VWAP Bands, le bon code ?

• 01/25/2023 at 9:07 AM #208165
  KryptoKat

  Bonjour à tous, bonjour Nicolas.

  Je cherche le code exact de l’indicateur VWAP Bands intégré à PRT.

  Effectivement, il y a bien déjà été ajouté par Nicolas dans un message de janvier 2020 ; mais si on compare chaque graphique, on voit qu’ils sont en réalité parfois très différents (selon les formules utilisées). Donc, et sauf erreur de ma part ou de mes lunettes, ce n’est pas tout à fait ça.

  Les sujets que j’ai déjà consultés :

  https://www.prorealcode.com/prorealtime-indicators/vwap-intraday/ (2016)

  https://www.prorealcode.com/prorealtime-indicators/vwap-bands/

  https://www.prorealcode.com/topic/is-there-any-working-intraday-vwap/page/2/

  Voici ce que j’utilise à ce jour et qui donne un graphique le plus proche de l’indicateur intégré à PRT.

  Merci à tous de votre retour.

  David

  // source : https://www.prorealcode.com/topic/vwap-bands/ // modifé par david 25.01.2023 //PRC_vwap intraday //SAME VERSION AS THE ORIGINAL vwap FROM THE PLATFORM //09.01.2020 //Nicolas @ www.prorealcode.com //Sharing ProRealTime knowledge d = 1440 prx = close vw = volume*prx // volume*close vwsum = SUMMATION[d](vw) volsum = SUMMATION[d](volume) vwap = vwsum/volsum sd = std[d](prx) // // autre version sincitytrader depuis les commentaires de https://www.prorealcode.com/prorealtime-indicators/vwap-intraday/ // vwap = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume) // sd = SUMMATION[d](max(abs(high-vwap),abs(vwap-low)))/d sdup1 = vwap+sd sdlw1 = vwap-sd sdup2 = vwap+sd*2 sdlw2 = vwap-sd*2 sdup3 = vwap+sd*3 sdlw3 = vwap-sd*3 RETURN vwap AS "vwap", sdup1 AS "upper 1 std", sdlw1 AS "lower 1 std", sdup2 AS "upper 2 std", sdlw2 AS "lower 2 std", sdup3 AS "upper 3 std", sdlw3 AS "lower 3 std"

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  // source : https://www.prorealcode.com/topic/vwap-bands/ // modifé par david 25.01.2023   //PRC_vwap intraday //SAME VERSION AS THE ORIGINAL vwap FROM THE PLATFORM //09.01.2020 //Nicolas @ www.prorealcode.com //Sharing ProRealTime knowledge d = 1440 prx = close vw = volume*prx // volume*close vwsum = SUMMATION[d](vw) volsum = SUMMATION[d](volume)   vwap = vwsum/volsum sd = std[d](prx) //   // autre version sincitytrader depuis les commentaires de https://www.prorealcode.com/prorealtime-indicators/vwap-intraday/ // vwap = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume) // sd = SUMMATION[d](max(abs(high-vwap),abs(vwap-low)))/d sdup1 = vwap+sd sdlw1 = vwap-sd sdup2 = vwap+sd*2 sdlw2 = vwap-sd*2 sdup3 = vwap+sd*3 sdlw3 = vwap-sd*3 RETURN vwap AS "vwap", sdup1 AS "upper 1 std", sdlw1 AS "lower 1 std", sdup2 AS "upper 2 std", sdlw2 AS "lower 2 std", sdup3 AS "upper 3 std", sdlw3 AS "lower 3 std"

   

   

   

  

  KryptoKat

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  01/25/2023 at 9:11 AM #208168
  Nicolas

  Celui ci devrait répondre à ta demande, selon moi cette dernière version correspond à la version actuelle de la plateforme (qui a évolué pour les bandes en v11.1).

  https://www.prorealcode.com/topic/vwap-band-indicator/#post-196713

  1 user thanked author for this post.

  KryptoKat

  

  Nicolas

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  01/25/2023 at 9:32 AM #208173
  KryptoKat

  Magnifique !

  Merci Nicolas. Effectivement, sur ma version 11 , c’est parfait.

  Si cela intéresse certains, voici ensuite la version que j’utilise :

  d = 1440 VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume) p1 = SUMMATION[d](volume*typicalprice) p2 = SUMMATION[d](volume) p3 = SUMMATION[d](volume*typicalprice*typicalprice) ma = p1/p2 ma2 = p3/p2 sd = sqrt(abs(ma2 - ma * ma)) SDup1 = vwap+sd SDlw1 = vwap-sd SDup2 = vwap+sd*2 SDlw2 = vwap-sd*2 SDup3 = vwap+sd*3 SDlw3 = vwap-sd*3 RETURN vwap AS "vwap", sdup1 AS "upper 1 std", sdlw1 AS "lower 1 std", sdup2 AS "upper 2 std", sdlw2 AS "lower 2 std", sdup3 AS "upper 3 std", sdlw3 AS "lower 3 std"

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  d = 1440 VWAP = SUMMATION[d](volume*typicalprice)/SUMMATION[d](volume)   p1 = SUMMATION[d](volume*typicalprice) p2 = SUMMATION[d](volume) p3 = SUMMATION[d](volume*typicalprice*typicalprice) ma = p1/p2 ma2 = p3/p2 sd = sqrt(abs(ma2 - ma * ma)) SDup1 = vwap+sd SDlw1 = vwap-sd SDup2 = vwap+sd*2 SDlw2 = vwap-sd*2 SDup3 = vwap+sd*3 SDlw3 = vwap-sd*3 RETURN vwap AS "vwap", sdup1 AS "upper 1 std", sdlw1 AS "lower 1 std", sdup2 AS "upper 2 std", sdlw2 AS "lower 2 std", sdup3 AS "upper 3 std", sdlw3 AS "lower 3 std"

   

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  Alai-n, Nicolas

  

  KryptoKat

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  01/25/2023 at 10:45 AM #208179
  Nicolas

  Merci pour ton retour ! 🙂

  

  Nicolas

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