LazyBear

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:
Open-source script

In true TradingView spirit, the author of this script has published it open-source, so traders can understand and verify it. Cheers to the author! You may use it for free, but reuse of this code in a publication is governed by House Rules. You can favorite it to use it on a chart.

Want to use this script on a chart?
//
// @author LazyBear 
// List of all my indicators: https://www.tradingview.com/v/4IneGo8h/
//
study("Z distance from VWAP [LazyBear]", shorttitle="ZVWAP_LB")
length=input(20)

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

plot(0)
upperTop=input(2.5)
upperBottom=input(2.0)
lowerTop=input(-2.5)
lowerBottom=input(-2.0)

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)

List of my free indicators: http://bit.ly/1LQaPK8
List of my indicators at Appstore: http://blog.tradingview.com/?p=970

Comments

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)
+13 Reply
How do I add this to thinkorswim? Copy/paste isn't working. Thanks!
+5 Reply
t_todua Special_Grant
@Special_Grant, it needs ThinkOrSwim programmer.
Reply
Great !...The big boys come in when price deviates 4% from VWAP ....fyi ;)
+2 Reply
LazyBear TASAVANT
Nice..thanks for the info :)
Reply
Hey, curious if there was a reason you used "close" as the source instead of "vwap" when calculating the vwap deviation? (Genuine question - I am learning a lot from these open source scripts). Thanks!
Reply
Hi, this is a very good indicator.
I have scanned around 3 years data manually, and it is doing great.

I wanted to tweak a little of your great code, to just be able to show the difference between the last and yesterday value of ZVWAP
so that I could tell the slope of the line from bar to bar.

since I am newbie in coding.

I tried to input --> plot calc_zvmap..... but it is not working.
and tried others but still no clue (tried also read the manual).

some hints or clue is very well appreciated.

Thanks.
Reply
excellent indicator
Reply
What does PDS define?
Reply
It doesnt seem to work for currencies and indexes... any idea ?
Reply