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Registered User Joined: 1/8/2014 Posts: 35
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For 1-minute bars, is it possible to count the number of times (during the current day) that the low price of a bar was below VWAP? I'd like to be able to use the result as a column in a scan results table.
Thanks.
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Worden Trainer
Joined: 10/7/2004 Posts: 65,138
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No, it is not possible. We could count the number of times the low was below a Moving VWAP during the a rolling trading day (so 390 minutes), but not for a plain VWAP and not since the start of the current trading day (unless it was after the market closed).
-Bruce Personal Criteria Formulas TC2000 Support Articles
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Registered User Joined: 1/8/2014 Posts: 35
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How would you do it for the moving VWAP? I'm having a little trouble with this one. Thanks.
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Worden Trainer
Joined: 10/7/2004 Posts: 65,138
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OK, let's say you wanted to count the number of times the low was below the 24 period moving VWAP during the most recent 390 x 1 minute bars.
You could create a Custom PCF Indicator with the following settings.
- Period: 390
- Average Type: Simple
- Formula: 390 * ABS(L < (((O + H + L + C) * V + (O1 + H1 + L1 + C1) * V1 + (O2 + H2 + L2 + C2) * V2 + (O3 + H3 + L3 + C3) * V3 + (O4 + H4 + L4 + C4) * V4 + (O5 + H5 + L5 + C5) * V5 + (O6 + H6 + L6 + C6) * V6 + (O7 + H7 + L7 + C7) * V7 + (O8 + H8 + L8 + C8) * V8 + (O9 + H9 + L9 + C9) * V9 + (O10 + H10 + L10 + C10) * V10 + (O11 + H11 + L11 + C11) * V11 + (O12 + H12 + L12 + C12) * V12 + (O13 + H13 + L13 + C13) * V13 + (O14 + H14 + L14 + C14) * V14 + (O15 + H15 + L15 + C15) * V15 + (O16 + H16 + L16 + C16) * V16 + (O17 + H17 + L17 + C17) * V17 + (O18 + H18 + L18 + C18) * V18 + (O19 + H19 + L19 + C19) * V19 + (O20 + H20 + L20 + C20) * V20 + (O21 + H21 + L21 + C21) * V21 + (O22 + H22 + L22 + C22) * V22 + (O23 + H23 + L23 + C23) * V23) / 96 / AVGV24))
How to add an indicator to a chart template
Need Help writing a PCF Indicator
-Bruce Personal Criteria Formulas TC2000 Support Articles
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