Volatility VS Vwap

[spyro 10]

vars:

PriceW(0), ShareW(0), Count(0), VolWAPValue(0), VolWAPVariance(0), VolWAPSD(0), aa(0), bb(0);

 

if date > date[1] then begin

PriceW = 0; ShareW = 0; Count = -1; Value1 = 0; Value2 = 0; VolWAPValue = 0; end;

PriceW = PriceW + (AvgPrice * (UpTicks+DownTicks));

ShareW = ShareW + (UpTicks+DownTicks);

Count = Count + 1;

Value3 = 0;

if ShareW > 0 then VolWAPValue = PriceW / ShareW;

For Value1 = 0 To Count Begin

Value2 = ((UpTicks[Value1]+DownTicks[Value1])/ShareW) * (Square(AvgPrice[Value1]-VolWAPValue));

Value3 = Value3 + Value2;

End;

VolWAPVariance = Value3;

VolWAPSD = SquareRoot(VolWAPVariance);

value1=volwapsd;

value2=(value1[203]+value1[406]+value1[609])/3;

value3=(value1+value2)/2;

value4=value3*2;

 

Plot1(value1, "vwap");

if time<1100 then begin

Plot2(value2, "3-Day Avg");

end;

if time>1000 then begin

Plot4(4.25,"-");

Plot6(6.25,"+");

end;

 

condition1=time>630 and time<730;

condition2=time>730 and time<830;

condition3=time>830 and time<930;

condition4=time>930 and time<1030;

condition5=time>1030 and time<1130;

condition6=time>1130 and time<1315;

 

if condition1 then

setplotcolor(2, blue);

if condition2 then

setplotcolor(2, red);

if condition3 then

setplotcolor(2, blue);

if condition4 then

setplotcolor(2, red);

if condition5 then

setplotcolor(2, blue);

if condition6 then

setplotcolor(2, red);

 

 

 

[Trader333 10]

Thanks for this. Just one thing for TS2Ki users is that there is a maximum of four plots so replace plot6 with plot3 and it should be fine.

 

 

Paul

[waveslider 10]

? Could you give a description of what exactly this is useful for?

 

thanks