amvwap.efs

[Nereus]

Hi Alex,

Finally someone created a nice vwap plot. Thank you very much.

Suggestion:

Would you be able to make it plot the 1st and 2nd deviations? This would create 4 more lines, two above and two below the vwap for a total of 5 lilnes, acting as supp/resist points.

Thanks greatly,

Nereus

[steveinvest1]

Searching for amvwap.efs

Hello - I'm wondering if amvwap.efs is posted somewhere for download. Still haven't quite gotten the hang of searching the bulletin board for specific study names...

Thanks,
Steve

[ACM]

Steve
See this post for information on the VWAP study.
Alex

[steveinvest1]

Thanks!

Alex - don't know if this is overuse of a post, but thanks! Steve

[steveinvest1]

amvwap.efs with std. dev. lines

Hello Alex and Nereus - any further thoughts on adding the std. dev. lines? the amvwap. efs is helpful; just wondering if the std. dev. lines would enhance it... thanks - Steve

[ACM]

Nereus, Steve
If you are interested in adding the standard deviations to the VWAP study then you can easily do this by using the dsStdDev() function contained in the dsFunctions.efsLib library which is already installed on your computers.
Here is how you would need to modify the formula
You first need to add the addLibrary() call to load the function library in the efs. Insert the following line just below the existing addLibrary() call for the amStudies.efsLib

var dsLib = addLibrary("dsFunctions.efsLib");

Then add a global variable called for example xStdDev and set it to null.
Once you have done that you can add the function inside the bInit statement immediately following the line in which the amVWAP() is called.

xStdDev = dsLib.dsStdDev(length,xVWAP);

where length is the period over which you wish to calculate the standard deviation.
At that point after the bInit statement create local variables to retrieve the VWAP and its standard deviation values and run a null check on both

var nVWAP = xVWAP.getValue(0);
var nStdDev = xStdDev.getValue(0);
if(nVWAP==null || nStdDev == null) return;

Having done this simply replace the return statement with one that contains the plots you want. For example

return new Array (nVWAP+(2*nStdDev), nVWAP, nVWAP-(nStdDev));

will return the VWAP with a 2 standard deviation plot above and a 1 standard deviation plot below.
Add whatever other plots you may want to the return statement and adjust preMain to include the statements required to define these plots (plot type, color, thickness, etc)
Alex

Originally posted by Nereus
Hi Alex,

Finally someone created a nice vwap plot. Thank you very much.

Suggestion:

Would you be able to make it plot the 1st and 2nd deviations? This would create 4 more lines, two above and two below the vwap for a total of 5 lilnes, acting as supp/resist points.

Thanks greatly,

Nereus

[Nereus]

Thanks Alex... but I am a total idiot when it comes to coding. Wish I had the knowledge and/or time to learn it.

I can cut and paste but I would not know where specifically to paste it. Any further help from you would be greatly appreciated.
Sorry to be a such a complete ignoramus.

Cheers

PS: Steve.. if you are familiar with efs code.. and are able to create this.. would you mind sharing? Thanks

[Nereus]

OK.. Alex... I have found some help with this task, however, in this statement:

xStdDev = dsLib.dsStdDev(length,xVWAP);

where length is the period over which you wish to calculate the standard deviation... etc.

Is there a command (code) that specifies that it should be calc'd from the market open? Supposedly this is what is needed for these to work properly. Here is the calx that was presented to me by a fellow trader.

quote:
"STandard Deviations computed from (Price-Vwap)^2 summed over total price data for the day. It's the standard formula for computing Standard deviations."

Thanks

[steveinvest1]

amvwap.efs with std. dev. lines

Nereus - I too am learning .efs slowly.. was going to take a crack at it but you beat me to it. Alex - thanks for the instructions. Looking forward to the finished piece. Steve

[ACM]

Nereus and Steve
If you need to reset the Standard Deviation at the start of every day then you need to implement a different solution
Add the following Standard Deviation function to the script.



Then declare a global variable (ie outside of function main) calling it vCounter and set it initially to 0 ie
var vCounter = 0;
This variable will be used to define the length of the Standard Deviation as the day progresses.
Then inside main immediately after the bInit statement you will first retrieve the VWAP series and declare the nStdDev variable both of which will be used later in the script



Since you need to reset vCounter at every new day you have to define when that event occurrs



Then you need to increment vCounter by 1 at every new bar.



At this point you are ready to set the conditions to calculate the Standard Deviation using the function shown in the first image. You need at least three data points before you can do that so set the conditions as shown below.



Once you have done that you will use nVWAP and nStdDev as the elements of the return statement ie
return new Array (nVWAP+(2*nStdDev), nVWAP, nVWAP-(2*nStdDev))
Add the necessary statements in preMain to define the names, colors, plot types etc.
If you want to plot additional lines at different standard deviations then add them to the return array eg
return new Array (nVWAP+(3*nStdDev), nVWAP+(2*nStdDev), nVWAP, nVWAP-(2*nStdDev), etc)
and again adjust your preMain statements accordingly
Alex

[Les Carlin]

Originally posted by Alexis C. Montenegro
Nereus and Steve
If you need to reset the Standard Deviation at the start of every day then you need to implement a different solution
Add the following Standard Deviation function to the script.

Hi Alex

Thanks for your work on this. Its well appreciated. I have tried to copy the new code you put up in your last message, but keep getting syntax errors each time i run it. Probably because its difficult to accurately copy some else's coding. Also it was in graphic form , so i couldnt copy and paste. To get over this, would you instead place the full .efs script here in text format.

Many thanks

[ACM]

Les
Post the code that is returning syntax errors and I or someone else can guide you in fixing it
Alex

[Les Carlin]

Originally posted by Alexis C. Montenegro
Les
Post the code that is returning syntax errors and I or someone else can guide you in fixing it
Alex

Here it is:

/*********************************************************
Alexis C. Montenegro © July 2005                          
Use and/or modify this code freely. If you redistribute it
please include this and/or any other comment blocks and a 
description of any changes you make.                      
**********************************************************/

//NOTE:                                                                          
//This efs requires amStudies.efsLib in the FunctionLibrary folder.              
//If you do not have this file you can download it at the link below.            
//http://share.esignal.com/groupcontents.jsp?folder=Formulas-Libraries&groupid=10

var fpArray = new Array();

function preMain() {

    setPriceStudy(true);
    setStudyTitle("VWAP");
    setCursorLabelName("VWAP",0);
    setDefaultBarFgColor(Color.green,0);
    setPlotType(PLOTTYPE_SQUAREWAVE,0);
    setDefaultBarThickness(2,0);
    askForInput();

    var x=0;
    fpArray[x] = new FunctionParameter("Symbol", FunctionParameter.STRING);
    with(fpArray[x++]){
        setDefault();
    }
    fpArray[x] = new FunctionParameter("Interval", FunctionParameter.STRING);
    with(fpArray[x++]){
        setDefault();
    }
    fpArray[x] = new FunctionParameter("Params", FunctionParameter.BOOLEAN);
    with(fpArray[x++]){
        setName("Show Parameters");
        setDefault(false);
    }
}

var amLib = addLibrary("amStudies.efsLib");
var dsLib = addLibrary("dsFunctions.efsLib");
var xStdDev = null
var bInit = false
var xVWAP = null;

function main(Symbol,Interval,Params) {

    if(bInit==false){
        with( amLib ) {
        if(Symbol == null) Symbol = getSymbol();
        if(Interval == null) Interval = getInterval();
        var vSymbol = Symbol+","+Interval;
        // xVWAP = amVWAP(sym(vSymbol));
        xStdDev = dsLib.dsStdDev(20,xVWAP);
        setShowTitleParameters(eval(Params));
        bInit=true;
        }
    }
var vCounter = 0;

function StdDev(length, price) {
    if (getCurrentBarCount()<length){
    return;
    }
    var sumX = 0;
    var sumY = 0;
    for (var i=0; i<length; i++) {
        sumX += price.getValue(-i);
        sumY += (price.getValue(-i)*price.getValue(-i));
    }
    var meanX = (sumX/length);
    var stddev = Math.sqrt((sumY/length)-(meanX*meanX));
    return stddev;
}
    
    var nVWAP = getSeries(xVWAP); //retrieve the VWAP series
    var nStdDev = 0;
    
    if(getDay(0)!=getDay(-1)&&getBarState()==BARSTATE_NEWBAR){ //if a new day and new bar
        vCounter=0; //se vCounter to 0
    }
    if(getBarState()==BARSTATE_NEWBAR){ //if a new bar
            vCounter++; //increment vCounter by 1
    }
    
    if(vCounter>3){ //if Counter > 3
        nStdDev = StdDev(vCounter,nVWAP); //compute the SD
    }else{ //else if < 3
        nStdDev = null; //set SD to null
    }
    
    var nVWAP = xVWAP.getValue(0);
    var nStdDev = xStdDev.getValue(0);
    if(nVWAP==null || nStdDev == null) return;
    
    setBarFgColor(Color.purple,0);
    setBarThickness(2,0);
    return new Array (nVWAP+(2*nStdDev), nVWAP, nVWAP-(nStdDev));
    } 

[eSignal_JasonK]

Hello Les,

The vCounter variable and the StdDev() function need to be moved outside of the main() function. Then in the bInit code block at the top of main() you need to uncomment the line of code that initializes the xVWAP series. This series is being used later in the formula, which is causing a formula error. To uncomment that line of code, remove the two forward slashes at the front of the line (i.e. //). After making these changes you should be good to go.

[Les Carlin]

Originally posted by JasonK
Hello Les,

The vCounter variable and the StdDev() function need to be moved outside of the main() function. Then in the bInit code block at the top of main() you need to uncomment the line of code that initializes the xVWAP series. This series is being used later in the formula, which is causing a formula error. To uncomment that line of code, remove the two forward slashes at the front of the line (i.e. //). After making these changes you should be good to go.

Jason

Thanks. Have followed your suggestions and now have this study running. However visually it doesnt look right to me. What i mean is:



The thicker jagged line is the vwap, and if so the Std Deviation lines should be above and below it, which they clearly are not. Here's the code again:

var fpArray = new Array();

function preMain() {

setPriceStudy(true);
setStudyTitle("VWAP");
setCursorLabelName("VWAP",0);
setDefaultBarFgColor(Color.green,0);
setPlotType(PLOTTYPE_SQUAREWAVE,0);
setDefaultBarThickness(2,0);
askForInput();

var x=0;
fpArray[x] = new FunctionParameter("Symbol", FunctionParameter.STRING);
with(fpArray[x++]){
setDefault();
}
fpArray[x] = new FunctionParameter("Interval", FunctionParameter.STRING);
with(fpArray[x++]){
setDefault();
}
fpArray[x] = new FunctionParameter("Params", FunctionParameter.BOOLEAN);
with(fpArray[x++]){
setName("Show Parameters");
setDefault(false);
}
}

var amLib = addLibrary("amStudies.efsLib");
var dsLib = addLibrary("dsFunctions.efsLib");
var xStdDev = null
var bInit = false
var vCounter = 0
var xVWAP = null;

function StdDev(length, price) {
if (getCurrentBarCount()<length){
return;
}
var sumX = 0;
var sumY = 0;
for (var i=0; i<length; i++) {
sumX += price.getValue(-i);
sumY += (price.getValue(-i)*price.getValue(-i));
}
var meanX = (sumX/length);
var stddev = Math.sqrt((sumY/length)-(meanX*meanX));
return stddev;
}

function main(Symbol,Interval,Params) {

if(bInit==false){
with( amLib ) {
if(Symbol == null) Symbol = getSymbol();
if(Interval == null) Interval = getInterval();
var vSymbol = Symbol+","+Interval;
xVWAP = amVWAP(sym(vSymbol));
xStdDev = dsLib.dsStdDev(20,xVWAP);
setShowTitleParameters(eval(Params));
bInit=true;
}
}

var nVWAP = getSeries(xVWAP); //retrieve the VWAP series
var nStdDev = 0;

if(getDay(0)!=getDay(-1)&&getBarState()==BARSTATE_NEWBAR){ //if a new day and new bar
vCounter=0; //se vCounter to 0
}
if(getBarState()==BARSTATE_NEWBAR){ //if a new bar
vCounter++; //increment vCounter by 1
}

if(vCounter>3){ //if Counter > 3
nStdDev = StdDev(vCounter,nVWAP); //compute the SD
}else{ //else if < 3
nStdDev = null; //set SD to null
}

var nVWAP = xVWAP.getValue(0);
var nStdDev = xStdDev.getValue(0);
if(nVWAP==null || nStdDev == null) return;

return new Array (nVWAP+(2*nStdDev), nVWAP, nVWAP-(2*nStdDev));
}