// VWAP@Time intraday Z-Score
// 17.11.2020
// Daniele Maddaluno
//
// startTime = 80000
// endTime = 153000
// smoothZscore = f
// stdev = 2
once posLev1=+stdev/2
once negLev1=-stdev/2
once posLev2=+stdev
once negLev2=-stdev
if opentime < startTime or opentime > endTime then
n = 0
zscoreT = 0
priced = 0
shared = 0
summ = 0
vwap = close
vwapstd = 0
else
n = n + 1
// This if has been added just for plot reasons
if n <= 1 then
zscoreT = 0
else
zscoreT = 190
endif
priced = priced + (totalprice*volume)
shared = shared + volume
if shared>0 then
vwap = priced/shared
summ = summ + square(totalprice - vwap)
vwapstd = sqrt(summ / n)
endif
endif
if smoothZscore then
zscore = average[3]((close-vwap)/vwapstd)
else
zscore = (close-vwap)/vwapstd
endif
if zscore>=posLev2 then
drawcandle(posLev2, posLev2*1.25, posLev2, posLev2*1.25) coloured(255, 0, 0, 100) bordercolor(0, 0, 0, 0)
endif
if zscore<=negLev2 then
drawcandle(negLev2, negLev2*1.25, negLev2, negLev2*1.25) coloured(0, 255, 0, 100) bordercolor(0, 0, 0, 0)
endif
// Manage the coloring of vwap mid line
if zscore > zscore[1] then
dwapR = 0
dwapG = 128
dwapB = 192
else
dwapR = 255
dwapG = 0
dwapB = 0
endif
return zscore coloured(dwapR, dwapG, dwapB, zscoreT) style(line, 2) as "Z-score", posLev1 coloured(168, 168, 168) style(line, 2) as "Level +stdev/2", posLev2 coloured(210, 210, 210) style(line, 2) as "Level +stdev", negLev1 coloured(168, 168, 168) style(line, 2) as "Level -stdev/2", negLev2 coloured(210, 210, 210) style(line, 2) as "Level -stdev", 0 coloured(168, 168, 168) style(dottedline) as "Level 0"
.
