*3

SDlw3 = vwap-sd*3

if vwap>vwap[1] then

color = 1

else

color = -1

endif

//yesterday vwap

if intradaybarindex=0 then

yVWAP = VWAP[1]

endif

RETURN VWAP coloured by color as "VWAP", SDup1 coloured(102,102,102) as "upper 1 STD", SDlw1 coloured(102,102,102) as "lower 1 STD", SDup2 coloured(102,102,102) as "upper 2 STD", SDlw2 coloured(102,102,102) as "lower 2 STD", SDup3 coloured(102,102,102) as "upper 3 STD", SDlw3 coloured(102,102,102) as "lower 3 STD", yVWAP as "yesterday VWAP"