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----- Original Message -----
Sent: Sunday, January 06, 2008 4:32
PM
Subject: [amibroker] VWAP with SD1 bands and SD2 bands
code
>
Hi,
>
> Here is a tradestation code for VWAP with Standard
Deviation bands.
> Wonder if someone is able to translate it into
Amibroker code.
>
> I found the code from..
>
http://www.traderslaboratory.com/forums/f46/vwap-indicator-with-1sd-
> and-2sd-2175.html
>
>
>
{*********************************************************************
>
**************************
>
> Coded by dbntina/boxmeister
8/2/2007
>
> Used the VWAP_H code provided by Tradestation on
02/07/2003 Topic ID
> = 6735 Thanks Guys!
>
> Added the
computation for variance and the Standard Deviation to
> combine into one
indicator
> plot and this indicator plots the VWAP, SD1 bands and SD2
bands
>
>
**********************************************************************
>
*************************}
>
>
>
> [LegacyColorValue
= true];
>
> vars:
> PriceW(0),
> ShareW(0),
>
Count(0),
> VolWAPValue(0),
> VolWAPVariance(0),
>
VolWAPSD(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;
>
>
{Calculate the individual variance terms for each intraday
> bar starting
with the current
> bar and looping back through each bar to the start
bar. The
> terms are each normalized
> according to the
Variance formula for each level of volume at
> each price bar }
>
> 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);
>
>
> Plot1(VolWAPValue,
"VWAP");
> Plot2(VolWAPValue + VolWAPSD,
"VWAP1SDUp");
> Plot3(VolWAPValue - VolWAPSD,
"VWAP1SDDown");
> Plot4(VolWAPValue + (2*VolWAPSD),
"VWAP2SDUp");
> Plot5(VolWAPValue - (2*VolWAPSD),
"VWAP2SDDown");
> // added by request http://www.traderslaboratory.com/forums/f46/vwap-
> indicator-with-1sd-and-2sd-2175.html#post27273
> input :
trdSD (2.5);
> Plot6(VolWAPValue + (trdSD*VolWAPSD),
"VWAP3SDUp");
> Plot7(VolWAPValue - (trdSD*VolWAPSD),
"VWAP3SDDown");
>
>
>
> Please note that this group
is for discussion between users only.
>
> To get support from
AmiBroker please send an e-mail directly to
> SUPPORT {at}
amibroker.com
>
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>
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>
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>
__._,_.___
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
For other support material please check also:
http://www.amibroker.com/support.html
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