Constant share moving average

[mike_scott]

I am looking for a way to produce a volume weighted moving average of price over a given number of prior traded shares (input paramater).

We have a script for volume weighted average price. This is an average over a given number of prior interval bars.

I would like a similar calculation but instead of over a constant number of prior interval bars (like 10 or 50) I want the weighted average computed over the last 1 million shares for example.

The shares could be aggregated into small intervals such as 5 minutes and the volume weighted average price computed for all past bars until the cumulative volume equals an input parameter.

Does such a script exist or anything close?

Mike Scott
Tarzana, CA

[mike_scott]

Constant Share Moving Average

My question was moved to this forum perhaps by mistake.
I have had zero responses, no doubt. So below is the script I created to try to make a volume weighted moving average over a fixed number of shares and So far I think I have an infinite loop that needs to be shut down abnormally.

Please help and possibly move this back to another forum.

Mike Scott


// This formula written by Mike Scott
// This formula computes an average volume-weighted average price for stocks over a fixed number of traded shares
// The user inputs a value of Active Float representing a hypothetical number of shares being traded by active traders
// Active Float should be much less than the Total Float
// Current price is then plotted as a percent above or below the volume-weighted average price
// This price may then represent the current average profit position for the active traders

function preMain() {

setStudyTitle("Active Boundaries");
setPriceStudy(false);
setPlotType(PLOTTYPE_LINE, 0);
setDefaultBarFgColor(Color.RGB(0,0,255), 0);
setStudyMin(-50);
setStudyMax(50);
}
function main(nActiveFloat) {
if(nActiveFloat == null) {
nActiveFloat = 500000; //500 thousand shares
}
var vCumVol = 0;
var a5minV = new Array(); // Array for collecting 5 minute volume
var a5minC = new Array(); //Array for collecting 5 minute close prices

//Find 5-minute interval when cumulative volume equals Active Float and compute values
i =0;

while(vCumVol < nActiveFloat) {
vVol = volume(-1*i, inv("5"));
vCumVol += vVol;
a5minV.push(vVol);
a5minC.push(close(-1*i, inv("5")));
i++;
nLasti = i
}
//Compute volume weighted average price

vVolWtdPrice = 0;
vVolWtdAvgPrice = 0;
i = 0;

while(i < nLasti) {
vVolWtdPrice += a5minC(-i) * a5minV(-i);
i++
}
vVolWtdAvgPrice = vVolWtdPrice/vCumVol

//Now compute percent profit

var nProfit = 100 * (close(0)/vVolWtdAvgPrice -1)

Return(nProfit);
}

[Doji3333]

from what I could see, you had an unending loop setup in the code and were missing a variable declaration.

Try this..

// This formula written by Mike Scott
// This formula computes an average volume-weighted average price for stocks over a fixed number of traded shares
// The user inputs a value of Active Float representing a hypothetical number of shares being traded by active traders
// Active Float should be much less than the Total Float
// Current price is then plotted as a percent above or below the volume-weighted average price
// This price may then represent the current average profit position for the active traders

function preMain() {

setStudyTitle("Active Boundaries");
setPriceStudy(false);
setPlotType(PLOTTYPE_LINE, 0);
setDefaultBarFgColor(Color.RGB(0,0,255), 0);
setStudyMin(-50);
setStudyMax(50);
}

var nBarCounter = 0;
var nLasti = 0;

function main(nActiveFloat) {
  if(nActiveFloat == null) {
    nActiveFloat = 500000; //500 thousand shares
  }

  
  var nState = getBarState();
  if (nState == BARSTATE_NEWBAR) {
    nBarCounter++;
  }  
var vCumVol = 0;
var a5minV = new Array(); // Array for collecting 5 minute volume
var a5minC = new Array(); //Array for collecting 5 minute close prices

//Find 5-minute interval when cumulative volume equals Active Float and compute values
i =0;
nLasti = 0;

while ( ((nBarCounter+(-1*i)) > 0) && (vCumVol < nActiveFloat)) {
vVol = volume((-1*i), inv("5"));
vCumVol += vVol;
a5minV.push(vVol);
a5minC.push(close((-1*i), inv("5")));
i++;
nLasti = i;
}
//Compute volume weighted average price

vVolWtdPrice = 0;
vVolWtdAvgPrice = 0;
i = 0;

while(i < (nLasti-1)) {
 vVolWtdPrice += a5minC[i] * a5minV[i];
 i++
}
vVolWtdAvgPrice = vVolWtdPrice/vCumVol;

//Now compute percent profit

var nProfit = 100 * (close(0)/vVolWtdAvgPrice -1)

  return(nProfit);
} 

[mike_scott]

Constant share moving average

Brad, Thank You for your help.

I made an attempt with your code and I am getting an error that is leading me astray. It is one of those can't find a ";" type error. Script follows. I am stuck until I figure this out. Programming is not my day job

Mike Scott
Tarzana, CA

//This script was written by Mike Scott
// It is inspired by concepts written by Pascal Willain "Value in Time"
// This formula computes an average volume-weighted average price for stocks over a fixed number of traded shares
// The user inputs a value of Active Float representing a hypothetical number of shares being traded by active traders
// Active Float should be much less than the Total Float
// Current price is then plotted as a percent above or below the volume-weighted average price
// This price may then represent the current average profit position for the active traders

function preMain() {

setStudyTitle("Active Boundaries");
setPriceStudy(false);
setPlotType(PLOTTYPE_LINE, 0);
setDefaultBarFgColor(Color.RGB(0,0,255), 0);
setStudyMin(-50); setStudyMax(50);
}
var nBarCounter =0;
var nLasti =0;

function main(nActiveFloat) {
if(nActiveFloat == null) {
nActiveFloat = 500000; //500 thousand shares
}

var nState = getBarState();
if(nState == BARSTATE_NEWBAR) {
nBarCounter++;
}

var vCumVol = 0;
var a5minV = new Array(); // Array for collecting 5 minute volume
var a5minC = new Array(); //Array for collecting 5 minute close prices


//Find 5-minute interval when cumulative volume equals Active Float and compute values

i =0;

while( ((nBarCounter(-1*i)) > 0) && (vCumVol < nActiveFloat)) {
vVol = volume(-1*i, inv("5"));
vCumVol += vVol;
a5minV.push(vVol);
a5minC.push(close(-1*i, inv("5")));
i++;
nLasti = i;
}
//Compute volume weighted average price

vVolWtdPrice = 0;
vVolWtdAvgPrice = 0;
i = 0;

while(i < nLasti) {
vVolWtdPrice += a5minC(i) * a5minV(i);
i++;
}
vVolWtdAvgPrice = vVolWtdPrice/vCumVol;

//Now compute percent profit

nProfit = 100 * (close(0)/vVolWtdAvgPrice -1);


Return nProfit;
}

[Doji3333]

Try this. It loads and runs on my PC.

B