VWAP Strategies

vijkris

vijkris

Learner and Follower
#32
#32
Same setup can be used w.r.t vwap bands also. Focus more on setups seen in below previous day low and and above previous day high entry setups.

XRAY27 said:
Lot was discussed on MP..but just presenting a volume profile POC setup for intraday trading !!! i think it was old thread i could not dig that out ,but afl for this is from net source...all credit goes to the author for this

it got great use in stock trading and index fut..there is no complex NPOC/FA/80% rule etc...:D ;)

SETUP:

DP's needed PDH,PDL,Previous day volume POC

Flow:

Click to expand...
 
Last edited:
vijkris

vijkris

Learner and Follower
#33
#33
Beautiful explanation of vwap by Dr.Aman !!! :clap: :clapping:

Aman1 said:
I think you people are making a monster of vwap which otherwise is simple and beautiful concept.

I will give you a writeup later about vwap and how it is combined with other concepts like volume profile ,Opening range and indicators. Stay tuned...
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Aman1 said:
For the Uninitiated Not for Accomplished traders:
Let us go... VWAP is a price level where most of the transactions (no. of contracts/shares) took place in that period(day/month/week).

But we will restrict ourselves to day trading. It is a refrence point not an indicator. Clear!!!

If it is not an indicator what do we use it for?

We use it for finding Context and to find trade locations.

How do we use VWAP to find context?

Suppose we have a price chart in front of us how do we find where is value? At the most we can find high,low and current close on price chart not value. So when we plot VWAP we have a reference point where most of the trades so far has happened. We call it value.

Now when we plot VWAP we can immediately see where the value is with respect to current close. Whether current close is far away from value? If it is, we would not like to take a trade away from value.
We would like the price to come near value to decide what to do. We can also see if price is above value or below value. We can also see if value line is flat trending higher or lower.

Now suppose price is at value. what will price do if it is at value point? If it stays there we cannot benefit or there will be no reward. So price has to move away from value or VWAP.
We call this volatility.

More volatile the price more risk or reward we will get depending upon whether our trade direction is right or wrong.

So how do we measure this volatility? We use statistics to measure volatility. We plot standard deviation bands around this value. So the minimum expectation for the price to move away from value is ist SD band(+ve or –ve). So this is the minimum risk or reward. Suppose VWAP is at 100 and ist SD is at 110 then our minimum reward is 10 ticks.

Similarly we plot 2nd and 3rd SD bands to take advantage of volatility.
Now we have two arsenals with us value in the form of VWAP and volatility in the form of Standard Deviation bands and we want to take advantage of this .
How can we accomplish that? How do we know what is going to happen next?

Like a scientist we have to form a Thesis. These SD bands help us forming and updating our thesis.

Statistics teach us that most events happen 2SD bands away from value. So price may shoot to 2SD band, reverse from there or breakout from there. So now we will have a decision point to make whether it is a trend day or a breakout day or reversal day or range day?

TRENDDAY : When we observe that price is hitting 2SD with force and pulling to 1SD band or making just one retrace to VWAP(late morning) or none and then price start trending strongly in one direction it is the most compelling characteristic of a trend day formation. Watch the angle of VWAP.It will rise with +1SD and fall with -1SD.

RANGE DAY: Price will hit +2SD and -2SD regularily with to and fro moves with a flat VWAP.

BREAKOUT DAY: Day will beging with range day hitting 2SD BANDS and later breakout from range and start trending.

REVERSAL DAY: Price trends away from VWAP in the beginning of the day and then reverse below or above VWAP in the opposite direction with very few retracements.

How to trade VWAP? You will have to devise strategies around the VWAP and day types as soon as you spot those. It is a personal choice.

But if you are so adamant and insisting me to divulge my secrets then let me give you some clues.(No one is perfect. Atleast not me!) Trade at your own risk!

For range days : Fade -2SD +2SD extremes.

For Trend days: buy sell ist SD to add to positions and if already in position trail SL below ist SD.

For revesal days: Exit and fade at vwap or opposite 1SD(most difficult day to trade for me)

For breakout day: Get on board when breakout happens above below 2SD. If you have an opposite position your stop above below 2SD.

VWAP: Generally to get on the bus on retrace or in reversal situation to initiate a reversal trade on cross of VWAP.

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Aman1 said:
Combining VWAP, Opening Range and Indicators:


Opening range: OR is the high low of first 5 min 15 minute 30min or 60min. I use 5 and 15min range.

Why opening range? Because it gives first participants a chance to establish fair value at the open of sessions. I’m using the word sessions because I use three Opening Ranges as I trade crude oil only. MCX opening session at 10am , UK opening session at 1pm and US session 7pm. My favourite being UK session because of gap issues with MCX opening.

ACD system:

1.A_UP and A_DN

I add two lines above and below opening range.

A line above OR by adding 9 ticks to ORhigh it is called A_UP line or level and a line below OR by subtracting 9 ticks from ORlow. It is called A_dn line.

These lines are part of Mark Fisher ACD system from his brilliant book ‘The Logical Trader’.

I use the system slightly different way so please read it with a pinch of salt.

Basically, when price breakout above ORHigh and reach A_UP and sustain there for sometime it is presumed that it has made an A UP and an indication that market will tren up from here . If market donot sustain A UP level and reverse to the other side of OR for A_DN line it is said to have made a failed A_UP.
Similarly A_dn and Failed A_dn are made.
But in a day only one leg can be made. Either A_UP or A_DN not both.

2. C_up C_dn:
If in a trading day an A_UP has been made and then market reverse from a certain level to the other side of OR or across OR it wont be A_DN but it is called C_down and is sometimes very powerful move because it means seller are in control now.

Similarly C_UP. Leg will be formed. So thats Mark Fisher ACD system in nutshell. Study it from book for more because as I said I use it slightly differently.
My use of OR , ACD system and Indicators:

I combine OR, ACD and RSIONOBV to form a complete
sytem for my trading.

I use A_UP and A_DN lines as targets so a 9-10 tick profit target if I short or long from ORhigh or ORlow is a good place to book some profit or scaleout. However, if price sustains below these lines it suggests a trending market and

I trade accordingly.
Long setup: A) Price sustaining ORhigh
B) RsiOnOBV above 50
C) price above VWAP
Short setup: A) Price sustaining ORlow
B) RsiOnOBV below 50
C) price below VWAP

There are other finer details which I have deliberately omitted so that new traders are not confused and for them to do some home work. But I think above plain vanilla setups are enough for a new trader or a trader who is not finding success to come out with a successful trading journey. I have omitted Volume Profile from this writeup because it is a huge topic and will require time. So if time permit will discuss and incorporate this into the plan. Good luck to you all.

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aja said:
Thanks Aman Bhai for writing such a detailed post for me.





Your chart has one more extra SD,I think that's a 3SD is also enabled on your chart.

But whats the use of 3SD?Price rarely touches it.
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Aman1 said:
aja thanks for asking this. There are two main things to do when price hits 3SD.
Just look at the VWAP slope if its flat then book profit.If VWAP RISING trail stop loss. This is one thing.
Second thing I do is do not initiate any fresh long (or short at-3SD) positions. because you may end in a losing position. This is a strict no fresh entry zone for me. I never forget this.

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aja said:
Aman Bhai VEDL Chart



Do you consider bias based on VAH-VAL or trade SD's only?

here price is below VAL means its a bearish bias.We short that arrow when price was about to breach vwap.This short is based on bearish bias.But sometimes what happen
price reverse from vwap itself,it goes upto VAL and again go upto vwap or break it.

So do you avoid taking taking 1st short or will take this short-



I activated 3SD,I got the importance of 3SD Band.
Click to expand...
Aman1 said:
I don't use val vah . For me todays value is todays VWAP. yes I use yesterdays Vwap as target or s/r level . Not val vah. I have described my long and short setup previously.
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Aman1 said:
Few examples of ACD system:

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vijkris

vijkris

Learner and Follower
#37
#37
Aman1 said:
Vijay need afl for volume profile which calculates VOL POC .
inbuilt volume at price code do not plot vol POC.
Click to expand...
Sorry, I have no idea of Market Profile, Volume Profile, POC etc.
either Mt4trader or Xray or Wisp can help in this regard.
 
wisp

wisp

Well-Known Member
#38
#38
Aman1 said:
Vijay need afl for volume profile which calculates VOL POC .
inbuilt volume at price code do not plot vol POC.
Click to expand...
Which version of Ami do you have?

This has volume profile

Code: 
_SECTION_BEGIN("BACKGROUD LTRS");
SetChartOptions(0,chartShowArrows|chartShowDates);
GfxSetOverlayMode(0);
GfxSetTextAlign( 6 );// center alignment
GfxSetTextColor( ParamColor("Text Color", ColorHSB( 98, 119, 112 ) ));
GfxSetBkMode(0); // transparent
GfxSelectFont("Verdana", Status("pxheight")/20 );
GfxTextOut( Name(), Status("pxwidth")/2, Status("pxheight")/14 );
GfxSelectFont("Arial", Status("pxheight")/27 );
GfxTextOut( "http://www.justfintech.com", Status("pxwidth")/2, Status("pxheight")/1.15);
_SECTION_END();

PlotOHLC(O,H,L,C,"Price",IIf(C>O,colorGreen,colorRed),styleCandle);
_N(Title = StrFormat("{{NAME}} - {{INTERVAL}} {{DATE}} Open %g, Hi %g, Lo %g, Close %g (%.1f%%) {{VALUES}}", O, H, L, C, SelectedValue( ROC( C, 1 ) ) ));


_SECTION_BEGIN( "MPLite" );
// - there was a plot limit call introduced after 5.41.0 beta
//   i.e. "•Warning 502: Calling Plot()/PlotOHLC over 500 times is displayed in indicator in runtime to prevent abuse"
// - uses GFX for major calls of plot only if AB version newer than 5.40 - this only delays reaching the plot limit
// - see also the toggle parameter "use_original_version"

//PlotOHLC( O, H, L, C, "Price", IIf( C > O, colorGreen, colorRed ), styleCandle );
function Lastthursday()
{
    Daysinmonth = IIf( Month() == 1 OR Month() == 3 OR Month() == 5 OR Month() == 7 OR Month() == 8 OR Month() == 10 OR Month() == 12, 31, 30 );
    Daysinmonthfeb = IIf( Year() % 4 == 0 AND Year() % 100 != 0, 29, 28 );
    Daysinmonthfinal = IIf( Month() == 2, Daysinmonthfeb, Daysinmonth );
    returnvalue = IIf( Daysinmonthfinal - Day() < 7 AND DayOfWeek() == 4, 1, IIf( Daysinmonthfinal - Day() < 8 AND DayOfWeek() == 3 AND Ref( DayOfWeek(), 1 ) != 4 AND Day() != Daysinmonthfinal , 1, 0 ) );
    return returnvalue;
}

procedure PlotlinewithGFXinit()
{
    global AB_Miny, AB_Maxy, AB_lvb, AB_fvb;
    global AB_pxchartleft, AB_pxchartwidth, AB_pxchartbottom, AB_pxchartheight;
    global AB_TotalBars, AB_penwidth;

    RequestTimedRefresh(1);
    GfxSetOverlayMode( 0 );
    AB_penwidth = 2;

    AB_Miny = Status( "axisminy" );
    AB_Maxy = Status( "axismaxy" );
    AB_lvb = Status( "lastvisiblebar" );
    AB_fvb = Status( "firstvisiblebar" );

    AB_pxchartleft = Status( "pxchartleft" );
    AB_pxchartwidth = Status( "pxchartwidth" );
    AB_pxchartbottom = Status( "pxchartbottom" );
    AB_pxchartheight = Status( "pxchartheight" );

    AB_TotalBars = AB_Lvb - AB_fvb;
}

procedure Plot_horizon_line_with_GFX( ix0, ix1, iy, icolor )
{
    global AB_Miny, AB_Maxy, AB_lvb, AB_fvb;
    global AB_pxchartleft, AB_pxchartwidth, AB_pxchartbottom, AB_pxchartheight;
    global AB_TotalBars, AB_penwidth;

    local ix0, ix1, iy, icolor;
    local x_px, y_px, y_scale;

    GfxSelectPen( icolor, AB_penwidth, 0 );
    x_px = AB_pxchartleft + ( ix0 - AB_fvb ) * AB_pxchartwidth / ( AB_TotalBars + 1 );

    y_scale = AB_pxchartheight / ( AB_maxy - AB_miny );
    y_px = AB_pxchartbottom - floor( 0.5 + ( iy  - AB_Miny ) * y_scale );
    GfxMoveTo( x_px, y_px );

    x_px = AB_pxchartleft + ( ix1 - AB_fvb ) * AB_pxchartwidth / ( AB_TotalBars + 1 );
    GfxLineTo( x_px, y_px );
}


FirstVisibleBar = Status( "FirstVisibleBar" );
Lastvisiblebar = Status( "LastVisibleBar" );

totalVisible = Lastvisiblebar - FirstVisibleBar;
//if(totalVisible<1500){
use_original_version = ParamToggle("MP version", "GFX code(only if AB > 5.40)|original code", 0);
//Den = Param("Density", 1, 0.1, 10, 0.1);
percent = Param( "Value Area", 70, 1, 100, 1 );
Type = ParamList( "Type", "Price Profile|Volume Profile" );
Period = ParamList( "Base", "Hourly|Daily|Weekly|Monthly|Lastthursday|Yearly", 1 );
x_scale = Param( "Horizontal_scale", 2, 0, 10, 0.1 );
EnMP2 = ParamStyle( "Style", styleLine | styleNoLabel, maskAll );
styleLines = styleDots;
EnIB = ParamToggle( "Show Initial Balance",  "No|Yes", 0 );
IBBars = Param( "Initial Balance Bars", 2, 1, 10, 1 );
ViewYvalues = ParamToggle( "Show Yesterdays Values", "No|Yes", 1 );
ViewVlines = ParamToggle( "Show Vertical Base Lines", "No|Yes", 1 );
Viewvalues = ParamToggle( "Show Values", "No|Yes", 0 );
ViewVpoc = ParamToggle( "Show Virgin POC", "No|Yes", 1 );
ViewTPO = ParamToggle( "Show TPO Count", "No|Yes", 0 );

Color_Above_VA = ParamColor( "Color_Above_VA",  colorGrey40 );
Color_VA = ParamColor( "Color_VA", colorBlueGrey );
Color_Below_VA = ParamColor( "Color_Below_VA", colorGrey40 );
Color_POC_line = ParamColor( "Color_POC_Line", colorYellow );

color_YVAH = ParamColor( "YVAH", colorWhite );
color_YVAL = ParamColor( "YVAL", colorWhite );
color_YPOC = ParamColor( "YPOC", colorYellow );

IBColor = ParamColor( "IB Color", colorWhite );
IBstyle = ParamStyle( "IB style", styleLine, maskAll );
Color_Virgin_POC = ParamColor( "Virgin Poc Color", colorYellow );
Color_Base_Line = ParamColor( "Base Line Color", colorDarkGrey );

if ( Period == "Hourly" )
{
    BarsInDay = BarsSince( Hour() != Ref( Hour(), -1 ) );
    Bot = TimeFrameGetPrice( "L", inHourly, 0 );
    Top = TimeFrameGetPrice( "H", inHourly, 0 );
    Vol = TimeFrameGetPrice( "V", inHourly, 0 );
}

if ( Period == "Daily" )
{
    //OR Interval()==3600
    BarsInDay = BarsSince( Day() != Ref( Day(), -1 ) ) ;
    Bot = TimeFrameGetPrice( "L", inDaily, 0 );
    Top = TimeFrameGetPrice( "H", inDaily, 0 );
    Vol = TimeFrameGetPrice( "V", inDaily, 0 );
}

if ( Period == "Weekly" OR Interval() == 24 * 3600 )
{
    BarsInDay = BarsSince( DayOfWeek() < Ref( DayOfWeek(), -1 ) );
    bot1 = ValueWhen( BarsInDay == 0, L, 1 );
    Bot2 = ValueWhen( Ref( BarsInDay, 1 ) == 1 OR BarIndex() > BarCount - 2 , LLV( L, BarsInDay ), 0 );
    bot = Min( bot1, bot2 );
    top1 = ValueWhen( BarsInDay == 0, H, 1 );
    Top2 = ValueWhen( Ref( BarsInDay, 1 ) == 1 OR BarIndex() > BarCount - 2, HHV( H, BarsInDay ), 0 );
    top = Max( top1, top2 );
    Vol = TimeFrameGetPrice( "V", inWeekly, 0 );
}

if ( Period == "Monthly"  )
{
    BarsInDay = BarsSince( Month() != Ref( Month(), -1 ) );
    Bot = TimeFrameGetPrice( "L", inMonthly, 0 );
    Top = TimeFrameGetPrice( "H", inMonthly, 0 );
    Vol = TimeFrameGetPrice( "V", inMonthly, 0 );
}

if ( Period == "Lastthursday"  )
{
    BarsInDay = BarsSince( Lastthursday() == 0 AND Ref( Lastthursday(), -1 ) == 1 );
    bot1 = ValueWhen( BarsInDay == 0, L, 1 );
    Bot2 = ValueWhen( Ref( BarsInDay, 1 ) == 1 OR BarIndex() > BarCount - 2 , LLV( L, BarsInDay ), 0 );
    bot = Min( bot1, bot2 );
    top1 = ValueWhen( BarsInDay == 0, H, 1 );
    Top2 = ValueWhen( Ref( BarsInDay, 1 ) == 1 OR BarIndex() > BarCount - 2, HHV( H, BarsInDay ), 0 );
    top = Max( top1, top2 );
    Vol = ValueWhen( Ref( BarsInDay, 1 ) == 1 OR BarIndex() > BarCount - 2 , Sum( V, BarsInDay ), 0 );

}

if ( Period == "Yearly"  )
{
    BarsInDay = BarsSince( Year() != Ref( Year(), -1 ) );
    Bot = TimeFrameGetPrice( "L", inYearly, 0 );
    Top = TimeFrameGetPrice( "H", inYearly, 0 );
    Vol = TimeFrameGetPrice( "V", inYearly, 0 );
}

CurTop = HHV( H, BarsInDay + 1 );

Curbot = LLV( L, BarsInDay + 1 );

Range =  Top - Bot;
coverage = LastValue( Ref( ATR( 10 ), -1 ) );

den = ( coverage / 10 );
//den=1;

multiplier = IIf( round( totalVisible ) / 300 < 1, 1, round( totalVisible ) / 300 );

if ( ViewVlines == 1 )
{

    Plot( BarsInDay == 0, "", Color_Base_Line, styleHistogram | styleOwnScale | styleLine | styleNoLabel );
}

relTodayRange = 0;

x = 0;
basey = 0;
basex = 0;
newday = 0;
total = 0;
shiftup = 0;
shiftdn = 0;
Line = Null;
Voloumeunit = 0;

PlotlinewithGFXinit();
for (  i = IIf( FirstVisibleBar - 100 > 1, FirstVisibleBar - 100, FirstVisibleBar ); i < Lastvisiblebar AND i < BarCount - 1 ; i++  )
{
    if ( BarsInDay[i] == 0 )
    {
        t = BarsInDay[i-1];


        if ( EnIB == 1 )
        {
            IBH = HHV( H, IBBars );
            IBL = LLV( L, IBBars );
            Line1 = LineArray( basex, IBH[basex+IBBars-1], i, IBH[basex+IBBars-1] );
            Plot( Line1, "", IBColor, IBstyle );
            Line2 = LineArray( basex, IBL[basex+IBBars-1], i, IBL[basex+IBBars-1] );
            Plot( Line2, "", IBcolor, IBstyle );
        }

        //////////////////////////////////
        poc = 0;
        pocj = 0;
        midrange = int( relTodayRange / 2 ) + 1;

        for ( j = 1; j <= relTodayRange + 1 ; j++ )
        {
            if ( poc < x[j] )
            {
                poc = x[j];
                pocj = j;
            }
            else
                if ( poc == x[j] )
                {
                    if ( abs( midrange - j ) < abs( midrange - pocj ) )
                    {
                        poc = x[j];
                        pocj = j;
                    }
                }

        }

        for ( n = 1; n <= relTodayRange; n++ )
        {
            total[n] = x[n] + total[n-1];
        }

        Value_area = ( total[relTodayRange] * percent ) / 100;

        for ( a = 1; a <= relTodayRange; a++ )
        {
            if ( pocj - a > 0 AND pocj + a < relTodayRange )
            {
                if ( poc + total[pocj+a] - total[pocj] + ( total[pocj] - poc ) - total[pocj-( a+1 )] >= Value_area )
                {
                    shiftup = a;
                    shiftdn = a;
                    break;
                }
            }
            else
                if ( pocj - a < 1 )
                {
                    if ( poc + total[pocj+a] - total[pocj] + ( total[pocj] - poc ) >= Value_area )
                    {
                        shiftup = a;
                        shiftdn = pocj;
                        break;
                    }
                }
                else
                    if ( pocj + a > relTodayRange )
                    {
                        if ( poc + total[relTodayRange] - total[pocj] + ( total[pocj] - poc ) - total[pocj-( a+1 )] >= Value_area )
                        {
                            shiftup = floor( relTodayRange ) - pocj;
                            shiftdn = a + 1;
                            break;
                        }
                    }
        }


        if ( ViewVpoc == 1 )
        {
            Virginpoc = basey + pocj * den;
            newi = Null;

            for ( j = i; j <= ( BarCount - 1 ) ; j++ )
                if ( L[j] < Virginpoc AND H[j] > Virginpoc )
                {
                    newi = j;
                    break;
                }
                else
                {
                    newi = BarCount;
                }

            Plot( LineArray( basex[i], basey + pocj*den, newi, basey + pocj*den ), "", Color_Virgin_POC, styleLine | styleNoRescale );
        }

        Vah = LineArray( baseX[i], baseY + ( pocj + shiftup ) * den, i, baseY + ( pocj + shiftup ) * den );
        Val = LineArray( baseX[i], baseY + ( pocj - shiftdn ) * den, i, baseY + ( pocj - shiftdn ) * den );
        pocline = LineArray( basex, basey + pocj * den, basex[i] + poc, basey + pocj * den );


        Vahn = LineArray( i, baseY + ( pocj + shiftup ) * den, i + t, baseY + ( pocj + shiftup ) * den );
        pocn = LineArray( i, baseY + ( pocj ) * den, i + t, baseY + ( pocj ) * den );
        Valn = LineArray( i, baseY + ( pocj - shiftdn ) * den, i + t, baseY + ( pocj - shiftdn ) * den );

        if ( Version() > 5.4 && !use_original_version )
        {
            // pocline
            Plot_horizon_line_with_GFX( baseX, basex[i] + poc, basey + pocj * den, Color_POC_Line );
        }
        else 
        {
            Plot( pocline, "", Color_POC_Line, styleLine | styleNoRescale | styleNoLabel );
        }

        if ( ViewYvalues == 1 )
        {
            Plot( Vahn, "", color_YVAH, styleDashed | styleNoRescale );
            Plot( Valn, "", color_YVAL, styleDashed | styleNoRescale );
            Plot( pocn, "", color_YPOC, styleDashed | styleNoRescale );
        }


        if ( ViewTPO == 1 )
        {
            nnn = HHV( H, BarsInDay );
            PlotText( "" + ( total[relTodayRange] - total[pocj] ), basex[i], nnn[i], colorLightGrey );
            PlotText( "" + ( total[pocj-1] ), basex[i], basey - den, colorLightGrey );
        }

        if ( Viewvalues == 1 )
        {
            PlotText( "" + ( ( basey + pocj*den ) ), baseX[i], basey + pocj*den, colorWhite, colorDarkGrey );
            PlotText( "" + ( ( baseY + ( pocj + shiftup )*den ) ), baseX[i], baseY + ( pocj + shiftup )*den, colorWhite, colorDarkGrey );
            PlotText( "" + ( ( baseY + ( pocj - shiftdn )*den ) ), baseX[i], baseY + ( pocj - shiftdn )*den, colorWhite, colorDarkGrey );
        }


        if ( Version() > 5.4 && !use_original_version )
        {
            for ( p = 0; p <= relTodayRange + 1; p = p + multiplier )
            {
		         Plot_horizon_line_with_GFX( baseX, baseX + x[p], baseY + p * Den, IIf( p > ( pocj + shiftup ), Color_Above_VA, IIf( p <= ( pocj + shiftup ) AND p >= ( pocj - shiftdn ), Color_VA, Color_Below_VA )));
            }
        }
        else
        {
            for ( p = 0; p <= relTodayRange + 1; p = p + multiplier )
            {
                if ( P > 0 )
                {
                    line = LineArray( baseX, baseY + ( p ) * Den, baseX + x[p], baseY + ( p ) * Den );
                }
                Plot( line, "", IIf( p > ( pocj + shiftup ), Color_Above_VA, IIf( p <= ( pocj + shiftup )AND p >= ( pocj - shiftdn ), Color_VA, Color_Below_VA ) ) , EnMP2 );
            }
        }

///////////////////
        basex = 0;
        x = 0;
        Basex = i;
        baseY = Bot[i];
        relTodayRange = Range[i] / Den;
        Voloumeunit = Vol[i] / LastValue( BarsInDay );

    }

    for ( j = 0; j <= relTodayRange ; j++ )
    {
        if ( L[i] <= Bot[i] + j*Den AND H[i] >= Bot[i] + j*Den  )
        {

            if ( Type == "Price Profile" )
            {
                x[j] = ( x[j] ) + x_scale;
            }
            else
                if ( Type == "Volume Profile" )
                {
                    x[j] = x[j] + round( V[i] / Voloumeunit ) + 1;
                }

        }
    }
}


if ( EnIB == 1 )
{
    IBH = HHV( H, IBBars );
    IBL = LLV( L, IBBars );
    Line1 = LineArray( basex, IBH[basex+IBBars-1], i, IBH[basex+IBBars-1] );
    Plot( Line1, "", IBColor, IBstyle );
    Line2 = LineArray( basex, IBL[basex+IBBars-1], i, IBL[basex+IBBars-1] );
    Plot( Line2, "", IBColor, IBstyle );
}

//////////////////////////////////
poc = 0;
pocj = 0;
midrange = int( relTodayRange / 2 ) + 1;

for ( j = 1; j <= relTodayRange + 1 ; j++ )
{
    if ( poc < x[j] )
    {
        poc = x[j];
        pocj = j;
    }
    else
        if ( poc == x[j] )
        {
            if ( abs( midrange - j ) < abs( midrange - pocj ) )
            {
                poc = x[j];
                pocj = j;
            }
        }

}

for ( n = 1; n <= relTodayRange; n++ )
{
    total[n] = x[n] + total[n-1];
}

Value_area = ( total[relTodayRange] * percent ) / 100;


for ( a = 1; a <= relTodayRange; a++ )
{
    if ( pocj - a > 0 AND pocj + a < relTodayRange )
    {
        if ( poc + total[pocj+a] - total[pocj] + ( total[pocj] - poc ) - total[pocj-( a+1 )] >= Value_area )
        {
            shiftup = a;
            shiftdn = a;
            break;
        }
    }
    else
        if ( pocj - a < 1 )
        {
            if ( poc + total[pocj+a] - total[pocj] + ( total[pocj] - poc ) >= Value_area )
            {
                shiftup = a;
                shiftdn = pocj;
                break;
            }
        }
        else
            if ( pocj + a > relTodayRange )
            {
                if ( poc + total[relTodayRange] - total[pocj] + ( total[pocj] - poc ) - total[pocj-( a+1 )] >= Value_area )
                {
                    shiftup = floor( relTodayRange ) - pocj;
                    shiftdn = a + 1;
                    break;
                }
            }
}

Vah = LineArray( baseX[i], baseY + ( pocj + shiftup ) * den, i, baseY + ( pocj + shiftup ) * den );
Val = LineArray( baseX[i], baseY + ( pocj - shiftdn ) * den, i, baseY + ( pocj - shiftdn ) * den );
pocline = LineArray( basex, basey + pocj * den, basex[i] + poc, basey + pocj * den );

if ( ViewTPO == 1 )
{
    PlotText( "" + ( total[relTodayRange] - total[pocj] ), basex[i], top[i], colorLightGrey );
    PlotText( "" + ( total[pocj-1] + x_scale ), basex[i], basey - den, colorLightGrey );
}

if ( Viewvalues == 1 )
{
    PlotText( "" + ( ( basey + pocj*den ) ), baseX[i], basey + pocj*den, colorWhite, colorDarkGrey );
    PlotText( "" + ( ( baseY + ( pocj + shiftup )*den ) ), baseX[i], baseY + ( pocj + shiftup )*den, colorWhite, colorDarkGrey );
    PlotText( "" + ( ( baseY + ( pocj - shiftdn )*den ) ), baseX[i], baseY + ( pocj - shiftdn )*den, colorWhite, colorDarkGrey );
}



if ( Version() > 5.4 && !use_original_version )
{
    for ( p = 0; p <= relTodayRange + 1; p = p + multiplier )
    {
		Plot_horizon_line_with_GFX( baseX, baseX + x[p], baseY + p * Den, IIf( p > ( pocj + shiftup ), Color_Above_VA, IIf( p <= ( pocj + shiftup ) AND p >= ( pocj - shiftdn ), Color_VA, Color_Below_VA )));
    }
    // pocline
    Plot_horizon_line_with_GFX( baseX, basex[i] + poc, basey + pocj * den, Color_POC_Line );
}
else
{
    for ( p = 0; p <= relTodayRange + 1; p = p + multiplier )
    {
        line = LineArray( baseX, baseY + p * Den, baseX + x[p], baseY + p * Den );
        Plot( line, "", IIf( p > ( pocj + shiftup ), Color_Above_VA, IIf( p <= ( pocj + shiftup )AND p >= ( pocj - shiftdn ), Color_VA, Color_Below_VA ) ), EnMP2 );
    }

    Plot( pocline, "", Color_POC_Line, styleLine | styleNoRescale | styleNoLabel );
}
_SECTION_END();

_SECTION_BEGIN("Gradient Backfill");
SetChartBkGradientFill( ParamColor("Bg Top", ColorRGB( 255,255,255 )),

ParamColor("BgBottom", ColorRGB( 255,255,255 )),ParamColor("titleblock",ColorRGB( 255,255,255 ))); 
_SECTION_END();

_SECTION_BEGIN("Volume At Price");
PlotVAPOverlay( Param("Lines", 500, 100, 1000, 1 ), Param("Width", 12, 1, 100, 1 ), ParamColor("Color", colorGrey40 ), ParamToggle("Side", "Left|Right" ) | 4*ParamToggle("Z-order", "On top|Behind", 0 ) );
 
_SECTION_END();

_SECTION_BEGIN("VWAP");
/*
The VWAP for a stock is calculated by adding the value traded for every transaction in that stock ("price" x "number of  shares traded") and dividing the total shares traded. A VWAP is computed from the Open of the market to the market Close, AND is calculated by Volume weighting all transactions during this time period
*/

if(Period=="Daily" )
{//OR Interval()==3600
Bars_so_far_today = 1 + BarsSince( Day() != Ref(Day(), -1));
StartBar = ValueWhen(TimeNum() == 090000, BarIndex());
TodayVolume = Sum(V,Bars_so_far_today);
IIf (BarIndex() >= StartBar, VWAP = Sum (C * V, Bars_so_far_today  ) / TodayVolume,0);
}

if(Period=="Weekly" OR Interval()==24 * 3600 )
{ 
Bars_so_far_today = 1 + BarsSince(DayOfWeek() < Ref( DayOfWeek(), -1 ));
StartBar = ValueWhen(TimeNum() == 090000, BarIndex());
Vol = TimeFrameGetPrice("V", inWeekly, 0);
TodayVolume = Sum(Vol,Bars_so_far_today);
IIf (BarIndex() >= StartBar, VWAP = Sum (C * Vol, Bars_so_far_today  ) / TodayVolume,0);
}

if(Period=="Monthly"  )
{
Bars_so_far_today = 1 + BarsSince(Month() != Ref(Month(), -1));
Vol = TimeFrameGetPrice("V", inMonthly, 0);
StartBar = ValueWhen(TimeNum() == 090000, BarIndex());
TodayVolume = Sum(Vol,Bars_so_far_today);
IIf (BarIndex() >= StartBar, VWAP = Sum (C * Vol, Bars_so_far_today  ) / TodayVolume,0);
}

Plot (VWAP, "Vwap",colorYellow);
_SECTION_END();

SetChartBkColor(colorLightGrey);
But there are many versions here and deeper discussions here

http://www.traderji.com/advanced-tr...arket-profile-new-wave-market-picture-98.html

Important posts from the thread http://www.traderji.com/advanced-tr...e-new-wave-market-picture-75.html#post1189148
 
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