Thursday, July 12, 2018

VWAP And Standard Deviation Bands Amibroker AFL

 VWAP & Standard Deviation Bands

In finance, volume-weighted average price (VWAP) is the ratio of the value traded to total volume traded over a particular time horizon (usually one day). It is a measure of the average price at which a stock is traded over the trading horizon. 

The VWAP can be used similar to moving averages, where prices above the VWAP reflect a bullish sentiment and prices below the VWAP reflect a bearish sentiment. Traders may initiate short positions as a stock price moves below VWAP for a given time period or initiate long position as the price moves above VWAP

Institutional buyers and algorithms will often use VWAP to plan entries and initiate larger positions without disturbing the stock price.

In addition to the VWAP , this Amibroker AFL also includes Standard Deviation Bands from the VWAP. So basically one can assume the chances of movement away from the VWAP. This is very important from the Intraday trading point of view.

VWAP And Standard Deviation AFL
VWAP And Standard Deviation AFL


DOWNLOAD VWAP AND STANDARD DEVIATION AMIBROKER AFL
Posted by at
Labels:

15 comments:

  1. ashishSeptember 22, 2018 at 2:45 PM

    help me ..if daily 2 candel high is 100 and 102.if i want average high price of 2 candel.how i write in afl code.plz any one help me

    ReplyDelete
    Replies
    1. Trade CatcherSeptember 23, 2018 at 12:42 PM

      Where do you want that price to be plotted in the chart ?

      Delete
  2. Adam BJune 20, 2019 at 3:05 AM

    When should these bands begin, mine begins at 18:00 the evening before, would it be better to have them begin at market open 08:00? Thanks.

    ReplyDelete
    Replies
    1. Trade CatcherJune 20, 2019 at 12:07 PM

      Hi Adam,

      It would be better to set the VWAP AFL as such that it begins at the start of the day with new volume coming afresh.The VWAP indicator takes some time to come clear after market open as more and more volume is generated.

      Happy Trading !!

      Aryan.

      Delete
    2. Adam BJune 20, 2019 at 8:57 PM

      Thank you very much.

      Delete
    3. Trade CatcherJune 23, 2019 at 11:44 AM

      You are Welcome.

      Happy Trading !!

      Delete
  3. shubhamJanuary 11, 2020 at 3:31 PM

    hey aryan how can i code standard deviation bands in trading view pine editor

    ReplyDelete
    Replies
    1. Trade CatcherJanuary 13, 2020 at 8:43 PM

      Hey Shubham,

      Check out this link

      https://www.tradingview.com/script/uOuvxEY7-VWAP-Stdev-Bands-v3/

      It might be of help to you .

      Delete
  4. sukantOctober 12, 2020 at 8:55 PM

    Hi Team,

    How do i convert this function in scanner ...
    can you help me ??

    ReplyDelete
    Replies
    1. Trade CatcherOctober 29, 2020 at 10:10 PM

      Hi Sukant,

      This is a lengthy process and it needs absolute conditions for Scanning.

      Delete
  5. Bhanu PratapApril 20, 2021 at 3:25 PM

    Thanks for great work, i would say SERVISE I am obliged,
    hi, can you pls suggest AFL for Option Index intraday strategies, both buy or sell side, trending market sideways, or if something which is like can work in trending as well as sideways market more better.

    ReplyDelete
    Replies
    1. Trade CatcherApril 21, 2021 at 9:53 AM

      Hi Bhanu,

      Thanks for your kind words.

      As far as AFL for Option Index strategies you are contemplating I would like to state that it is quite difficult to find such plug & play setups for options trading. One can try with straddle & strangle AFLs for sideways markets but that too are not automated kind of setups, continuous monitoring is needed in that case too. For trending markets Option Vertical Spreads are good.

      Happy Trading !!

      Aryan.

      Delete
  6. Mahmoud yassinJuly 28, 2021 at 2:17 AM

    Hello
    This works with mt5

    ReplyDelete
  7. Mahmoud yassinJuly 28, 2021 at 2:18 AM

    Hello

    This vwap band is working with mt5 or mt4

    ReplyDelete
    Replies
    1. Trade CatcherAugust 2, 2021 at 12:08 PM

      Hello for MT4 or MT5 you will need to search their respective codes. This code is only for Amibroker.

      Delete

Subscribe to: Post Comments (Atom)
Required US Government Disclaimer & CTFC Rule 4.41

Futures trading contains substantial risk and is not suitable for every investor. An investor could potentially lose all or more than the initial investment. Risk capital is money that can be lost without jeopardizing ones financial security or lifestyle. Only consider risk capital that should be used for trading and only those with sufficient risk capital should consider trading. Past performance is not necessarily indicative of future results. CTFC RULE 4.41 – HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT BEEN EXECUTED, THE RESULTS MAY HAVE UNDER-OR-OVER COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS SUCH AS LIQUIDITY. SIMULATED TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFIT OR LOSSES SIMILAR TO THOSE SHOWN. All trades, patterns, charts, systems, etc., discussed in this website or advertisement are for illustrative purposes only and not construed as specific advisory recommendations. All ideas and materials presented herein are for information and educational purposes only. No system or trading methodology has ever been developed that can guarantee profits or prevent losses. The testimonials and examples used herein are exceptional results which do not apply to average people and are not intended to represent or guarantee that anyone will achieve the same or similar results. Trades placed on the reliance of Trend Methods systems are taken at your own risk for your own account. This is not an offer to buy or sell futures interests.