![]() ![]() This may be called the dispersion of price-volume data. #hint lots the deviation channels based on the price-times-volume consideration. both scripts are on page one of the thread, has one and has the other one, the one that youre looking at looks like the one sleepyz posted just scroll towards the middle bottom of page 1 of the thread you'll see it.ĭef da圜ount = CompoundValue(1, if captureĭef thisDay = (HighestAll(da圜ount) - da圜ount) + 1 #plot LowerBand = price + numDevDn * deviation ĪddChartBubble(showbubbles and IsNaN(close) and !IsNaN(close), price, "VWAP 2D: " + Round(price, 2), Color.GREEN) Ĭlick to expand. #plot UpperBand = price + numDevUp * deviation VolumeVwap2Sum = compoundValue(1, volumeVwap2Sum + volume * Sqr(vwap), volume * Sqr(vwap)) ĭef deviation = Sqrt(Max(volumeVwap2Sum / volumeSum - Sqr(price), 0)) VolumeVwapSum = compoundValue(1, volumeVwapSum + volume * vwap, volume * vwap) VolumeSum = compoundValue(1, volumeSum + volume, volume) PeriodIndx = roundDown(yyyyMmDd / 100, 0) ĭef isPeriodRolled = compoundValue(1, periodIndx != periodIndx, yes) PeriodIndx = Floor((daysFromDate(first(yyyyMmDd)) + getDayOfWeek(first(yyyyMmDd))) / 7) PeriodIndx = Floor((daysFromDate(first(yyyyMmDd)) + getDayOfWeek(first(yyyyMmDd))) / 3) ![]() PeriodIndx = Floor((daysFromDate(first(yyyyMmDd)) + getDayOfWeek(first(yyyyMmDd))) / 2) TimeFrame = timeFrame.WEEK and cap >= AggregationPeriod.MONTH Īssert(!errorInAggregation, "timeFrame should be not less than current chart aggregation period") TimeFrame = timeFrame.DAY and cap >= AggregationPeriod.WEEK or In the meantime, enlighten me (anyone) please if anything I've posted is off. I'll play with it and post back here if there are any new conclusions. The only way to know if this is giving a true 2 day vwap I guess is to see a 2 day vwap on another platform and compare. They stay diverged slightly for all of day 1 but seem quite diverged for day two without converging back to regular vwap at midnight EST. When I set the indicator for 2 days and use a 2D/5m chart, both begin at 6pm EST and begin to diverge after only a few hours. On Day 3, mult day vwap then diverges only slightly from vwap and intraday vwap for the day. But on day 3 mult day vwap seems to converge back to regular vwap at midnight EST (which is odd, I think.as regular VWAP begins at 6pm EST when the market opens). First, when i set the indicator for 3 days and then use a 3D/5m chart, the first day both vwaps begin at the same time (6pm EST) and mult day vwap overlaps regular vwap (logical) and day two they're divergent. On a second look, something doesn't look quite right to me but I don't know anything about how it should be. ![]() The indicator seems to throw off different plots when set otherwise. , possibly the answer is only using a 2 day chart (like 2D/5m or 2D/15m) when using the 2 day setting. ![]()
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