VWAP Bands – Standard Deviation

• 06/16/2020 at 10:35 AM #136093
  sixeight

  Hello All,

  I’ve been trying to use the VWAP Bands which come as standard in the PRT platform but I’ve noticed large discrepancies between PRT and the TradingView VWAP Bands. I’ve attached the code below from the TV indicator – is there a reason that they’re so different? TradingView seems to fit closely with what I’m looking for whereas the PRT bands are miles away from price.

  //"version=2 //with barcolors and stuff 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)") showBcol = input(true, title="Turn Barcolor ON/OFF?") 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") ColorSrc=input(close) price=ColorSrc start = security(tickerid, "D", time) newSession = iff(change(start), 1, 0) vwapsum = iff(newSession, hl2*volume, vwapsum[1]+hl2*volume) volumesum = iff(newSession, volume, volumesum[1]+volume) v2sum = iff(newSession, volume*hl2*hl2, v2sum[1]+volume*hl2*hl2) 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) myvwapu1= myvwap + devUp1 * dev myvwapd1= myvwap - devDn1 * dev 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)") myvwapu2= myvwap + devUp2 * dev myvwapu3= myvwap + devUp3 * dev myvwapd2= myvwap - devDn2 * dev myvwapd3= myvwap - devDn3 * dev 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) myvwapu4= myvwap + devDn4 * dev myvwapd4= myvwap - devDn4 * dev 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) ColorMiddleU = price > myvwap and price < myvwapu2 ? white:na ColorMiddleD = price > myvwapd1 and price < myvwap ? black:na ColorDv1d = price > myvwapd2 and price < myvwapd1 ? gray:na ColorDv1u = price > myvwapu1 and price < myvwapu2 ? gray:na ColorDv2d = price > myvwapd3 and price < myvwapd2 ? green:na ColorDv2u = price > myvwapu2 and price < myvwapu3 ? maroon:na ColorDv3d = price > myvwapd4 and price < myvwapd3 ? lime:na ColorDv3u = price > myvwapu3 and price < myvwapu4 ? red:na barcolor(showBcol?ColorMiddleD:na, title="BarColor vwap-1 Lower") barcolor(showBcol?ColorMiddleU:na, title="BarColorColor vwap-1 upper") barcolor(showBcol?ColorDv1d:na, title="BarColor 1-2 Lower") barcolor(showBcol?ColorDv1u:na, title="BarColorColor 1-2 upper") barcolor(showBcol?ColorDv2d:na, title="BarColor 2-3 Lower") barcolor(showBcol?ColorDv2u:na, title="BarColorColor 2-3 upper") barcolor(showBcol?ColorDv3d:na, title="BarColor 3-4 Lower") barcolor(showBcol?ColorDv3u:na, title="BarColorColor 3-4 upper") 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")

  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 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98

  //"version=2 //with barcolors and stuff 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)") showBcol = input(true, title="Turn Barcolor ON/OFF?") 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") ColorSrc=input(close) price=ColorSrc start = security(tickerid, "D", time)   newSession = iff(change(start), 1, 0)   vwapsum = iff(newSession, hl2*volume, vwapsum[1]+hl2*volume) volumesum = iff(newSession, volume, volumesum[1]+volume) v2sum = iff(newSession, volume*hl2*hl2, v2sum[1]+volume*hl2*hl2) 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)   myvwapu1= myvwap + devUp1 * dev myvwapd1= myvwap - devDn1 * dev   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)")   myvwapu2= myvwap + devUp2 * dev myvwapu3= myvwap + devUp3 * dev myvwapd2= myvwap - devDn2 * dev myvwapd3= myvwap - devDn3 * dev   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)   myvwapu4= myvwap + devDn4 * dev myvwapd4= myvwap - devDn4 * dev   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)   ColorMiddleU = price > myvwap and price < myvwapu2 ? white:na ColorMiddleD = price > myvwapd1 and price < myvwap ? black:na   ColorDv1d = price > myvwapd2 and price < myvwapd1 ? gray:na ColorDv1u = price > myvwapu1 and price < myvwapu2 ? gray:na   ColorDv2d = price > myvwapd3 and price < myvwapd2 ? green:na ColorDv2u = price > myvwapu2 and price < myvwapu3 ? maroon:na   ColorDv3d = price > myvwapd4 and price < myvwapd3 ? lime:na ColorDv3u = price > myvwapu3 and price < myvwapu4 ? red:na   barcolor(showBcol?ColorMiddleD:na, title="BarColor vwap-1 Lower") barcolor(showBcol?ColorMiddleU:na, title="BarColorColor vwap-1 upper") barcolor(showBcol?ColorDv1d:na, title="BarColor 1-2 Lower") barcolor(showBcol?ColorDv1u:na, title="BarColorColor 1-2 upper") barcolor(showBcol?ColorDv2d:na, title="BarColor 2-3 Lower") barcolor(showBcol?ColorDv2u:na, title="BarColorColor 2-3 upper") barcolor(showBcol?ColorDv3d:na, title="BarColor 3-4 Lower") barcolor(showBcol?ColorDv3u:na, title="BarColorColor 3-4 upper")   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")

   

  

  sixeight

  Participant

  Topics: 4

  Replies: 16

  Been thanked: 0 times
  06/16/2020 at 12:19 PM #136115
  Nicolas

  What VWAP indicator do you refer as “PRT bands” please? Is the default one in the platform or a custom code you found here in the forums?

  BTW please note that the tradingview code you have posted uses multiplier for the bands based on the golden ratio (which is not the ordinary way to display the VWAP bands).

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20863

  Been thanked: 4773 times
  06/16/2020 at 2:24 PM #136138
  sixeight

  Hi Nicolas,

  Sorry, I should have clarified, when I say PRT bands I mean the default VWAP bands in the PRT 10.3 platform.

  

  sixeight

  Participant

  Topics: 4

  Replies: 16

  Been thanked: 0 times
  06/16/2020 at 2:28 PM #136140
  Nicolas

  The VWAP bands is looking ok to me, why do you think they are way too far from the price? Do you have an example please?

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20863

  Been thanked: 4773 times
  06/16/2020 at 2:35 PM #136152
  sixeight

  I think it is probably because I am comparing the bands to TradingView – please see attached comparison.

  

  sixeight

  Participant

  Topics: 4

  Replies: 16

  Been thanked: 0 times
  06/16/2020 at 2:51 PM #136162
  Nicolas

  You might have changed something in the custom trading hours, look at the attached picture which is the IG CFD contract and not the same as the one you have.

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20863

  Been thanked: 4773 times
  06/16/2020 at 2:54 PM #136165
  sixeight

  That is what I was expecting Nicolas, I have it on the Daily VWAP setting but can’t modify it any further. I currently have the IG Spreadbet contract but they should be the same – and from a rudimentary look, the price is the same

  

  sixeight

  Participant

  Topics: 4

  Replies: 16

  Been thanked: 0 times
  06/16/2020 at 3:50 PM #136174
  Nicolas

  Maybe try this custom code: https://www.prorealcode.com/topic/is-there-any-working-intraday-vwap/#post-116309

  You will be able to change the deviation factor like the one from TV (by modding the code though..).

  

  Nicolas

  Keymaster

  Topics: 81

  Replies: 20863

  Been thanked: 4773 times
  06/17/2020 at 9:00 AM #136222
  sixeight

  Amazing, thanks Nicolas – is the deviation factor easy to alter (I’m clueless when it comes to code).

  Many thanks

  

  sixeight

  Participant

  Topics: 4

  Replies: 16

  Been thanked: 0 times
• Author
  Posts