mirror of
https://github.com/mihakralj/QuanTAlib.git
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Miha Kralj
81 lines
3.2 KiB
Plaintext
81 lines
3.2 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 with Standard Deviation Bands", "VWAPSD", overlay=true)
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//@function Calculate VWAP 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 num_devs Number of standard deviations for bands
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//@returns [vwap, upper_band, lower_band]
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vwapsd(series float src, series float vol, series bool reset_condition, simple float num_devs) =>
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if num_devs <= 0
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runtime.error("Number of deviations must be greater than 0")
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if num_devs > 5
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runtime.error("Number of deviations exceeds maximum of 5")
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var float sum_pv = 0.0, var float sum_vol = 0.0, var float sum_pv2 = 0.0
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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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sum_pv := current_vol > 0.0 ? current_price * current_vol : 0.0
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sum_vol := current_vol > 0.0 ? current_vol : 0.0
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sum_pv2 := current_vol > 0.0 ? current_price * current_price * current_vol : 0.0
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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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float vwap = sum_vol > 0.0 ? sum_pv / sum_vol : src
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float variance = sum_vol > 0.0 ? (sum_pv2 / sum_vol) - math.pow(vwap, 2) : 0.0
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float stddev = math.sqrt(math.max(0.0, variance))
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float upper = vwap + (num_devs * stddev)
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float lower = vwap - (num_devs * stddev)
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[vwap, upper, lower]
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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_num_devs = input.float(2.0, "Standard Deviations", minval=0.1, maxval=5.0, step=0.1, tooltip="Number of standard deviations for 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, upper, lower] = vwapsd(i_source, volume, reset_condition, i_num_devs)
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// Plot
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plot(vwap, "VWAP", color=color.yellow, linewidth=2)
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plot(upper, "Upper Band", color=color.red, linewidth=1, style=plot.style_line)
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plot(lower, "Lower Band", color=color.green, linewidth=1, style=plot.style_line)
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// Fill between bands
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fill_color = color.new(color.gray, 90)
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fill(plot(upper), plot(lower), color=fill_color, title="Band Fill")
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