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// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © allanster on TradingView
//@version=5
indicator("Anchored VWAP Pinch & Handoff, Intervals, and Signals", 'Price', overlay = true, max_lines_count = 500)
evnHi = timestamp("10 Nov 2021 00:00 +0000") // default event for AVWAP hi
evnLo = timestamp("21 Sep 2021 00:00 +0000") // default event for AVWAP lo
evnHO = timestamp("24 Jan 2022 00:00 +0000") // default event for AVWAP handoff
colHi = #ff00664d // default color for AVWAP event hi
colLo = #ff00ff4d // default color for AVWAP event lo
colHO = #9900ff4d // default color for AVWAP handoff
col1D = #0000ffb3 // default color for AVWAP daily
col2D = #00ffffb3 // default color for AVWAP previous daily
col1W = #00ff00b3 // default color for AVWAP weekly
col1M = #ffff00b3 // default color for AVWAP monthly
col3M = #ff6600b3 // default color for AVWAP quarterly
col1Y = #ff0000b3 // default color for AVWAP yearly
colah = #f23645ff // default color for AVWAP auto1
colal = #089981ff // default color for AVWAP auto2
toolD = "[Event Date] [Event Time]\nSet the desired Date & Time or drag the vertical anchor line to a significant Event on chart."
toolE = "[Source] [Zone Type] [Zone Width] [Color]\nSet the anchored VWAP's desired Source, Zone Type, Zone Width, and Color."
toolI = "[Source] [Interval] [Line Width] [Color]\nSet the periodic VWAP's desired Source, Interval, Line Width, and Color."
toolA = "[Signal] [Source] [Line Width] [Color]\nSet the automatic VWAP's desired Signal, Source, Line Width, and Color."
toolS = "[Length] [Bars Left] [Bars Right]\nSet the desired Length applicable for Highest, Lowest, Highest Volume " +
", and Lowest Volume. Set the desired number of Bars Left & Bars Right applicable for Pivot Hi or Pivot Lo."
dateH = input.time (evnHi, 'Event Hi', tooltip = toolD, confirm = false)
sho_H = input.bool (true, 'Show', inline = 'A')
src_H = input.source (hlc3, '', inline = 'A')
zon_H = input.string ('% Above', '', inline = 'A',
options = ['Off', '% Above', '% Below', '% Dual', 'StDev Above', 'StDev Below', 'StDev Dual'])
fct_H = input.float (3, '', minval = 0, step = 0.1, inline = 'A')
col_H = input.color (colHi, '', tooltip = toolE, inline = 'A')
dateL = input.time (evnLo, 'Event Lo', tooltip = toolD, confirm = false)
sho_L = input.bool (true, 'Show', inline = 'B')
src_L = input.source (hlc3, '', inline = 'B')
zon_L = input.string ('% Below', '', inline = 'B',
options = ['Off', '% Above', '% Below', '% Dual', 'StDev Above', 'StDev Below', 'StDev Dual'])
fct_L = input.float (3, '', minval = 0, step = 0.1, inline = 'B')
col_L = input.color (colLo, '', tooltip = toolE, inline = 'B')
dateC = input.time (evnHO, 'HandOff', tooltip = toolD, confirm = false)
sho_C = input.bool (true, 'Show', inline = 'C')
src_C = input.source (hlc3, '', inline = 'C')
zon_C = input.string ('% Below', '', inline = 'C',
options = ['Off', '% Above', '% Below', '% Dual', 'StDev Above', 'StDev Below', 'StDev Dual'])
fct_C = input.float (3, '', minval = 0, step = 0.1, inline = 'C')
col_C = input.color (colHO, '', tooltip = toolE, inline = 'C')
sho_D = input.bool (false, 'Show', inline = 'D', group = 'Intervals')
src_D = input.source (hlc3, '', inline = 'D', group = 'Intervals')
res_D = input.timeframe('D', '', inline = 'D', group = 'Intervals')
wid_D = input.int (2, '', minval = 0, inline = 'D', group = 'Intervals')
col_D = input.color (col1D, '', tooltip = toolI, inline = 'D', group = 'Intervals')
sho_P = input.bool (false, 'Show', inline = 'P', group = 'Intervals')
src_P = input.source (hlc3, '', inline = 'P', group = 'Intervals')
res_P = input.timeframe('2D', '', inline = 'P', group = 'Intervals')
wid_P = input.int (2, '', minval = 0, inline = 'P', group = 'Intervals')
col_P = input.color (col2D, '', tooltip = toolI, inline = 'P', group = 'Intervals')
sho_W = input.bool (false, 'Show', inline = 'W', group = 'Intervals')
src_W = input.source (hlc3, '', inline = 'W', group = 'Intervals')
res_W = input.timeframe('W', '', inline = 'W', group = 'Intervals')
wid_W = input.int (2, '', minval = 0, inline = 'W', group = 'Intervals')
col_W = input.color (col1W, '', tooltip = toolI, inline = 'W', group = 'Intervals')
sho_M = input.bool (false, 'Show', inline = 'M', group = 'Intervals')
src_M = input.source (hlc3, '', inline = 'M', group = 'Intervals')
res_M = input.timeframe('M', '', inline = 'M', group = 'Intervals')
wid_M = input.int (2, '', minval = 0, inline = 'M', group = 'Intervals')
col_M = input.color (col1M, '', tooltip = toolI, inline = 'M', group = 'Intervals')
sho_Q = input.bool (false, 'Show', inline = 'Q', group = 'Intervals')
src_Q = input.source (hlc3, '', inline = 'Q', group = 'Intervals')
res_Q = input.timeframe('3M', '', inline = 'Q', group = 'Intervals')
wid_Q = input.int (2, '', minval = 0, inline = 'Q', group = 'Intervals')
col_Q = input.color (col3M, '', tooltip = toolI, inline = 'Q', group = 'Intervals')
sho_Y = input.bool (false, 'Show', inline = 'Y', group = 'Intervals')
src_Y = input.source (hlc3, '', inline = 'Y', group = 'Intervals')
res_Y = input.timeframe('12M', '', inline = 'Y', group = 'Intervals')
wid_Y = input.int (2, '', minval = 0, inline = 'Y', group = 'Intervals')
col_Y = input.color (col1Y, '', tooltip = toolI, inline = 'Y', group = 'Intervals')
shoAH = input.bool (false, 'Show', inline = 'H', group = 'Auto')
typAH = input.string ('Highest', '', tooltip = toolA, inline = 'H', group = 'Auto',
options = ['Highest', 'Lowest', 'Highest Volume', 'Lowest Volume', 'Pivot High', 'Pivot Low'])
srcAH = input.source (high, '', inline = 'H', group = 'Auto')
widAH = input.int (2, '', minval = 1, inline = 'H', group = 'Auto')
colAH = input.color (colah, '', inline = 'H', group = 'Auto')
lenAH = input.int (14, 'SignalBars', minval = 1, inline = 'h', group = 'Auto')
plbAH = input.int (2, '', minval = 0, inline = 'h', group = 'Auto')
prbAH = input.int (2, '', minval = 0, tooltip = toolS, inline = 'h', group = 'Auto')
shoAL = input.bool (false, 'Show', inline = 'L', group = 'Auto')
typAL = input.string ('Lowest', '', tooltip = toolA, inline = 'L', group = 'Auto',
options = ['Highest', 'Lowest', 'Highest Volume', 'Lowest Volume', 'Pivot High', 'Pivot Low'])
srcAL = input.source (low, '', inline = 'L', group = 'Auto')
widAL = input.int (2, '', minval = 1, inline = 'L', group = 'Auto')
colAL = input.color (colal, '', inline = 'L', group = 'Auto')
lenAL = input.int (14, 'SignalBars', minval = 1, inline = 'l', group = 'Auto')
plbAL = input.int (2, '', minval = 0, inline = 'l', group = 'Auto')
prbAL = input.int (2, '', minval = 0, tooltip = toolS, inline = 'l', group = 'Auto')
// returns event avwap tuples with upper/lower specified in percent or standard deviation
avwap(price, anchor, shift, factor) =>
begin = time == anchor
[avwap, stdvU, stdvL] = ta.vwap(price, begin, factor)
zoneA = float(na)
zoneB = float(na)
if shift == '% Above' or shift == '% Dual'
zoneA := ta.vwap((1 + factor / 100) * price, begin)
if shift == '% Below' or shift == '% Dual'
zoneB := ta.vwap((1 - factor / 100) * price, begin)
if shift == 'StDev Above' or shift == 'StDev Dual'
zoneA := stdvU
if shift == 'StDev Below' or shift == 'StDev Dual'
zoneB := stdvL
[avwap, zoneA, zoneB]
[vwapH, zonHA, zonHB] = avwap(src_H, dateH, zon_H, fct_H)
[vwapL, zonLA, zonLB] = avwap(src_L, dateL, zon_L, fct_L)
[vwapC, zonCA, zonCB] = avwap(src_C, dateC, zon_C, fct_C)
// returns interva avwap
shoTF(res) => timeframe.in_seconds(timeframe.period) < timeframe.in_seconds(res)
vwapD = sho_D and shoTF(res_D) ? ta.vwap(src_D, timeframe.change('1D')) : float(na)
vwapP = sho_P and shoTF(res_P) ? ta.vwap(src_P, timeframe.change('2D')) : float(na)
vwapW = sho_W and shoTF(res_W) ? ta.vwap(src_W, timeframe.change('1W')) : float(na)
vwapM = sho_M and shoTF(res_M) ? ta.vwap(src_M, timeframe.change('1M')) : float(na)
vwapQ = sho_Q and shoTF(res_Q) ? ta.vwap(src_Q, timeframe.change('3M')) : float(na)
vwapY = sho_Y and shoTF(res_Y) ? ta.vwap(src_Y, timeframe.change('12M')) : float(na)
// plot event avwap tuples
pltHV = plot(sho_H ? vwapH : na, 'Hi VWAP Line', color.new(col_H, 0), 2)
pltHA = plot(sho_H ? zonHA : na, 'Hi VWAP Uppr', color.new(col_H, 100))
pltHB = plot(sho_H ? zonHB : na, 'Hi VWAP Lowr', color.new(col_H, 100))
fill(pltHV, pltHA, col_H)
fill(pltHV, pltHB, col_H)
pltLV = plot(sho_L ? vwapL : na, 'Lo VWAP Line', color.new(col_L, 0), 2)
pltLA = plot(sho_L ? zonLA : na, 'Lo VWAP Uppr', color.new(col_L, 100))
pltLB = plot(sho_L ? zonLB : na, 'Lo VWAP Lowr', color.new(col_L, 100))
fill(pltLV, pltLA, col_L)
fill(pltLV, pltLB, col_L)
pltCV = plot(sho_C ? vwapC : na, 'HO VWAP Line', color.new(col_C, 0), 2)
pltCA = plot(sho_C ? zonCA : na, 'HO VWAP Uppr', color.new(col_C, 100))
pltCB = plot(sho_C ? zonCB : na, 'HO VWAP Lowr', color.new(col_C, 100))
fill(pltCV, pltCA, col_C)
fill(pltCV, pltCB, col_C)
// plot interval avwap
plt1D = plot(vwapD, 'DTD VWAP Line', col_D, wid_D)
plt2D = plot(vwapP, 'PTD VWAP Line', col_P, wid_P)
plt1W = plot(vwapW, 'WTD VWAP Line', col_W, wid_W)
plt1M = plot(vwapM, 'MTD VWAP Line', col_M, wid_M)
plt3M = plot(vwapQ, 'QTD VWAP Line', col_Q, wid_Q)
plt1Y = plot(vwapY, 'YTD VWAP Line', col_Y, wid_Y)
// returns auto vwaps from signals within lengths of bars or pivots
svwap(
show1, source1, signal1, length1, barsL1, barsR1, color1, width1,
show2, source2, signal2, length2, barsL2, barsR2, color2, width2) =>
idxCB = bar_index // index current bar
valS1 = float(na) // value signal source1
idxS1 = int(na) // index signal source1
sS1V1 = float(na) // sum of source1 * volume1
sVol1 = float(na) // sum of volume1
valP1 = float(na) // previous value of svwap1
valC1 = float(na) // current value of svwap1
valS2 = float(na) // value signal source2
idxS2 = int(na) // index signal source2
sS2V2 = float(na) // sum of source2 * volume2
sVol2 = float(na) // sum of volume2
valP2 = float(na) // previous value of svwap2
valC2 = float(na) // current value of svwap2
lines = line(na) // lines drawn for each bar of avwap
if not show1 and not show2
valC1 := float(na)
valC2 := float(na)
else
a_allLines = line.all // garbage collection
if array.size(a_allLines) > 0
for i = 0 to array.size(a_allLines) - 1
line.delete(array.get(a_allLines, i))
if show1 // calc auto vwap1
valS1 :=
signal1 == 'Highest' ? ta.highest(source1, length1) :
signal1 == 'Lowest' ? ta.lowest (source1, length1) :
signal1 == 'Highest Volume' ? ta.highest(volume, length1) :
signal1 == 'Lowest Volume' ? ta.lowest (volume, length1) :
signal1 == 'Pivot High' ?
ta.valuewhen(not na(ta.pivothigh(source1, barsL1, barsR1)), source1[barsR1], 0) :
signal1 == 'Pivot Low' ?
ta.valuewhen(not na(ta.pivotlow (source1, barsL1, barsR1)), source1[barsR1], 0) :
float(na)
if signal1 == 'Highest' or signal1 == 'Lowest'
for i = 0 to length1 - 1
if source1[i] == valS1
idxS1 := bar_index[i]
break
if signal1 == 'Highest Volume' or signal1 == 'Lowest Volume'
for i = 0 to length1 - 1
if volume[i] == valS1
idxS1 := bar_index[i]
break
if signal1 == 'Pivot High' or signal1 == 'Pivot Low'
idxS1 :=
signal1 == 'Pivot High' ?
ta.valuewhen(not na(ta.pivothigh(source1, barsL1, barsR1)), bar_index[barsR1], 0) :
signal1 == 'Pivot Low' ?
ta.valuewhen(not na(ta.pivotlow (source1, barsL1, barsR1)), bar_index[barsR1], 0) :
int(na)
nBars = 1 + idxCB - idxS1
for i = nBars - 1 to 0 // draw lines for current event vwap
sS1V1 := nz(sS1V1) + nz(source1[i] * volume[i])
sVol1 := nz(sVol1) + nz(volume[i])
valP1 := nz(valC1, na)
valC1 := sS1V1 / sVol1
lines := line.new(idxCB - i - 1, valP1, idxCB - i, valC1, xloc.bar_index, extend.none, color1, width = width1)
if show2 // calc auto vwap2
valS2 :=
signal2 == 'Highest' ? ta.highest(source2, length2) :
signal2 == 'Lowest' ? ta.lowest (source2, length2) :
signal2 == 'Highest Volume' ? ta.highest(volume, length2) :
signal2 == 'Lowest Volume' ? ta.lowest (volume, length2) :
signal2 == 'Pivot High' ?
ta.valuewhen(not na(ta.pivothigh(source2, barsL2, barsR2)), source1[barsR2], 0) :
signal2 == 'Pivot Low' ?
ta.valuewhen(not na(ta.pivotlow (source2, barsL2, barsR2)), source1[barsR2], 0) :
float(na)
if signal2 == 'Highest' or signal2 == 'Lowest'
for i = 0 to length2 - 1
if source2[i] == valS2
idxS2 := bar_index[i]
break
if signal2 == 'Highest Volume' or signal2 == 'Lowest Volume'
for i = 0 to length2 - 1
if volume[i] == valS2
idxS2 := bar_index[i]
break
if signal2 == 'Pivot High' or signal2 == 'Pivot Low'
idxS2 :=
signal2 == 'Pivot High' ?
ta.valuewhen(not na(ta.pivothigh(source2, barsL2, barsR2)), bar_index[barsR2], 0) :
signal2 == 'Pivot Low' ?
ta.valuewhen(not na(ta.pivotlow (source2, barsL2, barsR2)), bar_index[barsR2], 0) :
int(na)
nBars = 1 + idxCB - idxS2
for i = nBars - 1 to 0 // draw lines for current event vwap
sS2V2 := nz(sS2V2) + nz(source2[i] * volume[i])
sVol2 := nz(sVol2) + nz(volume[i])
valP2 := nz(valC2, na)
valC2 := sS2V2 / sVol2
lines := line.new(idxCB - i - 1, valP2, idxCB - i, valC2, xloc.bar_index, extend.none, color2, width = width2)
[valC1, valC2]
[vwap1, vwap2] = svwap(
shoAH, srcAH, typAH, lenAH, plbAH, prbAH, colAH, widAH,
shoAL, srcAL, typAL, lenAL, plbAL, prbAL, colAL, widAL)
plot(vwap1, 'Auto1 VWAP Line', display = display.data_window)
plot(vwap2, 'Auto2 VWAP Line', display = display.data_window)