Guys I am not a TS coding guru by any means...still new at it but wanted to share this code if anyone else was interested. Just wrote this code for myself to keep up with JPERL's threads on Market Statistics. It plots the VWAP, and 1st and 2nd Standard Deviation bands. It lines up with his numbers within a tick or two so I think it is working correctly.

Any other TS coders out there please take a look because it can probably be improved upon.

This is my first post of a file so if I screwed something up...be gentle!

Hope this helps,

dbntina
boxmeister

[Head2k]

Originally Posted by shanmugam0230 »

can any one help me to plot VWAP in amibroker?

This is VWAP with SDs and (last value of) PVP for AmiBroker which I programed some time ago. It doesn't plot volume distribution, because AmiBroker can plot it on itself since version 5.20. I don't know how fast PC do you have, but the PVP calculation is quite demanding. So if you can settle for VWAP and SDs only and use AmiBroker's daily Volume at Price Overlay to judge PVP by eye, you can erase the part of code starting with ///// PVP /////. The code will be much faster then.
Also please note that I use black background, so change colors in code if needed.

ND = Day() != Ref(Day(), -1);

///// VWAP and SDs /////

P = (H + L) / 2;
VWP = P * V;
BI = BarIndex();
BeginBI = ValueWhen(ND, BI);
BeginBI = BeginBI[BarCount -1];
if(BeginBI < BarCount - 1)
	{
	InRange = BI >= BeginBI;
	CumV = Cum(V * InRange);
	CumVWP = Cum(VWP * InRange);
	VWAP = CumVWP / CumV;
	S = Cum(Ref(CumV, -1) * V * (P - Ref(VWAP, -1))^2 / CumV);
	Variance = S / CumV;
	SD = sqrt(Variance);
	VWAP = IIf(InRange, VWAP, Null);
	Plot(VWAP, "VWAP", colorYellow, styleNoTitle + styleNoRescale);
	Plot(VWAP + SD, "+1SD", colorGreen, styleDashed + styleNoTitle + styleNoRescale);
	Plot(VWAP - SD, "-1SD", colorRed, styleDashed + styleNoTitle + styleNoRescale);
	Plot(VWAP + 2*SD, "+2SD", colorSeaGreen, styleDashed + styleNoTitle + styleNoRescale);
	Plot(VWAP - 2*SD, "-2SD", colorOrange, styleDashed + styleNoTitle + styleNoRescale);
	Plot(VWAP + 3*SD, "+3SD", colorPaleGreen, styleDashed + styleNoTitle + styleNoRescale);
	Plot(VWAP - 3*SD, "-3SD", colorLightOrange, styleDashed + styleNoTitle + styleNoRescale);
	}

///// PVP /////

BarSinceND = BarsSince(ND);
iStart = Max(BarCount - 1 - BarSinceND[BarCount - 1], 0);
Top = HighestSince(ND, High);
Bot = LowestSince(ND, Low);
Range = Top - Bot;
BoxesInRange = Range / TickSize + 1;
VolUnit = Volume / ((High - Low) / TickSize + 1);
VUcount = 0;
MaxVUcount = 0;
PVP = Null;

if(iStart > 0)
{
for(i = iStart; i < BarCount; i++)
	{
	jShift = round((Bot[i - 1] - Low[i]) / TickSize);
	if((BoxesInRange[i] < BarCount))
		{
		if(jShift > 0)
			{
			LastVUcount = VUcount;
			VUcount = 0;
			for(j = jShift; j < BoxesInRange[i]; j++)
				{
				VUCount[j] = LastVUCount[j - jShift];
				}
			}
		jStart = round((Low[i] - Bot[i]) / TickSize);
		jEnd = round((High[i] - Bot[i]) / TickSize);
		for(j = jStart; j <= jEnd; j++)
			{
			VUcount[j] = VUcount[j] + VolUnit[i];
			MaxVUcount = Max(MaxVUcount, VUcount[j]);
			}
		}
	}
for(j = 0; j < BoxesInRange[BarCount - 1]; j++)
	{
	if(MaxVUcount == VUcount[j])
		PVP = Bot[BarCount - 1] + j * TickSize;
	}
Plot(PVP, "PVP", colorTurquoise, styleDots + styleNoTitle + styleNoRescale);
}

[ockrazor]

anyone has Vwap for esignal

[lj2500]

VWAP for esignal...You can get it here:

http://share.esignal.com/groupconten...FS2&groupid=10

look for AMVWAP2...(here it is attached)..you also need the amstudies function library found here:
http://share.esignal.com/groupconten...ies&groupid=10

remember to copy the AMSTUDIES.efslib to
CProgram Files\eSignal\FunctionLib rary\*

thats it.

[Garylim]

Managed to do something abt the bands in cqg, however may i ask if the bands recalculation period i set to 28 periods for 2 min periods, would it be more accurate?

i noted that if i set it to recalculate per 2 min, my chart becomes very jerky and messy, and setting it to a longer period per recalculation makes it smoother.


Is it wrong?

BTW, i got a very impt question, 2 STD DEV is 2 X 1STD DEV right? just wanan clarify.
cos this means if i managed to calcualte 1 std dev, 2 or 3 std dev shld nt be a prob

[BlowFish]

Originally Posted by Garylim »

Managed to do something abt the bands in cqg, however may i ask if the bands recalculation period i set to 28 periods for 2 min periods, would it be more accurate?

i noted that if i set it to recalculate per 2 min, my chart becomes very jerky and messy, and setting it to a longer period per recalculation makes it smoother.


Is it wrong?

BTW, i got a very impt question, 2 STD DEV is 2 X 1STD DEV right? just wanan clarify.
cos this means if i managed to calcualte 1 std dev, 2 or 3 std dev shld nt be a prob

Load less bars (so maybe only a day or two). If you can set to only calculate on bar close (I guess thats what re-calculate every 2 minutes will do in CQG) that should improve things. Calculating every 2 minutes dosent present a problem in most charting packages, it should not in CQG either. 28 period recalculation ios going to be quite a bit less acurate.

Yes 2SD is 2*1SD.

[Garylim]

hmmmmm a bit of dilemma, i use 1 period for 2 min charting is possible, but the charting turns out terribily jerky ...... but it seems to smooth out when i use longer periods of calcualtion for SD bands.....

[Garylim]

Does jerky bars correspond to ur charts?

[BlowFish]

I dont use CQG but SD bands on weighted data are notoriously processor intensive. Having said that running the calculations every 2 minutes is a snip for most programs (Ensign, Ninja, tradestation etc.). I wrote my own tradestation indicators that use a non iterative algorithm so no problems with jerkiness even tick by tick on a months worth of data.

How many days data are you loading ? If you are only re-calculating every 2 minutes you should have no problems....I would contact CQG as I mentioned before.