50 EMA within 0.5 percent of VWAP


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Hi Hahn,

I’m trying to make a scan to find all stocks that have the 50EMA within .5% of the VWAP and the +/- 1 & 2 standard deviations for more than 15 bars.

I have my VWAP setup to show the +/- 1 & 2 standard deviations. I find that its likely to have the stock react to these levels. When the 50 EMA is running inline with one of these other lines the chances of a reaction is higher.

I’ve included an example image to help you visualize what I’m going for.

Thanks for the help Hahn!!

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Posted by (Questions: 2, Answers: 0)
Asked on September 15, 2021 5:24 pm
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I can provide a solution for one of the plots on the VWAP study. You will have to work out the rest yourself. I only get 15 minutes to provide each free solution in the Q&A Forum and this is what I was able to complete in that brief amount of time:

input percentThreshold = 0.5;
input consecutiveBars = 15;
input numDevDn = -2.0;
input numDevUp = 2.0;
input timeFrame = {default DAY, WEEK, MONTH};
input maLengthOne = 50;
input maTypeOne = AverageType.EXPONENTIAL;
input maPriceOne = close;
def vwapPlot = reference VWAP(numDevDn, numDevUp, timeFrame).VWAP;
def upperPlot = reference VWAP(numDevDn, numDevUp, timeFrame).UpperBand;
def lowerPlot = reference VWAP(numDevDn, numDevUp, timeFrame).LowerBand;
def maOne = MovingAverage(maTypeOne, maPriceOne, maLengthOne);
def percentDiff = 100 * (maOne / vwapPlot - 1);
def pattern = AbsValue(percentDiff) < percentThreshold * 0.01;
plot scan = Lowest(pattern, consecutiveBars) > 0;

This covers the main plot of the VWAP study. I have included variables for the upper and lower bands to make it easier for you to adjust the code to work with those plots. I have included a user input for the percent threshold as well as the consecutive bars. Standard inputs were included to adjust the VWAP study and the moving average.

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Posted by (Questions: 39, Answers: 3734)
Answered on September 16, 2021 10:44 am