SandroTurriate

VWAP Stdev Bands

889 3 75
This indicator plots VWAP with 2x Standard Deviation bands. This could potentially be used to trade a mean reversion type strategy. Only works on intraday charts.
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study("VWAP Stdev Bands", overlay=true)
devNum = input(2, title="Number of stdev")
newSession = iff(change(dayofweek), 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))
plot(myvwap, title="VWAP")
plot(myvwap + devNum * dev, title="VWAP Upper")
plot(myvwap - devNum * dev, title="VWAP Lower")
This script was updated: VWAP Stdev Bands v2
Nice work Sandro! Would you be interested in adding a couple more deviation ratios? I use 1.28 as breakout and 3.09 as a max deviation. They work very well. The typical 2.0 is very common for stocks. Larger deviations are necessary for FX. Using "IDC" data feed for FX allows us to plot Vwap bands on FX, which obviously is not the norm.
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IvanLabrie coondawg71
a year ago
VWAP, a beautiful took.
I prefer the actual volume profile and manual analysis, but this is very good.
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