VWAP Donchian screener does not work

• 03/20/2020 at 1:56 PM #122716
  Marcel van Vliet

  Hi.

  A few weeks ago I created a stock screener on the daily close which screens for candles (D1) which are crossing the 20 days high (upper Donchian channel) or/and the VWAP. Somehow this simple screener doesn’t seemed to work. The stocks which are selected by the screener are a day (candle) too late. I don’t use the [1] condition anywhere in the screener. Can anybody help me out?

  The code below is what I have done so far.

  Donchian VWAP screener

  //Crossover HIGH or VWAP //09/03/2020 //Marcel van Vliet d=20 vw = volume*close vwsum = SUMMATION[d](vw) volsum = SUMMATION[d](volume) VWAP = vwsum/volsum Upper = HIGHEST[20](HIGH) C1 = average[50]<VWAP C2 = low<VWAP and close>VWAP C3 = volume>average[20](volume) C4 = average[50]<Upper C5 = low<Upper and close>Upper screener [(C1 and C2 and C3) or (C3 and C4 and C5)]

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  //Crossover HIGH or VWAP //09/03/2020 //Marcel van Vliet   d=20 vw = volume*close vwsum = SUMMATION[d](vw) volsum = SUMMATION[d](volume) VWAP = vwsum/volsum Upper = HIGHEST[20](HIGH)   C1 = average[50]<VWAP C2 = low<VWAP and close>VWAP C3 = volume>average[20](volume) C4 = average[50]<Upper C5 = low<Upper and close>Upper     screener [(C1 and C2 and C3) or (C3 and C4 and C5)]

   

  

  Marcel van Vliet

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  03/20/2020 at 2:36 PM #122721
  fifi743

  //Crossover HIGH or VWAP //09/03/2020 //Marcel van Vliet d=20 vw = volume*close vwsum = SUMMATION[d](vw) volsum = SUMMATION[d](volume) VWAP = vwsum/volsum Upper = HIGHEST[20](HIGH) C1 = average[50]<VWAP C2 = low<VWAP and close>VWAP C3 = volume>average[20](volume) C4 = average[50]<Upper C5 = low<Upper and close>Upper long=0 short=0 if C1 and C2 and C3 then long=1 endif if C3 and C4 and C5 then short=1 endif signal=0 if long=1 then signal=1 endif if short=1 then signal=-1 endif // code proscreener d'exemple SCREENER[long or short](signal as "SIGNAL")

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  //Crossover HIGH or VWAP //09/03/2020 //Marcel van Vliet d=20 vw = volume*close vwsum = SUMMATION[d](vw) volsum = SUMMATION[d](volume) VWAP = vwsum/volsum Upper = HIGHEST[20](HIGH) C1 = average[50]<VWAP C2 = low<VWAP and close>VWAP C3 = volume>average[20](volume) C4 = average[50]<Upper C5 = low<Upper and close>Upper long=0 short=0 if C1 and C2 and C3 then long=1 endif if C3 and C4 and C5 then short=1 endif signal=0 if long=1 then signal=1 endif if short=1  then signal=-1 endif // code proscreener d'exemple SCREENER[long or short](signal as "SIGNAL")

  Tested in h1 it works.

  1 user thanked author for this post.

  Marcel van Vliet

  

  fifi743

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  03/20/2020 at 2:41 PM #122723
  Nicolas

  It’s 1 day late if you scan stocks with an “end of day” account.

  

  Nicolas

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  03/21/2020 at 4:13 PM #122841
  Marcel van Vliet

  Hi Nicolas,

  For this strategy I do not have acces to real-time data of US stocks, but I do have acces with the premium V11 version to real-time data of European stocks. The screener gives the same results with European stocks. Do I have to create two different screeners for each continent of stocks, or is there another way to make the screener work? This is a daily strategy so I don’t need real-time data for trading this strategy.

  

  Marcel van Vliet

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  03/21/2020 at 4:18 PM #122844
  Marcel van Vliet

  Merci beaucoup!

  

  Marcel van Vliet

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  03/23/2020 at 9:23 AM #122971
  Nicolas

  Could you provide an example of a late signal because I can’t find any.

  

  Nicolas

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  03/23/2020 at 11:44 AM #122992
  Marcel van Vliet

  Nicolas wrote:

  Could you provide an example of a late signal because I can’t find any.

  At this time this is correct. Stock prices are trading way under the VWAP.

  

  Marcel van Vliet

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  04/11/2020 at 1:01 AM #125650
  Linds

  Nicolas wrote:

  It’s 1 day late if you scan stocks with an “end of day” account.

  What is the logic of this?

  I renders eod scans quite useless if this is correct?

  

  Linds

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  04/11/2020 at 1:10 AM #125652
  robertogozzi

  Why useless?

  Free eod access lets you use the platform for testing until you feel comfortable with it, so that you may sometime upgrade your subscription, it’s not intended for trading purposes.

  

  robertogozzi

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