Anchored VWAP Experto + Deviation Bands free
Description
This is the Anchored VWAP with Deviation Bands + Clouds used in a strategy Known as Midas Technical Analysis.
The indicator gives you the possibility to plote multiple VWAPs by giving for each of them a different number id in the VWAP Number field.
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Formula / Source Code
using System; using cAlgo.API; using cAlgo.API.Internals; using cAlgo.API.Indicators; using cAlgo.Indicators; namespace cAlgo { [Cloud("Upper Deviation 3", "Upper Deviation 2")] [Cloud("Upper Deviation 1", "VWAP")] [Cloud("Lower Deviation 2", "Lower Deviation 3")] [Cloud("VWAP", "Lower Deviation 1", FirstColor = "6BFF0000")] [Indicator(IsOverlay = true, TimeZone = TimeZones.UTC, AccessRights = AccessRights.None)] public class AnchoredVWAPDeviationExperto : Indicator { [Output("VWAP", LineColor = "Yellow")] public IndicatorDataSeries VWAP { get; set; } public enum PriceType { Typical = 1, High = 2, Low = 3, Median = 4 } [Parameter("Arrow Type", Group = "Arrows Settings", DefaultValue = ChartIconType.UpArrow)] public ChartIconType ArrowType { get; set; } [Parameter("VWAP Price", Group = "VWAP Calcuation Type", DefaultValue = PriceType.Typical)] public PriceType VWAPSelectedType { get; set; } [Parameter("Arrow Color", Group = "Arrows Settings", DefaultValue = Colors.Yellow)] public Colors ArrowColor { get; set; } [Parameter("VWAP Number", Group = "Use for Multiple VWAPs", DefaultValue = 0)] public int VWAPNumber { get; set; } [Parameter("Icon Style", Group = "Arrows Settings", DefaultValue = ChartIconType.UpArrow)] public ChartIconType IconStyle { get; set; } [Output("Upper Deviation 1", LineColor = "897CFC00", Thickness = 1, PlotType = PlotType.DiscontinuousLine)] public IndicatorDataSeries STD1U { get; set; } [Output("Upper Deviation 2", LineColor = "897CFC00", Thickness = 1, PlotType = PlotType.DiscontinuousLine)] public IndicatorDataSeries STD2U { get; set; } [Output("Upper Deviation 3", LineColor = "897CFC00", Thickness = 1, PlotType = PlotType.DiscontinuousLine)] public IndicatorDataSeries STD3U { get; set; } [Output("Lower Deviation 1", LineColor = "6BFF0000", Thickness = 1, PlotType = PlotType.DiscontinuousLine)] public IndicatorDataSeries STD1D { get; set; } [Output("Lower Deviation 2", LineColor = "6BFF0000", Thickness = 1, PlotType = PlotType.DiscontinuousLine)] public IndicatorDataSeries STD2D { get; set; } [Output("Lower Deviation 3", LineColor = "6BFF0000", Thickness = 1, PlotType = PlotType.DiscontinuousLine)] public IndicatorDataSeries STD3D { get; set; } [Parameter("First Multiplier", Group = "Standard Deviations", DefaultValue = 1)] public double STD1M { get; set; } [Parameter("Second Multiplier", Group = "Standard Deviations", DefaultValue = 2)] public double STD2M { get; set; } [Parameter("Third Multiplier", Group = "Standard Deviations", DefaultValue = 3)] public double STD3M { get; set; } public ChartIcon Arrow; public DateTime IconTime; public bool IconExists = false; public int IndexIconStart; public int ArrowCreated; public ChartIcon VWAPIcon; public DataSeries VWAPTPrice; public bool ShowSTDs = true; protected override void Initialize() { foreach (ChartObject o in Chart.Objects) { var VWAP_Name = "VWAP-Arrow" + VWAPNumber; if (o.Name == VWAP_Name && o.ObjectType == ChartObjectType.Icon) { o.IsInteractive = true; VWAPIcon = (ChartIcon)o; IconTime = VWAPIcon.Time; VWAPIcon.Color = ArrowColor.ToString(); VWAPIcon.IconType = IconStyle; IconExists = true; ArrowCreated = 1; } } if (VWAPSelectedType == PriceType.Typical) VWAPTPrice = Bars.TypicalPrices; else if (VWAPSelectedType == PriceType.High) VWAPTPrice = Bars.HighPrices; else if (VWAPSelectedType == PriceType.Low) VWAPTPrice = Bars.LowPrices; else if (VWAPSelectedType == PriceType.Median) VWAPTPrice = Bars.MedianPrices; if (!IconExists) { IndexIconStart = Chart.FirstVisibleBarIndex + ((Chart.LastVisibleBarIndex - Chart.FirstVisibleBarIndex) / 2); } Chart.ObjectUpdated += OnChartObjectUpdated; } public override void Calculate(int index) { //******************** Create VWAP Arrow One *********************************// if (index == IndexIconStart && IconExists == false) { var VWAP_Name = "VWAP-Arrow" + VWAPNumber; double pr = Bars.LowPrices[index] - (Bars.HighPrices[index] - Bars.LowPrices[index]); Arrow = Chart.DrawIcon(VWAP_Name, ChartIconType.UpArrow, index, pr, Color.Gold); Arrow.IsInteractive = true; Arrow.Color = ArrowColor.ToString(); ArrowCreated = 2; } //************************ Draw VWAP One Line **********************************// if (IsLastBar && ArrowCreated == 2) { double sumP = 0.0; double sumVl = 0.0; for (int j = 0; j < Chart.BarsTotal; j++) { if (j >= IndexIconStart) { sumP += VWAPTPrice[j] * Bars.TickVolumes[j]; sumVl += Bars.TickVolumes[j]; VWAP[j] = sumP / sumVl; } if (ShowSTDs) { //Print("Called"); double squaredErrors = 0; //int startIndex = Bars.OpenTimes.GetIndexByTime(IconTime); int startIndex = IndexIconStart; for (int i = j; i >= startIndex; --i) { squaredErrors += Math.Pow(Bars.ClosePrices[i] - VWAP[j], 2); } squaredErrors /= (j - startIndex + 1); squaredErrors = Math.Sqrt(squaredErrors); STD1U[j] = squaredErrors * STD1M + VWAP[j]; STD2U[j] = squaredErrors * STD2M + VWAP[j]; STD3U[j] = squaredErrors * STD3M + VWAP[j]; STD1D[j] = VWAP[j] - squaredErrors * STD1M; STD2D[j] = VWAP[j] - squaredErrors * STD2M; STD3D[j] = VWAP[j] - squaredErrors * STD3M; } } } else if (IsLastBar && ArrowCreated == 1) { double sumP = 0.0; double sumVl = 0.0; for (int j = 0; j < Chart.BarsTotal; j++) { if (Bars.OpenTimes[j] >= IconTime) { sumP += VWAPTPrice[j] * Bars.TickVolumes[j]; sumVl += Bars.TickVolumes[j]; VWAP[j] = sumP / sumVl; } if (ShowSTDs) { //Print("Called"); double squaredErrors = 0; int startIndex = Bars.OpenTimes.GetIndexByTime(IconTime); for (int i = j; i >= startIndex; --i) { squaredErrors += Math.Pow(Bars.ClosePrices[i] - VWAP[j], 2); } squaredErrors /= (j - startIndex + 1); squaredErrors = Math.Sqrt(squaredErrors); STD1U[j] = squaredErrors * STD1M + VWAP[j]; STD2U[j] = squaredErrors * STD2M + VWAP[j]; STD3U[j] = squaredErrors * STD3M + VWAP[j]; STD1D[j] = VWAP[j] - squaredErrors * STD1M; STD2D[j] = VWAP[j] - squaredErrors * STD2M; STD3D[j] = VWAP[j] - squaredErrors * STD3M; } } } } void OnChartObjectUpdated(ChartObjectUpdatedEventArgs obj) { if (obj.ChartObject.ObjectType == ChartObjectType.Icon) { var VWAP_Name = "VWAP-Arrow" + VWAPNumber; if (obj.ChartObject.Name == VWAP_Name) { UpdateIconOne(); } } } private void UpdateIconOne() { double sumP = 0.0; double sumVl = 0.0; for (int i = 0; i < Chart.BarsTotal; i++) { VWAP[i] = double.NaN; } ArrowCreated = 1; if (IconExists) { IconTime = VWAPIcon.Time; VWAPIcon.Color = ArrowColor.ToString(); VWAPIcon.IconType = IconStyle; } else { IconTime = Arrow.Time; Arrow.Color = ArrowColor.ToString(); Arrow.IconType = IconStyle; } for (int j = 0; j < Chart.BarsTotal; j++) { if (Bars.OpenTimes[j] >= IconTime) { sumP += VWAPTPrice[j] * Bars.TickVolumes[j]; sumVl += Bars.TickVolumes[j]; VWAP[j] = sumP / sumVl; } if (ShowSTDs) { //Print("Called"); double squaredErrors = 0; int startIndex = Bars.OpenTimes.GetIndexByTime(IconTime); for (int i = j; i >= startIndex; --i) { squaredErrors += Math.Pow(Bars.ClosePrices[i] - VWAP[j], 2); } squaredErrors /= (j - startIndex + 1); squaredErrors = Math.Sqrt(squaredErrors); STD1U[j] = squaredErrors * STD1M + VWAP[j]; STD2U[j] = squaredErrors * STD2M + VWAP[j]; STD3U[j] = squaredErrors * STD3M + VWAP[j]; STD1D[j] = VWAP[j] - squaredErrors * STD1M; STD2D[j] = VWAP[j] - squaredErrors * STD2M; STD3D[j] = VWAP[j] - squaredErrors * STD3M; } } } } }
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