Z distance from VWAP [LazyBear]

This calculates normal distance of price from VWAP . This is a mean reverting idea (something like ZScore), but using both "volume" and "close".

Useful for finding OB/OS areas and potential turning points.

Complete list of my indicators:

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// @author LazyBear 
// List of all my indicators:
study("Z distance from VWAP [LazyBear]", shorttitle="ZVWAP_LB")

calc_zvwap(pds) =>
	mean = sum(volume*close,pds)/sum(volume,pds)
	vwapsd = sqrt(sma(pow(close-mean, 2), pds) )


plot(1, style=3, color=gray), plot(-1, style=3, color=gray)
ul1=plot(upperTop, "OB High")
ul2=plot(upperBottom, "OB Low")
fill(ul1,ul2, color=red)
ll1=plot(lowerTop, "OS High")
ll2=plot(lowerBottom, "OS Low")
fill(ll1,ll2, color=green)
plot(calc_zvwap(length),title="ZVWAP",color=maroon, linewidth=2)

This seems really interesting/powerful used in conjunction with MACD/Derivative Oscillator as well as your WT_LB indicator. Could you talk a bit here about how you use it? It seems in backtesting that it gives a good leading indicator of possible MACD crosses.

(am newb, thanks much)
Is there a way to create a search parameter for Thinkorswim using this indicator?
How do I add this to thinkorswim? Copy/paste isn't working. Thanks!
+2 Reply
Great !...The big boys come in when price deviates 4% from VWAP ;)
Nice..thanks for the info :)
Great indicator. I love using Vwap. In my opinion, the most useful indicator. Z score implementation makes it even better. Thanks!
LazyBear coondawg71
yw :)
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