VWAP Donchian screener does not work

Viewing 9 posts - 1 through 9 (of 9 total)
  • Author
    Posts
  • 03/20/2020 at 1:56 PM #122716 quote
    Marcel van Vliet
    Participant
    Veteran

    Hi.

    A few weeks ago I created a stock screener on the daily close which screens for candles (D1) which are crossing the 20 days high (upper Donchian channel) or/and the VWAP. Somehow this simple screener doesn’t seemed to work. The stocks which are selected by the screener are a day (candle) too late. I don’t use the [1] condition anywhere in the screener. Can anybody help me out?

    The code below is what I have done so far.

    //Crossover HIGH or VWAP
//09/03/2020
//Marcel van Vliet

d=20
vw = volume*close
vwsum = SUMMATION[d](vw)
volsum = SUMMATION[d](volume)
VWAP = vwsum/volsum
Upper = HIGHEST[20](HIGH)

C1 = average[50]<VWAP
C2 = low<VWAP and close>VWAP
C3 = volume>average[20](volume)
C4 = average[50]<Upper
C5 = low<Upper and close>Upper


screener [(C1 and C2 and C3) or (C3 and C4 and C5)]
    03/20/2020 at 2:36 PM #122721 quote
    fifi743
    Participant
    Master
    //Crossover HIGH or VWAP
//09/03/2020
//Marcel van Vliet
 
d=20
vw = volume*close
vwsum = SUMMATION[d](vw)
volsum = SUMMATION[d](volume)
VWAP = vwsum/volsum
Upper = HIGHEST[20](HIGH)
 
C1 = average[50]<VWAP
C2 = low<VWAP and close>VWAP
C3 = volume>average[20](volume)
C4 = average[50]<Upper
C5 = low<Upper and close>Upper
 
 long=0
short=0
if C1 and C2 and C3 then
long=1
endif
if C3 and C4 and C5 then
short=1
endif
signal=0
if long=1 then
signal=1
endif
if short=1  then
signal=-1
endif
// code proscreener d'exemple
SCREENER[long or short](signal as "SIGNAL")

    Tested in h1 it works.

    Marcel van Vliet thanked this post
    03/20/2020 at 2:41 PM #122723 quote
    Nicolas
    Keymaster
    Master

    It’s 1 day late if you scan stocks with an “end of day” account.

    03/21/2020 at 4:13 PM #122841 quote
    Marcel van Vliet
    Participant
    Veteran

    Hi Nicolas,

    For this strategy I do not have acces to real-time data of US stocks, but I do have acces with the premium V11 version to real-time data of European stocks. The screener gives the same results with European stocks. Do I have to create two different screeners for each continent of stocks, or is there another way to make the screener work? This is a daily strategy so I don’t need real-time data for trading this strategy.

    03/21/2020 at 4:18 PM #122844 quote
    Marcel van Vliet
    Participant
    Veteran

    Merci beaucoup!

    03/23/2020 at 9:23 AM #122971 quote
    Nicolas
    Keymaster
    Master

    Could you provide an example of a late signal because I can’t find any.

    03/23/2020 at 11:44 AM #122992 quote
    Marcel van Vliet
    Participant
    Veteran
    Nicolas wrote:

    Could you provide an example of a late signal because I can’t find any.

    At this time this is correct. Stock prices are trading way under the VWAP.

    04/11/2020 at 1:01 AM #125650 quote
    Linds
    Participant
    New
    Nicolas wrote:

    It’s 1 day late if you scan stocks with an “end of day” account.

    What is the logic of this?

    I renders eod scans quite useless if this is correct?

    04/11/2020 at 1:10 AM #125652 quote
    robertogozzi
    Moderator
    Master

    Why useless?

    Free eod access lets you use the platform for testing until you feel comfortable with it, so that you may sometime upgrade your subscription, it’s not intended for trading purposes.

  • Author
    Posts
Viewing 9 posts - 1 through 9 (of 9 total)
  • You must be logged in to reply to this topic.

VWAP Donchian screener does not work


ProScreener: Market Scanners & Detection

New Reply
Author
author-avatar
Marcel van Vliet @marcel Participant
Summary

This topic contains 8 replies,
has 5 voices, and was last updated by robertogozzi
5 years, 11 months ago.

Topic Details
Forum: ProScreener: Market Scanners & Detection
Language: English
Started: 03/20/2020
Status: Active
Attachments: No files
Logo Logo
Loading...
Do you like cookies? 🍪 We use cookies to ensure you get the best experience on our website. (Learn more)
©2026 ProRealCode - Trading & Coding with ProRealTime™