Jump to content

Welcome to the new Traders Laboratory! Please bear with us as we finish the migration over the next few days. If you find any issues, want to leave feedback, get in touch with us, or offer suggestions please post to the Support forum here.

  • Welcome Guests

    Welcome. You are currently viewing the forum as a guest which does not give you access to all the great features at Traders Laboratory such as interacting with members, access to all forums, downloading attachments, and eligibility to win free giveaways. Registration is fast, simple and absolutely free. Create a FREE Traders Laboratory account here.

ValueTrader

VWAP with SD Easy Lang Issues.

Recommended Posts

HI, I've tried a few VWAP codes in EL on my Global Zen platform with no problems.

 

The lastet one i've tried:

 

LegacyColorValue = true]; inputs: iStartTime (0800), ResetMinutes (60); vars: PriceW(0), ShareW(0), Count(0), VolWAPValue(0), VolWAPVariance(0), VolWAPSD(0); if mod( (TimeToMinutes(time)-TimeToMinutes(iStartTime) , TimeToMinutes(ResetMinutes) = 0 then begin PriceW = 0; ShareW = 0; Count = -1; Value1 = 0; Value2 = 0; VolWAPValue = 0; end; PriceW = PriceW + (AvgPrice * (UpTicks+DownTicks)); ShareW = ShareW + (UpTicks+DownTicks); Count = Count + 1; Value3 = 0; if ShareW > 0 then VolWAPValue = PriceW / ShareW; {Calculate the individual variance terms for each intraday bar starting with the current bar and looping back through each bar to the start bar. The terms are each normalized according to the Variance formula for each level of volume at each price bar } For Value1 = 0 To Count Begin Value2 = ((UpTicks[Value1]+DownTicks[Value1])/ShareW) * (Square(AvgPrice[Value1]-VolWAPValue)); Value3 = Value3 + Value2; End; VolWAPVariance = Value3; VolWAPSD = SquareRoot(VolWAPVariance); Plot1(VolWAPValue, "VWAP"); Plot2(VolWAPValue + VolWAPSD, "VWAP1SDUp"); Plot3(VolWAPValue - VolWAPSD, "VWAP1SDDown"); Plot4(VolWAPValue + (2*VolWAPSD), "VWAP2SDUp"); Plot5(VolWAPValue - (2*VolWAPSD), "VWAP2SDDown");

 

Comes up with 2 syntax errors and Unsupported attribute 'LeagacyColorVale"

 

Does anyone know the fix for these, and also can anyone reccomend a site to learn EL coding.

 

Thanks

VT

Share this post


Link to post
Share on other sites
Panic over, i've solved it now. If anyone would like the completed code (Easy Language for Open E Cry) let me know.

 

VT

 

why don't you just post the code.

this is a mutual community, that's why you came here in the first place.

(unless you are fishing for contact names)

 

 

 

ps. pls use code tag to wrap the code

it is the # sign above the message window.

 

tagged code looks like this:

 

LegacyColorValue = true]; 

inputs: 
   VolWAPValue(0), 
   VolWAPVariance(0), 
   VolWAPSD(0); 

if TimeToMinutes(ResetMinute_s) = 0 then 
begin 
   PriceW = 0;
end;

Edited by Tams

Share this post


Link to post
Share on other sites
why don't you just post the code.

this is a mutual community, that's why you came here in the first place.

(unless you are fishing for contact names)

 

Not sure if you're being rude in a friendly way, or friendly in a rude way.

 

I'll post the code and look forward the remarks that make coming these forums such a fun and rewarding experiance.

 

vars: vwap(0),
pv(0),
Totalvolume(0),
Barfromstart(0),
Squareddeviations(0),
Probabilityweighteddeviations(0),
deviationsum(0),
standarddeviation(0);
If date > date[1] 
then 
begin
Barfromstart=0;
pv=AvgPrice*volume;
Totalvolume=volume;
vwap=pv/totalvolume;
end
else
begin
Barfromstart=Barfromstart[1]+1;
pv=pv[1] + AvgPrice*Volume;
Totalvolume=Totalvolume[1] + Volume;
vwap=pv/Totalvolume;
end;
deviationsum=0;
for value1= 0 to Barfromstart
begin
Squareddeviations=Square( vwap-avgprice[value1]);
Probabilityweighteddeviations=volume[value1]*Squareddeviations/Totalvolume;
deviationsum=deviationsum +Probabilityweighteddeviations;
end;

standarddeviation=SquareRoot(deviationsum); 
Plot1(vwap);
Plot2(vwap+standarddeviation);
Plot3(vwap+2*standarddeviation);
Plot4(vwap-standarddeviation);
Plot5(vwap-2*standarddeviation);

Share this post


Link to post
Share on other sites

Hi,

 

I saw your EL code for the VWAP/SDs and imported it to OEC. Is this study similar to Jerry´s study, found under the Trading with Market Statistics threads here at TL.com?

 

Is it for tick-by-tick or 2m? At what time do you start the study?

 

I am using Jerry´s study in Ensign and want to compare it to yours.

 

Regards,

Halli.

Share this post


Link to post
Share on other sites
Hi,

 

I saw your EL code for the VWAP/SDs and imported it to OEC. Is this study similar to Jerry´s study, found under the Trading with Market Statistics threads here at TL.com?

 

Is it for tick-by-tick or 2m? At what time do you start the study?

 

I am using Jerry´s study in Ensign and want to compare it to yours.

 

Regards,

Halli.

 

I use it on a 5min as i find 2 min far too noisy for my requirements.

 

I do not use it in the same way as Jerry (although his posts and videos are excellent) For me it is an extra tool in an holostic approach to trading and market structure.

 

The study will start at the same time as your default market start times on the OEC platform.

 

By posting this code i am in no way reccomending its use in any particular way.

best to paper trade it first to suit your own style.

 

Best of Luck

 

VT

Share this post


Link to post
Share on other sites

It makes me chuckle that people sell stuff like this, I guess it helps those that have no interest in modifying the code themselves. Maybe I should simply post all my VWAP SD indicators which do all that and more:)

 

Anyway bomber there will probably be a line like

 

if date > date[1] then

 

Remove that and you will get a non resetting distribution.

 

Keep a count of days and (pretty trivial) to have an N day distribution.

Share this post


Link to post
Share on other sites
It makes me chuckle that people sell stuff like this, I guess it helps those that have no interest in modifying the code themselves. Maybe I should simply post all my VWAP SD indicators which do all that and more:)

 

Anyway bomber there will probably be a line like

 

if date > date[1] then

 

Remove that and you will get a non resetting distribution.

 

Keep a count of days and (pretty trivial) to have an N day distribution.

 

Hi BlowFish happy to hear your opinion. I think that sell stuff that come frome a free works it isn't really a good things, anyway this is my personal opinion.

Anyway I'd like to add N like number of day to calculate vwap in input, so i could shoose it,

 

And it would be great to combine a new vwap point of calculation when a strong minimum or maximum it is found.

 

Please if you know how to do help.

Share this post


Link to post
Share on other sites

Add something like this at the start of the main code loop:- (NumberofDays is an input)

if date > date[1] then
begin
n = n + 1;
if n = NumberofDays then 
begin	
	s = 0;
	n = 0;
	VWAP1 = VWAP;
	SD1 = SD;
	VWAP = 0;
	SumWeights = 0;
	SumWeightsOld = 0;
	VWAPOld = 0;
end;

Share this post


Link to post
Share on other sites

 

Where would you put that additional code in the formula to get a continuous VWAP/SDs for perhaps the past 2-3 days?

 

Regards,

Halli.

 

In the original code

If date > date[1] 

 

With Any Average, the longer the sample rate, the less sensitive it will be. Altering the VWAP for longer term analysis is great for just that. Dont expect to see many daytrading entry signals from it. The market sentiment / perception of value can change from one day to the next ( Compare Equities on the 18th & 19th this week as an example). Good Luck with it Halli.

 

VT

Share this post


Link to post
Share on other sites
Not sure it worked.

 

 

 

I think the key point to ask is did it 'work' for you?

 

If after testing it (OEC market replay give you the opportuntiy to try it out on multiple contracts) your results are positive, and you develop faith and a good feel for it then it 'works'.

 

Everyone processes the data we recieve on the charts differently, we are all dealing with approximations to a greater or lesser degree (with reference to volume).

 

Maybe use it as part of the jigsaw,and not the whole picture.

 

VT

Edited by ValueTrader
quoted previous post twice!

Share this post


Link to post
Share on other sites
Add something like this at the start of the main code loop:- (NumberofDays is an input)

if date > date[1] then
begin
n = n + 1;
if n = NumberofDays then 
begin	
	s = 0;
	n = 0;
	VWAP1 = VWAP;
	SD1 = SD;
	VWAP = 0;
	SumWeights = 0;
	SumWeightsOld = 0;
	VWAPOld = 0;
end;

 

Hi BlowFish thans for your help.

Now I try to add code and make it works.

 

I post a question about twap indicator, are you able to code it or is very difficult?

Share this post


Link to post
Share on other sites

Thanks ValueTrader for posting this code. Can you show me how to modify it to start at a particular time, say 1800?

 

Thanks in advance,

 

MilesT

 

Code:

vars: vwap(0),

pv(0),

Totalvolume(0),

Barfromstart(0),

Squareddeviations(0),

Probabilityweighteddeviations(0),

deviationsum(0),

standarddeviation(0);

If date > date[1]

then

begin

Barfromstart=0;

pv=AvgPrice*volume;

Totalvolume=volume;

vwap=pv/totalvolume;

end

else

begin

Barfromstart=Barfromstart[1]+1;

pv=pv[1] + AvgPrice*Volume;

Totalvolume=Totalvolume[1] + Volume;

vwap=pv/Totalvolume;

end;

deviationsum=0;

for value1= 0 to Barfromstart

begin

Squareddeviations=Square( vwap-avgprice[value1]);

Probabilityweighteddeviations=volume[value1]*Squareddeviations/Totalvolume;

deviationsum=deviationsum +Probabilityweighteddeviations;

end;

 

standarddeviation=SquareRoot(deviationsum);

Plot1(vwap);

Plot2(vwap+standarddeviation);

Plot3(vwap+2*standarddeviation);

Plot4(vwap-standarddeviation);

Plot5(vwap-2*standarddeviation);

Share this post


Link to post
Share on other sites

Dont forget to wrap to code when posting, using the hash on the top right hand side of the reply window. It makes the code easier to read.

 

{Example code here} plot1(open,"open");

 

As for you start time question, the simplest way would be to open a new chart and alter the default start time. Or you could use...

 

If time >1759 and time<1801 then begin

 

at the start of the code. you'd also need the place an

End;

at the end of the code.

Share this post


Link to post
Share on other sites

Join the conversation

You can post now and register later. If you have an account, sign in now to post with your account.
Note: Your post will require moderator approval before it will be visible.

Guest
Reply to this topic...

×   Pasted as rich text.   Paste as plain text instead

  Only 75 emoji are allowed.

×   Your link has been automatically embedded.   Display as a link instead

×   Your previous content has been restored.   Clear editor

×   You cannot paste images directly. Upload or insert images from URL.


  • Topics

  • Posts

    • there is no avoiding loses to be honest, its just how the market is. you win some and hopefully more, but u do lose some. 
    • Date: 11th July 2025.   Demand For Gold Rises As Trump Announces Tariffs!   Gold prices rose significantly throughout the week as investors took advantage of the 2.50% lower entry level. Investors also return to the safe-haven asset as the US trade policy continues to escalate. As a result, investors are taking a more dovish tone. The ‘risk-off’ appetite is also something which can be seen within the stock market. The NASDAQ on Thursday took a 0.90% dive within only 30 minutes.   Trade Tensions Escalate President Trump has been teasing with new tariffs throughout the week. However, the tariffs were confirmed on Thursday. A 35% tariff on Canadian imports starting August 1st, along with 50% tariffs on copper and goods from Brazil. Some experts are advising that Brazil has been specifically targeted due to its association with the BRICS.   However, the President has not directly associated the tariffs with BRICS yet. According to President Trump, Brazil is targeting US technology companies and carrying out a ‘witch hunt’against former Brazilian President Jair Bolsonaro, a close ally who is currently facing prosecution for allegedly attempting to overturn the 2022 Brazilian election.   Although Brazil is one of the largest and fastest-growing economies in the Americas, it is not the main concern for investors. Investors are more concerned about Tariffs on Canada. The White House said it will impose a 35% tariff on Canadian imports, effective August 1st, raised from the earlier 25% rate. This covers most goods, with exceptions under USMCA and exemptions for Canadian companies producing within the US.   It is also vital for investors to note that Canada is among the US;’s top 3 trading partners. The increase was justified by Trump citing issues like the trade deficit, Canada’s handling of fentanyl trafficking, and perceived unfair trade practices.   The President is also threatening new measures against the EU. These moves caused US and European stock futures to fall nearly 1%, while the Dollar rose and commodity prices saw small gains. However, the main benefactor was Silver and Gold, which are the two best-performing metals of the day.   How Will The Fed Impact Gold? The FOMC indicated that the number of members warming up to the idea of interest rate cuts is increasing. If the Fed takes a dovish tone, the price of Gold may further rise. In the meantime, the President pushing for a 3% rate cut sparked talk of a more dovish Fed nominee next year and raised worries about future inflation.   Meanwhile, jobless claims dropped for the fourth straight week, coming in better than expected and supporting the view that the labour market remains strong after last week’s solid payroll report. Markets still expect two rate cuts this year, but rate futures show most investors see no change at the next Fed meeting. Gold is expected to finish the week mostly flat.       Gold 15-Minute Chart     If the price of Gold increases above $3,337.50, buy signals are likely to materialise again. However, the price is currently retracing, meaning traders are likely to wait for regained momentum before entering further buy trades. According to HSBC, they expect an average price of $3,215 in 2025 (up from $3,015) and $3,125 in 2026, with projections showing a volatile range between $3,100 and $3,600   Key Takeaway Points: Gold Rises on Safe-Haven Demand. Gold gained as investors reacted to rising trade tensions and market volatility. Canada Tariffs Spark Concern. A 35% tariff on Canadian imports drew attention due to Canada’s key trade role. Fed Dovish Shift Supports Gold. Growing expectations of rate cuts and Trump’s push for a 3% cut boosted the gold outlook. Gold Eyes Breakout Above $3,337.5. Price is consolidating; a move above $3,337.50 could trigger new buy signals. Always trade with strict risk management. Your capital is the single most important aspect of your trading business.   Please note that times displayed based on local time zone and are from time of writing this report.   Click HERE to access the full HFM Economic calendar.   Want to learn to trade and analyse the markets? Join our webinars and get analysis and trading ideas combined with better understanding of how markets work. Click HERE to register for FREE!   Click HERE to READ more Market news.   Michalis Efthymiou HFMarkets   Disclaimer: This material is provided as a general marketing communication for information purposes only and does not constitute an independent investment research. Nothing in this communication contains, or should be considered as containing, an investment advice or an investment recommendation or a solicitation for the purpose of buying or selling of any financial instrument. All information provided is gathered from reputable sources and any information containing an indication of past performance is not a guarantee or reliable indicator of future performance. Users acknowledge that any investment in Leveraged Products is characterized by a certain degree of uncertainty and that any investment of this nature involves a high level of risk for which the users are solely responsible and liable. We assume no liability for any loss arising from any investment made based on the information provided in this communication. This communication must not be reproduced or further distributed without our prior written permission.
    • Back in the early 2000s, Netflix mailed DVDs to subscribers.   It wasn’t sexy—but it was smart. No late fees. No driving to Blockbuster.   People subscribed because they were lazy. Investors bought the stock because they realized everyone else is lazy too.   Those who saw the future in that red envelope? They could’ve caught a 10,000%+ move.   Another story…   Back in the mid-2000s, Amazon launched Prime.   It wasn’t flashy—but it was fast.   Free two-day shipping. No minimums. No hassle.   People subscribed because they were impatient. Investors bought the stock because they realized everyone hates waiting.   Those who saw the future in that speedy little yellow button? They could’ve caught another 10,000%+ move.   Finally…   Back in 2011, Bitcoin was trading under $10.   It wasn’t regulated—but it worked.   No bank. No middleman. Just wallet to wallet.   People used it to send money. Investors bought it because they saw the potential.   Those who saw something glimmering in that strange orange coin? They could’ve caught a 100,000%+ move.   The people who made those calls weren’t fortune tellers. They just noticed something simple before others did.   A better way. A quiet shift. A small edge. An asymmetric bet.   The red envelope fixed late fees. The yellow button fixed waiting. The orange coin gave billions a choice.   Of course, these types of gains are rare. And they happen only once in a blue moon. That’s exactly why it’s important to notice when the conditions start to look familiar.   Not after the move. Not once it's on CNBC. But in the quiet build-up— before the surface breaks.   Enter the Blue Button Please read more here: https://altucherconfidential.com/posts/netflix-amazon-bitcoin-blue  Profits from free accurate cryptos signals: https://www.predictmag.com/ 
    • What These Attacks Look Like There are several ways you could get hacked. And the threats compound by the day.   Here’s a quick rundown:   Phishing: Fake emails from your “bank.” Click the link, give your password—game over.   Ransomware: Malware that locks your files and demands crypto. Pay up, or it’s gone.   DDoS: Overwhelm a website with traffic until it crashes. Like 10,000 bots blocking the door. Often used by nations.   Man-in-the-Middle: Hackers intercept your messages on public WiFi and read or change them.   Social Engineering: Hackers pose as IT or drop infected USB drives labeled “Payroll.”   You don’t need to be “important” to be a target.   You just need to be online.   What You Can Do (Without Buying a Bunker) You don’t have to be tech-savvy.   You just need to stop being low-hanging fruit.   Here’s how:   Use a YubiKey (physical passkey device) or Authenticator app – Ditch text message 2FA. SIM swaps are real. Hackers often have people on the inside at telecom companies.   Use a password manager (with Yubikey) – One unique password per account. Stop using your dog’s name.   Update your devices – Those annoying updates patch real security holes. Use them.   Back up your files – If ransomware hits, you don’t want your important documents held hostage.   Avoid public WiFi for sensitive stuff – Or use a VPN.   Think before you click – Emails that feel “urgent” are often fake. Go to the websites manually for confirmation.   Consider Starlink in case the internet goes down – I think it’s time for me to make the leap. Don’t Panic. Prepare. (Then Invest.)   I spent an hour in that basement bar reading about cyberattacks—and watching real-world systems fall apart like dominos.   The internet going down used to be an inconvenience. Now, it’s a warning.   Cyberwar isn’t coming. It’s here.   And the next time your internet goes out, it might not just be your router.   Don’t panic. Prepare.   And maybe keep a backup plan in your back pocket. Like a local basement bar with good bourbon—and working WiFi.   As usual, we’re on the lookout for more opportunities in cybersecurity. Stay tuned.   Author: Chris Campbell (AltucherConfidential) Profits from free accurate cryptos signals: https://www.predictmag.com/   
    • DUMBSHELL:  re the automation of corruption ---  200,000 "Science Papers" in academic journal database PubMed may have been AI-generated with errors, hallucinations and false sourcing 
×
×
  • Create New...

Important Information

By using this site, you agree to our Terms of Use.