#TOS Indicators - Home of the Volatility Box
#Full YouTube Tutorial: https://youtu.be/mAPEodczf-k
#
#**10/6/19 - Feature Added: Ability for Users to Set Custom Standard Deviation in Label Output

declare lower;
input anchorDate = 20180901;
input devStop = {default One, Two, Three, Zero, NegOne, NegTwo, NegThree, Custom};
input customDev = 0.15;
def chosenDev;
switch(devStop){
case One:
    chosenDev = 1;
case Two:
    chosenDev = 2;
case Three:
    chosenDev = 3;
case Zero:
    chosenDev = 0;
case NegOne:
    chosenDev = -1;
case NegTwo:
    chosenDev = -2;
case NegThree:
    chosenDev = -3;
case Custom:
    chosenDev = customDev;
}
def postAnchorDate = if GetYYYYMMDD() >= anchorDate then 1 else 0;
def yyyyMmDd = getYyyyMmDd();
def periodIndx = if getAggregationPeriod() < AggregationPeriod.HOUR then yyyyMMDD else postAnchorDate;
def isPeriodRolled = compoundValue(1, periodIndx != periodIndx[1], yes);
def volumeSum;
def volumeVwapSum;
def volumeVwap2Sum;

if (isPeriodRolled) {
    volumeSum = volume;
    volumeVwapSum = volume * vwap;
    volumeVwap2Sum = volume * Sqr(vwap);
} else {
    volumeSum = compoundValue(1, volumeSum[1] + volume, volume);
    volumeVwapSum = compoundValue(1, volumeVwapSum[1] + volume * vwap, volume * vwap);
    volumeVwap2Sum = compoundValue(1, volumeVwap2Sum[1] + volume * Sqr(vwap), volume * Sqr(vwap));
}
def price = volumeVwapSum / volumeSum;
def deviation = Sqrt(Max(volumeVwap2Sum / volumeSum - Sqr(price), 0));

def VScore = if (((price - close)*(-1))/deviation) > 5 or (((price - close)*(-1))/deviation) < -5 then 0 else (((price - close)*(-1))/(deviation));
plot scan = VScore[1] < 0 and VScore > 0;