liseandr / vwap Goto Github PK

study("VWAP Stdev Bands v2 Mod", overlay=true) devUp1 = input(1.28, title="Stdev above (1)") devDn1 = input(1.28, title="Stdev below (1)")

devUp2 = input(2.01, title="Stdev above (2)") devDn2 = input(2.01, title="Stdev below (2)")

devUp3 = input(2.51, title="Stdev above (3)") devDn3 = input(2.51, title="Stdev below (3)")

devUp4 = input(3.09, title="Stdev above (4)") devDn4 = input(3.09, title="Stdev below (4)")

devUp5 = input(4.01, title="Stdev above (5)") devDn5 = input(4.01, title="Stdev below (5)")

showDv2 = input(true, type=bool, title="Show second group of bands?") showDv3 = input(true, type=bool, title="Show third group of bands?") showDv4 = input(false, type=bool, title="Show fourth group of bands?") showDv5 = input(false, type=bool, title="Show fifth group of bands?")

showPrevVWAP = input(false, type=bool, title="Show previous VWAP close")

start = security(tickerid, "D", time)

newSession = iff(change(start), 1, 0)

vwapsum = iff(newSession, hl2volume, vwapsum[1]+hl2volume) volumesum = iff(newSession, volume, volumesum[1]+volume) v2sum = iff(newSession, volumehl2hl2, v2sum[1]+volumehl2hl2) myvwap = vwapsum/volumesum dev = sqrt(max(v2sum/volumesum - myvwap*myvwap, 0))

A=plot(myvwap,style=circles, title="VWAP", color=black) U1=plot(myvwap + devUp1 * dev,style=circles, title="VWAP Upper", color=gray) D1=plot(myvwap - devDn1 * dev, style=circles, title="VWAP Lower", color=gray)

U2=plot(showDv2 ? myvwap + devUp2 * dev : na, color=red, title="VWAP Upper (2)") D2=plot(showDv2 ? myvwap - devDn2 * dev : na, color=green, title="VWAP Lower (2)")

U3=plot(showDv3 ? myvwap + devUp3 * dev : na, title="VWAP Upper (3)", color=red) D3=plot(showDv3 ? myvwap - devDn3 * dev : na, title="VWAP Lower (3)", color=green)

U4=plot(showDv4 ? myvwap + devUp4 * dev : na, title="VWAP Upper (4)", color=red) D4=plot(showDv4 ? myvwap - devDn4 * dev : na, title="VWAP Lower (4)", color=green)

U5=plot(showDv5 ? myvwap + devUp5 * dev : na, title="VWAP Upper (5)", color=red) D5=plot(showDv5 ? myvwap - devDn5 * dev : na, title="VWAP Lower (5)", color=green) prevwap = iff(newSession, myvwap[1], prevwap[1]) plot(showPrevVWAP ? prevwap : na, style=circles, color=close > prevwap ? green : red)

fill(U1, U2, color=red, transp=90, title="Over Bought Fill 1") fill(D1, D2, color=green, transp=90, title="Over Sold Fill 1") fill(U2, U3, color=red, transp=90, title="Over Bought Fill 2") fill(D2, D3, color=green, transp=90, title="Over Sold Fill 2") fill(U3, U4, color=red, transp=90, title="Over Bought Fill 3") fill(D3, D4, color=green, transp=90, title="Over Sold Fill 3") fill(U4, U5, color=red, transp=90, title="Over Bought Fill 4") fill(D4, D5, color=green, transp=90, title="Over Sold Fill 4") fill(A, U1, color=gray, transp=90, title="Middle Fill Up") fill(A, D1, color=gray, transp=90, title="Middle Fill Down")