VWAP Screener ?

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03/20/2017 at 4:57 PM #29206 quote

scarface34
Participant

New

Hi

Do you know if it is possible to create a VWAP screener to scan based on stocks hitting the VWAP line or the 1st standard deviation point ?

Being a non programmer i have tried the wizard and when i click on the VWAP line it displays “price”

Appreciate any advice

Thanks

03/20/2017 at 5:10 PM #29212 quote

GraHal
Participant

Master

Hi

I just searched on VWAP on this site and there are loads of hits … any of them help you?

I’ll look more later, but my grandson is calling me now 🙂

Cheers
GraHal

03/20/2017 at 5:13 PM #29213 quote

scarface34
Participant

New

Thanks Grahal – unfort no ;((

03/20/2017 at 10:17 PM #29243 quote

GraHal
Participant

Master

Code below works for me and screener results are markets where High crosses over VWAP ( = 1 in far right column). (I don’t know why all the ‘0 results’ also show … I might sort that).

Does it work same for you? You can change for any vwap result / option you need?

Mmm cant see the ‘Insert PRC Code button’ so I’ll just copy and paste and I will edit when I’ve sorted the format PRT Code button.

// VWAP DID
d = 200

vw = volume*close
vwsum = SUMMATION[d](vw)
volsum = SUMMATION[d](volume)
vwap = vwsum/volsum
//stv= STD[d] ( vwap ) //(close)
//upline = vwap + stv
//dnline = vwap – stv
//
///////////////////////

//upline1 = vwap + stv * 2
//dnline1 = vwap – stv * 2
//upline2 = vwap + stv * 3
//dnline2 = vwap – stv * 3
//cc = customclose

Screener (High crosses over vwap as “VWA”)

//RETURN vwap AS “VWAP” , upline AS “upper band” , dnline AS “lower band” , cc as ” customclose ” , upline1 AS “upper band 1” , dnline1 AS “lower band 1” , upline2 AS “upper band 2” , dnline2 AS “lower band 2”

GraHal

03/20/2017 at 10:35 PM #29244 quote
GraHal
Participant

Master
Had to clear 8 categories of ‘History’ … see attached … right pain as now I’ll have to login all my fav sites again! Then exit everything, then back in again! I’m using Chrome … doesn’t seem possible to clear individual site cookies / site preferences etc??

Anyway here’s the code in correct format … it’s the ‘VWAP Indicator’ converted into a Screener.
```
// VWAP  DID
d = 200

vw = volume*close
vwsum = SUMMATION[d](vw)
volsum = SUMMATION[d](volume)
vwap = vwsum/volsum
//stv= STD[d] ( vwap ) //(close)
//upline = vwap + stv
//dnline = vwap - stv
//
///////////////////////

//upline1 = vwap + stv * 2
//dnline1 = vwap - stv * 2
//upline2 = vwap + stv * 3
//dnline2 = vwap - stv * 3
//cc = customclose

Screener (High crosses over vwap as "VWA")

//RETURN vwap AS "VWAP" , upline AS "upper band" , dnline AS "lower band" , cc as " customclose " , upline1 AS "upper band 1" , dnline1 AS "lower band 1" ,  upline2 AS "upper band 2" , dnline2 AS "lower band 2"
```
Dadoo thanked this post
03/20/2017 at 11:35 PM #29247 quote
GraHal
Participant

Master
If the last few lines are as below then results are only markets that meet the Screener condition …

Format below also makes it easier to screen for Std Dev (currently commented out).
```
C1 = High crosses over vwap
 
Screener [C1] (C1 as "VWA")
```
GraHal
03/21/2017 at 12:08 AM #29248 quote

manel
Participant

Veteran

Hi Grahal – you can clear individual site cookies in Chrome. It’s under Settings > Advanced Settings > Content Settings > All cookies and site data.

03/21/2017 at 12:42 AM #29249 quote

GraHal
Participant

Master

Aha many thanks Manel, I’ve used Firefox for years but fancied a change and Chrome is also handy for translating the foreign Threads on here! 🙂

I’m going to incorporate VWAP Bands into my manual trading (I like trying new tools!) … check out below … just the info I mean not the system they are selling! 🙂

A good summary re VWAP …

http://www.nirvanasystems.com/wp-content/uploads/2016/10/ProfitBands-1.pdf

Regards
GraHal

03/21/2017 at 2:21 PM #29290 quote
GraHal
Participant

Master
What’s the origin / source / argument for use of ‘200’ in the above code?? Anybody know please?

The code is from the Indicator Library, I converted it to a Screener, but now I’m questioning the d = 200 rationale??
```
// VWAP  DID
d = 200
```
03/23/2017 at 11:37 AM #29569 quote

scarface34
Participant

New

Thanks guys i will give it a try and let you know my feedback – much appreciated

03/23/2017 at 12:00 PM #29579 quote

Nicolas
Keymaster

Legend

“200” means 200 periods for the VWAP calculation .. only.

@scarface34 Are you using VWAP in intraday or in superior timeframe?

10/28/2020 at 2:10 PM #148784 quote

Dadoo
Participant

Junior

It’s a beautifull job GraHal

thank you
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