Plotting Midas (Vwap) stdev bands

December 1st, 2015, 11:02 AM

Hi all, I'm currently using Midas, a slightly different anchored Vwap based on cumulative volume, as dinamyc S/R curve however i was unable to plot correctly the standard deviation bands.
I've tried to use the same formula used on vwap band but after several hours I cannot figured out how to do it properly, so I gave up, the only thing i was able to do it's creating crazy pop-art line.
Someone knows how to do it? @Fat Tails or someone else even if you are using NT do you have some hint for MC?
thanks

Code

inputs:
       price1(L),
	StartTime( 930 ),
	StartMonth( 11 ),
	StartDay( 25 ),
	StartYear( 2015  ),
PlotStdev1(false),
PlotStdev_1(false),
PlotStdev2(false),
PlotStdev_2(false),
PlotStdev3(false),
PlotStdev_3(false);
variables:
	StartCalcDate( 0 ),
	VolumeValue( 0 ),
	MedPrice( 0 ),
	PV( 0 ), 
	CumulativeVolume( 0 ),
	CumulativePV( 0 ),
	Started( false ),
	Denom( 0 ), 
	KeyCumVol( 0 ),
	KeyCumPV( 0 ),
	MidasValue( 0 ) ,
Count(1),
VolMidasariance(0),
VolMidasSD(0);

if CurrentBar = 1 then
	StartCalcDate = ELDate( StartMonth, StartDay, StartYear ) ;

{ Midas Calculation }
if (Date >= StartCalcDate and Time >= StartTime) 
	or Date > StartCalcDate 
then
	begin
	VolumeValue = iff( BarType <= 1, Ticks, Volume ) ;
	MedPrice = price1;//high, low, avgprice, MedianPrice  (ancorata da me)
	PV = MedPrice * VolumeValue ;
	CumulativeVolume = VolumeValue + CumulativeVolume ;
	CumulativePV = PV + CumulativePV ;
	end ;

if Started = false and ( ( Date >= StartCalcDate and
 Time >= StartTime ) and ( ( Time[1] < StartTime or
 Date[1] < StartCalcDate ) or Date[1] > StartCalcDate ) ) 
then
	begin
	Started = true ; 
	Denom = 1 ;
	KeyCumVol = CumulativeVolume ;
	KeyCumPV = CumulativePV ;
	end 
else if Denom >= 1 then
	Denom = CumulativeVolume - KeyCumVol ;

if Started then
	begin
	if Denom > 1 then
		MidasValue = ( CumulativePV - KeyCumPV ) / Denom 
	else if Denom = 1 then
		MidasValue = MedPrice ;

	Plot1( MidasValue, "Midas" ) ;

//Start calculation for Standard Deviation	
end;
Value1 = 0;
Value2 = 0;
Value3 = 0;
if (Date >= StartCalcDate and Time >= StartTime) 
	or Date > StartCalcDate 
then
	begin

For Value1 = 0 To Count Begin
Value2 = ((UpTicks[Value1]+DownTicks[Value1])/(UpTicks+DownTicks)) * (Square(price1[Value1]-MidasValue));
Value3 = Value3 + Value2;
End;

VolMidasariance = Value3;
VolMidasSD = SquareRoot(VolMidasariance);
if PlotStdev1 then Plot2(MidasValue + VolMidasSD, "Midas1SDUp");
if PlotStdev_1 then Plot3(MidasValue - VolMidasSD, "Midas1SDDown");
if PlotStdev2 then Plot4(MidasValue + (2*VolMidasSD), "Midas2SDUp");
if PlotStdev_2 then Plot5(MidasValue - (2*VolMidasSD), "Midas2SDDown");
if PlotStdev3 then Plot6(MidasValue + (3*VolMidasSD), "Midas3SDUp");
if PlotStdev_3 then Plot7(MidasValue - (3*VolMidasSD), "Midas3SDDown");
end;

December 1st, 2015, 12:44 PM

If you need a hint, you should look at the existing C# for Ninja and C++ for Sierra where this indicator already exists.

Mike

December 1st, 2015, 05:40 PM

Big Mike

If you need a hint, you should look at the existing C# for Ninja and C++ for Sierra where this indicator already exists.

Mike

but I need it for easylanguage, beside there are valid vwap formulas for this language too, I've just tried to paste it but can't understand why doesn't work, after all should be a simple square root of the variance.

This is the part for the stddev

//Start calculation for Standard Deviation
end;
Value1 = 0;
Value2 = 0;
Value3 = 0;
if (Date >= StartCalcDate and Time >= StartTime)
or Date > StartCalcDate
then begin

//variance part
For Value1 = 0 To Count Begin
Value2 = ((UpTicks[Value1]+DownTicks[Value1])/(UpTicks+DownTicks)) * (Square(price1[Value1]-MidasValue));
Value3 = Value3 + Value2;
End;

VolMidasariance = Value3;
VolMidasSD = SquareRoot(VolMidasariance);

May 3rd, 2020, 03:58 PM

I guess it's beacause you var "count" is = 1.
Thanks for the code, cmq!

Plotting Midas (Vwap) stdev bands

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Plotting Midas (Vwap) stdev bands