codice VWAP BANDE

• 10/11/2024 at 11:35 AM #238862
  Edisone

  Salve è possibile avere il codice del VWAP Bande ? (lo script non è modficabile)

  Ho la necessità di calcolare il VWAP con il settaggio (dati storici del grafico = Medio: (H+L)/2) e succesivamente modificare le diviazioni standard.

  Grazie

  Saluti

  

  Edisone

  Participant

  Topics: 46

  Replies: 73

  Been thanked: 2 times
  10/11/2024 at 3:00 PM #238871
  Iván

  Ciao! Qui hai un codice che puoi utilizzare per calcolare il VWAP. L'unica cosa che dovrai regolare è la variabile minBarsInput in base al periodo di tempo che utilizzi. Ad esempio, se hai EURUSD a 1H il valore dovrebbe essere minBarsInput=23

  //PRC Rolling VWAP //version = 0 //06.03.24 //Iván González @ www.prorealcode.com //Sharing ProRealTime knowledge ///inputs src = customclose minBarsInput = 10 stdevMult1 = 1 stdevMult2 = 1.5 stdevMult3 = 2.5 showbands = 1 //////BARS TO CALCULATE VWAP///////// if gettimeframe < 86400 then bars = minbarsinput elsif gettimeframe >= 86400 and gettimeframe < 604800 then bars = MAX(22,minbarsinput) elsif gettimeframe = 604800 then bars = MAX(round(90/5),minbarsinput) else bars = MAX(round(252/22),minbarsinput) endif ////////////////////////////////////// if dayofweek>=dayofweek[1] then barsweek=barsweek+1 sumSrcVol = summation[min(bars,barsweek)](src*volume) sumVol = summation[min(bars,barsweek)](volume) sumSrcSrcVol = summation[min(bars,barsweek)](pow(src,2)*volume) else barsweek=0 sumSrcVol = (src*volume) sumVol = (volume) sumSrcSrcVol = (pow(src,2)*volume) endif rollingvwap = sumSrcVol / SumVol variance = sumSrcSrcVol / SumVol - pow(rollingvwap,2) variance = max(0,variance) stDev = sqrt(variance) if showbands then upperband1 = rollingVwap + stDev*stdevMult1 lowerband1 = rollingVwap - stDev*stdevMult1 upperband2 = rollingVwap + stDev*stdevMult2 lowerband2 = rollingVwap - stDev*stdevMult2 upperband3 = rollingVwap + stDev*stdevMult3 lowerband3 = rollingVwap - stDev*stdevMult3 else upperband1 = undefined lowerband1 = undefined upperband2 = undefined lowerband2 = undefined upperband3 = undefined lowerband3 = undefined endif return rollingvwap as "rollingVwap" coloured("orange"),upperband1 as "upperband1"coloured("red"),lowerband1 as "lowerband1"coloured("red"),upperband2 as "upperband2"coloured("yellow"),lowerband2 as "lowerband2"coloured("yellow"),upperband3 as "upperband3"coloured("green"),lowerband3 as "lowerband3"coloured("green")

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64

  //PRC Rolling VWAP //version = 0 //06.03.24 //Iván González @ www.prorealcode.com //Sharing ProRealTime knowledge ///inputs src = customclose minBarsInput = 10 stdevMult1 = 1 stdevMult2 = 1.5 stdevMult3 = 2.5 showbands = 1   //////BARS TO CALCULATE VWAP///////// if gettimeframe < 86400 then bars = minbarsinput elsif gettimeframe >= 86400 and gettimeframe < 604800 then bars = MAX(22,minbarsinput) elsif gettimeframe = 604800 then bars = MAX(round(90/5),minbarsinput) else bars = MAX(round(252/22),minbarsinput) endif ////////////////////////////////////// if dayofweek>=dayofweek[1] then barsweek=barsweek+1 sumSrcVol = summation[min(bars,barsweek)](src*volume) sumVol = summation[min(bars,barsweek)](volume) sumSrcSrcVol = summation[min(bars,barsweek)](pow(src,2)*volume) else barsweek=0 sumSrcVol = (src*volume) sumVol = (volume) sumSrcSrcVol = (pow(src,2)*volume) endif       rollingvwap = sumSrcVol / SumVol   variance = sumSrcSrcVol / SumVol - pow(rollingvwap,2) variance = max(0,variance)   stDev = sqrt(variance)   if showbands then upperband1 = rollingVwap + stDev*stdevMult1 lowerband1 = rollingVwap - stDev*stdevMult1   upperband2 = rollingVwap + stDev*stdevMult2 lowerband2 = rollingVwap - stDev*stdevMult2   upperband3 = rollingVwap + stDev*stdevMult3 lowerband3 = rollingVwap - stDev*stdevMult3 else upperband1 = undefined lowerband1 = undefined upperband2 = undefined lowerband2 = undefined upperband3 = undefined lowerband3 = undefined endif   return rollingvwap as "rollingVwap" coloured("orange"),upperband1 as "upperband1"coloured("red"),lowerband1 as "lowerband1"coloured("red"),upperband2 as "upperband2"coloured("yellow"),lowerband2 as "lowerband2"coloured("yellow"),upperband3 as "upperband3"coloured("green"),lowerband3 as "lowerband3"coloured("green")

  1 user thanked author for this post.

  Edisone

  

  Iván

  Moderator

  Topics: 0

  Replies: 1049

  Been thanked: 375 times
• Author
  Posts