mirror of
https://github.com/mihakralj/QuanTAlib.git
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Miha Kralj
93 lines
4.1 KiB
Plaintext
93 lines
4.1 KiB
Plaintext
// Licensed under the Apache License, Version 2.0
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// © mihakralj
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//@version=6
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indicator("VWAP Bands (VWAPBANDS)", "VWAPBANDS", overlay=true)
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//@function Calculates VWAP Bands with standard deviation bands
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//@param src Source price series (typically hlc3)
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//@param vol Volume series
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//@param reset_condition Condition to reset VWAP calculation
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//@param multiplier Standard deviation multiplier for bands
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//@returns [vwap_value, upper_band1, lower_band1, upper_band2, lower_band2, stdev] VWAP and band values
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//@optimized for performance and dirty data
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vwapbands(series float src, series float vol, series bool reset_condition, series float multiplier) =>
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var float sum_pv = 0.0, var float sum_vol = 0.0, var float sum_pv2 = 0.0, var int count = 0
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float current_price = nz(src), float current_vol = nz(vol, 0.0)
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if reset_condition
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if current_vol > 0.0
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sum_pv := current_price * current_vol
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sum_vol := current_vol
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sum_pv2 := current_price * current_price * current_vol
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count := 1
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else
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sum_pv := 0.0, sum_vol := 0.0, sum_pv2 := 0.0, count := 0
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else
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if current_vol > 0.0
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sum_pv += current_price * current_vol
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sum_vol += current_vol
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sum_pv2 += current_price * current_price * current_vol
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count += 1
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float vwap_val = sum_vol > 0.0 ? sum_pv / sum_vol : src
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float variance = 0.0
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if sum_vol > 0.0 and count > 1
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mean_p2 = sum_pv2 / sum_vol
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vwap_squared = vwap_val * vwap_val
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variance := math.max(0.0, mean_p2 - vwap_squared)
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float stdev = math.sqrt(variance)
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float upper1 = vwap_val + multiplier * stdev
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float lower1 = vwap_val - multiplier * stdev
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float upper2 = vwap_val + 2.0 * multiplier * stdev
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float lower2 = vwap_val - 2.0 * multiplier * stdev
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[vwap_val, upper1, lower1, upper2, lower2, stdev]
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// ---------- Main loop ----------
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// Inputs
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i_source = input.source(hlc3, "Source")
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i_session_type = input.string("1D", "Session Reset", options=["1m", "2m", "3m", "5m", "10m", "15m", "30m", "45m", "1H", "2H", "3H", "4H", "1D", "1W", "1M", "3M", "6M", "12M", "Never"])
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i_multiplier = input.float(1.0, "Standard Deviation Multiplier", minval=0.1, step=0.1)
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i_show_bands2 = input.bool(true, "Show 2nd Standard Deviation Bands")
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// Calculate reset condition
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reset_condition = switch i_session_type
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"1m" => ta.change(time("1")) != 0
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"2m" => ta.change(time("2")) != 0
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"3m" => ta.change(time("3")) != 0
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"5m" => ta.change(time("5")) != 0
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"10m" => ta.change(time("10")) != 0
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"15m" => ta.change(time("15")) != 0
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"30m" => ta.change(time("30")) != 0
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"45m" => ta.change(time("45")) != 0
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"1H" => ta.change(time("60")) != 0
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"2H" => ta.change(time("120")) != 0
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"3H" => ta.change(time("180")) != 0
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"4H" => ta.change(time("240")) != 0
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"1D" => ta.change(time("1D")) != 0
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"1W" => ta.change(time("1W")) != 0
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"1M" => ta.change(time("1M")) != 0
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"3M" => ta.change(time("3M")) != 0
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"6M" => ta.change(time("6M")) != 0
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"12M" => ta.change(time("12M")) != 0
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"Never" => bar_index == 0
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=> false
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// Calculation
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[vwap_value, upper_band1, lower_band1, upper_band2, lower_band2, stdev] = vwapbands(i_source, volume, reset_condition, i_multiplier)
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// Colors
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vwap_color = color.yellow
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band1_color = color.blue
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band2_color = color.purple
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fill_color1 = color.blue
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fill_color2 = color.purple
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// Plot
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p_vwap = plot(vwap_value, "VWAP", color=color.yellow, linewidth=2)
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p_upper1 = plot(upper_band1, "Upper Band 1σ", color=color.yellow, linewidth=2)
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p_lower1 = plot(lower_band1, "Lower Band 1σ", color=color.yellow, linewidth=2)
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p_upper2 = plot(i_show_bands2 ? upper_band2 : na, "Upper Band 2σ", color=color.yellow, linewidth=2)
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p_lower2 = plot(i_show_bands2 ? lower_band2 : na, "Lower Band 2σ", color=color.yellow, linewidth=2)
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fill(p_upper1, p_lower1, color=color.new(color.blue, 90), title="1σ Band Fill")
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fill(p_upper2, p_upper1, color=i_show_bands2 ? color.new(color.purple, 90) : na, title="Upper 2σ Fill")
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fill(p_lower1, p_lower2, color=i_show_bands2 ? color.new(color.purple, 90) : na, title="Lower 2σ Fill")
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