vwap_trading_futures.txt

// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © binancash

//@version=5
indicator("Snag - VWAP", overlay=true)

input_in = input.float(title='Input In Point', defval=15.0)
input_out = input.float(title='Input Out Point', defval=12.0)

var cumVol = 0.
cumVol += nz(volume)
if barstate.islast and cumVol == 0
    runtime.error("No volume is provided by the data vendor.")

computeVWAP(src, isNewPeriod) =>
	var float sumSrcVol = na
	var float sumVol = na
    var float sumSrcSrcVol = na

	sumSrcVol := isNewPeriod ? src * volume : src * volume + sumSrcVol[1]
	sumVol := isNewPeriod ? volume : volume + sumVol[1]
	// sumSrcSrcVol calculates the dividend of the equation that is later used to calculate the standard deviation
	sumSrcSrcVol := isNewPeriod ? volume * math.pow(src, 2) : volume * math.pow(src, 2) + sumSrcSrcVol[1]

	_vwap = sumSrcVol / sumVol
	variance = sumSrcSrcVol / sumVol - math.pow(_vwap, 2)
	variance := variance < 0 ? 0 : variance
	stDev = math.sqrt(variance)

	[_vwap, stDev]

computeStdevBands(value, stdev, bandMult) =>
    float upperBand = value + stdev * bandMult
    float lowerBand = value - stdev * bandMult
    [upperBand, lowerBand]

hideonDWM = input(false, title="Hide VWAP on 1D or Above", group="VWAP Settings")
var anchor = input.string(defval = "Session", title="Anchor Period",
 options=["Session", "Week", "Month", "Quarter", "Year", "Decade", "Century", "Earnings", "Dividends", "Splits"], group="VWAP Settings")
src = input(title = "Source", defval = hlc3, group="VWAP Settings")
offset = input(0, title="Offset", group="VWAP Settings")

showBand_1 = input(true, title="", group="Standard Deviation Bands Settings", inline="band_1")
stdevMult_1 = input(1.0, title="Bands Multiplier #1", group="Standard Deviation Bands Settings", inline="band_1")
showBand_2 = input(false, title="", group="Standard Deviation Bands Settings", inline="band_2")
stdevMult_2 = input(2.0, title="Bands Multiplier #2", group="Standard Deviation Bands Settings", inline="band_2")
showBand_3 = input(false, title="", group="Standard Deviation Bands Settings", inline="band_3")
stdevMult_3 = input(3.0, title="Bands Multiplier #3", group="Standard Deviation Bands Settings", inline="band_3")

timeChange(period) =>
	ta.change(time(period))

new_earnings = request.earnings(syminfo.tickerid, earnings.actual, barmerge.gaps_on, barmerge.lookahead_on, ignore_invalid_symbol=true)
new_dividends = request.dividends(syminfo.tickerid, dividends.gross, barmerge.gaps_on, barmerge.lookahead_on, ignore_invalid_symbol=true)
new_split = request.splits(syminfo.tickerid, splits.denominator, barmerge.gaps_on, barmerge.lookahead_on, ignore_invalid_symbol=true)

isNewPeriod = switch anchor
	"Earnings" => not na(new_earnings)
	"Dividends" => not na(new_dividends)
	"Splits" => not na(new_split)
	"Session" => timeChange("D")
	"Week" => timeChange("W")
	"Month" => timeChange("M")
	"Quarter" => timeChange("3M")
	"Year" => timeChange("12M")
	"Decade" => timeChange("12M") and year % 10 == 0
	"Century" => timeChange("12M") and year % 100 == 0
	=> false

isEsdAnchor = anchor == "Earnings" or anchor == "Dividends" or anchor == "Splits"
if na(src[1]) and not isEsdAnchor
	isNewPeriod := true

float vwapValue = na
float stdev = na
float upperBandValue1 = na
float lowerBandValue1 = na
float upperBandValue2 = na
float lowerBandValue2 = na
float upperBandValue3 = na
float lowerBandValue3 = na

if not (hideonDWM and timeframe.isdwm)
    [_vwap, _stdev] = computeVWAP(src, isNewPeriod)
    vwapValue := _vwap
    stdev := _stdev
	[upBV1, loBV1] = computeStdevBands(vwapValue, stdev, stdevMult_1)
	upperBandValue1 := showBand_1 ? upBV1 : na
	lowerBandValue1 := showBand_1 ? loBV1 : na
	[upBV2, loBV2] = computeStdevBands(vwapValue, stdev, stdevMult_2)
	upperBandValue2 := showBand_2 ? upBV2 : na
	lowerBandValue2 := showBand_2 ? loBV2 : na
	[upBV3, loBV3] = computeStdevBands(vwapValue, stdev, stdevMult_3)
	upperBandValue3 := showBand_3 ? upBV3 : na
	lowerBandValue3 := showBand_3 ? loBV3 : na

plot(vwapValue, title="VWAP", color=#2962FF, offset=offset)

upperBand_1 = plot(upperBandValue1, title="Upper Band #1", color=color.green, offset=offset)
lowerBand_1 = plot(lowerBandValue1, title="Lower Band #1", color=color.green, offset=offset)
fill(upperBand_1, lowerBand_1, title="Bands Fill #1", color= color.new(color.green, 95))

upperBand_2 = plot(upperBandValue2, title="Upper Band #2", color=color.olive, offset=offset)
lowerBand_2 = plot(lowerBandValue2, title="Lower Band #2", color=color.olive, offset=offset)
fill(upperBand_2, lowerBand_2, title="Bands Fill #2", color= color.new(color.olive, 95))

upperBand_3 = plot(upperBandValue3, title="Upper Band #3", color=color.teal, offset=offset)
lowerBand_3 = plot(lowerBandValue3, title="Lower Band #3", color=color.teal, offset=offset)
fill(upperBand_3, lowerBand_3, title="Bands Fill #3", color= color.new(color.teal, 95))


// LOGIC
f_RoundUp(number, decimals=0) =>
    factor = math.pow(10, decimals)
    math.ceil(number * factor) / factor
    
f_nDecimals(_in) =>
    n  = int(na), s = str.tostring(_in), p = str.pos(s, ".")
    n := na(str.tonumber(s)) ? int(na) : na(p) ? 0 :
     str.length(str.substring(s, p + 1))

_n = f_nDecimals(close)

wma13 = ta.wma(close, 13)
//plot(wma13, title="WMA13", color=color.blue)

wma48 = ta.wma(close, 48)
//plot(wma48, title="WMA48", color=color.yellow)

wma200 = ta.wma(close, 200)
plot(wma200, title="WMA200", color=color.white)

point = f_RoundUp(close - wma200, 0)
var in_arr = array.new_float()
var out_arr = array.new_float()
is_in = false
is_out = false
if (point - point[1] > input_in or point - point[2] > input_in) and close > lowerBandValue1
    is_in := true
    if array.size(in_arr) == 0
        label.new(bar_index, low - 50, text=str.format("{0}", 'IN'), textcolor=color.white, color=color.blue, size=size.tiny, style=label.style_triangleup)
    
    out_arr := array.new_int()
    array.push(in_arr, time)
    
else if (point[1] - point > input_out or point[2] - point > input_out) and close < upperBandValue1
    is_out := true
    if array.size(out_arr) == 0
        label.new(bar_index, high + 50, text=str.format("{0}", 'OUT'), textcolor=color.white, color=color.gray, size=size.tiny, style=label.style_triangledown)
    
    
    in_arr := array.new_int()
    array.push(out_arr, time)


var call_arr = array.new_int()
var put_arr = array.new_int()

var gain_call_arr = array.new_string()
var gain_put_arr = array.new_string()
// reset array next day
if hour(time, "GMT-7") == 6 and minute(time, "GMT-7") == 30
    gain_call_arr := array.new_string()
    gain_put_arr := array.new_string()


m_now = minute(timenow, "GMT-7")
s_now = second(timenow, "GMT-7")

// check close is up vwap
is_up_vwap = close[1] < vwapValue[1] and close > vwapValue or close[1] < vwapValue[1] and high > vwapValue and is_in
is_down_vwap = low[2] > lowerBandValue1[2] and low[1] > lowerBandValue1[1] and close < lowerBandValue1 or low[2] > upperBandValue1[2] and low[1] > upperBandValue1[1] and close < upperBandValue1 or close[2] > vwapValue[2] and close[1] > vwapValue[1] and close < vwapValue

var float price_call = 0.0
var int price_call_time = 0
var float price_call_exit = 0.0
var int price_call_exit_time = 0
var float stoploss_call = 0.0

var float price_put = 0.0
var int price_put_time = 0
var float price_put_exit = 0.0
var int price_put_exit_time = 0
var float stoploss_put = 0.0


call_color = color.yellow
put_color = color.red
//if timenow%2 == 0
//    call_color := color.orange
//    put_color := color.gray

if is_up_vwap //and vwapValue < wma200
    
    label.new(bar_index, low - 30, text=str.format("{0}", 'CALL'), textcolor=color.white, color=call_color, size=size.tiny, style=label.style_triangleup)
    if price_call == 0.0
        price_call := close
        price_call_time := time
    
if is_down_vwap and vwapValue > wma200 and is_out
    label.new(bar_index, high + 30, text=str.format("{0}", 'PUT'), textcolor=color.white, color=put_color, size=size.tiny, style=label.style_triangledown)
    if price_put == 0.0
        price_put := close
        price_put_time := time
    
// CALL Trailing Stoploss
if price_call > 0.0
    // set stoploss
    stoploss_call := low[1]
    
        
// PUT Trailing Stoploss
if price_put > 0.0
    // set stoploss
    stoploss_put := high[1]
    

// stop loss CALL        
if price_call > 0.0 and price_call >= close + 12 or stoploss_call != 0.0 and close <= stoploss_call or is_out
    
    if price_call > 0.0
        //label.new(bar_index, high + 30, text=str.format("{0}", 'OK'), textcolor=color.white, color=put_color, size=size.tiny, style=label.style_triangledown)
    
        price_call_exit := close
        price_call_exit_time := time
        
        // entry call
        h_call1 = hour(price_call_time, "GMT-7")
        str_h_call1 = str.format("{0}", h_call1)
        if str.length(str_h_call1) == 1
            str_h_call1 := str.format("0{0}", h_call1)
        m_call1 = minute(price_call_time, "GMT-7")
        str_m_call1 = str.format("{0}", m_call1)
        if str.length(str_m_call1) == 1
            str_m_call1 := str.format("0{0}", m_call1)
        str_call_entry1 = str.format("{0}:{1} ${2}", str_h_call1, str_m_call1, price_call)
        
        
        // exit call
        h_exit_call1 = hour(price_call_exit_time, "GMT-7")
        str_h_exit_call1 = str.format("{0}", h_exit_call1)
        if str.length(str_h_exit_call1) == 1
            str_h_exit_call1 := str.format("0{0}", h_exit_call1)
        m_exit_call1 = minute(price_call_exit_time, "GMT-7")
        str_m_exit_call1 = str.format("{0}", m_exit_call1)
        if str.length(str_m_exit_call1) == 1
            str_m_exit_call1 := str.format("0{0}", m_exit_call1)
        str_call_exit1 = str.format("{0}:{1} ${2}\nG/L: {3}", str_h_exit_call1, str_m_exit_call1, price_call_exit, price_call_exit-price_call)
        
        
        array.push(gain_call_arr, str.format("CALL: {0}\nExit: {1}", str_call_entry1, str_call_exit1))
        
        price_call := 0.0
        price_call_time := 0
        price_call_exit := 0.0
        price_call_exit_time := 0
        stoploss_call := 0.0
        

// stop loss PUT        
if price_put > 0.0 and price_put <= close - 12 or stoploss_put != 0.0 and close >= stoploss_put or is_in
    
    if price_put > 0.0
        //label.new(bar_index, high + 30, text=str.format("{0}", 'OK'), textcolor=color.white, color=put_color, size=size.tiny, style=label.style_triangledown)
    
        price_put_exit := close
        price_put_exit_time := time
        
        // entry put
        h_put1 = hour(price_put_time, "GMT-7")
        str_h_put1 = str.format("{0}", h_put1)
        if str.length(str_h_put1) == 1
            str_h_put1 := str.format("0{0}", h_put1)
        m_put1 = minute(price_put_time, "GMT-7")
        str_m_put1 = str.format("{0}", m_put1)
        if str.length(str_m_put1) == 1
            str_m_put1 := str.format("0{0}", m_put1)
        str_put_entry1 = str.format("{0}:{1} ${2}", str_h_put1, str_m_put1, price_put)
        
        
        // exit put
        h_exit_put1 = hour(price_put_exit_time, "GMT-7")
        str_h_exit_put1 = str.format("{0}", h_exit_put1)
        if str.length(str_h_exit_put1) == 1
            str_h_exit_put1 := str.format("0{0}", h_exit_put1)
        m_exit_put1 = minute(price_put_exit_time, "GMT-7")
        str_m_exit_put1 = str.format("{0}", m_exit_put1)
        if str.length(str_m_exit_put1) == 1
            str_m_exit_put1 := str.format("0{0}", m_exit_put1)
        str_put_exit1 = str.format("{0}:{1} ${2}\nG/L: {3}", str_h_exit_put1, str_m_exit_put1, price_put_exit, price_put - price_put_exit)
        
        
        array.push(gain_put_arr, str.format("Put: {0}\nExit: {1}", str_put_entry1, str_put_exit1))
        
        price_put := 0.0
        price_put_time := 0
        price_put_exit := 0.0
        price_put_exit_time := 0
        stoploss_put := 0.0
        
// IMPORTANT SIGNAL TAKE CARE TRADING WHEN GET THIS ALERT
crossUpWMA13_48 = ta.crossover(wma13, wma48)
crossDownWMA13_48 = ta.crossunder(wma13, wma48)
crossUpWMA48_200 = ta.crossover(wma48, wma200)
crossDownWMA48_200 = ta.crossunder(wma48, wma200)

var int crossdown_bar_13_48 = 0
var int crossdown_bar_48_200 = 0
var int crossup_bar_13_48 = 0
var int crossup_bar_48_200 = 0

if crossDownWMA13_48
    crossdown_bar_13_48 := bar_index
    crossup_bar_13_48 := 0
if crossUpWMA13_48
    crossup_bar_13_48 := bar_index
    crossdown_bar_13_48 := 0
    
if crossDownWMA48_200
    crossdown_bar_48_200 := bar_index
    crossup_bar_48_200 := 0
if crossUpWMA48_200
    crossdown_bar_48_200 := 0
    crossup_bar_48_200 := bar_index
    
   
var bool is_big_put = false
var bool is_big_call = false
if crossdown_bar_48_200 and crossdown_bar_13_48 
    if crossdown_bar_13_48 < crossdown_bar_48_200
        label.new(crossdown_bar_48_200, upperBandValue1, text=str.format("{0}", "BIG PUT\nIs this BOTTOM? NO! Don't CALL this time!"), textcolor=color.white, color=color.red, size=size.normal, style=label.style_triangledown)
        //label.new(crossdown_bar_48_200, wma13, text=str.format("{0}", 'BIG PUT'), textcolor=color.white, color=color.red, size=size.normal, style=label.style_triangledown)
        crossdown_bar_13_48 := 0
        crossdown_bar_48_200 := 0
        is_big_put := true
        is_big_call := false
    else
        label.new(crossdown_bar_13_48, upperBandValue1, text=str.format("{0}", "BIG PUT - Is this BOTTOM? NO! Don't CALL this time!"), textcolor=color.white, color=color.red, size=size.normal, style=label.style_triangledown)
        //label.new(crossdown_bar_13_48, wma13, text=str.format("{0}", 'BIG PUT'), textcolor=color.white, color=color.red, size=size.normal, style=label.style_triangledown)
        crossdown_bar_13_48 := 0
        crossdown_bar_48_200 := 0
        is_big_put := true
        is_big_call := false
if crossup_bar_48_200 and crossup_bar_13_48 
    if crossup_bar_13_48 < crossup_bar_48_200
        //label.new(crossup_bar_48_200, wma48, text=str.format("{0}", 'BIG CALL'), textcolor=color.white, color=color.green, size=size.normal, style=label.style_triangleup)
        label.new(crossup_bar_48_200, lowerBandValue1, text=str.format("{0}", 'BIG CALL'), textcolor=color.white, color=color.green, size=size.normal, style=label.style_triangleup)
        crossup_bar_13_48 := 0
        crossup_bar_48_200 := 0
        is_big_put := false
        is_big_call := true
    else
        //label.new(crossup_bar_13_48, wma48, text=str.format("{0}", 'BIG CALL'), textcolor=color.white, color=color.green, size=size.normal, style=label.style_triangleup)
        label.new(crossup_bar_13_48, lowerBandValue1, text=str.format("{0}", 'BIG CALL'), textcolor=color.white, color=color.green, size=size.normal, style=label.style_triangleup)
        crossup_bar_13_48 := 0
        crossup_bar_48_200 := 0
        is_big_put := false
        is_big_call := true
        
if barstate.islast
    // table summary
    var table panel = table.new("bottom_right", 6, 30)
    
    table.cell(panel, 0, 1, "POINT AWAY FROM VWAP", bgcolor = color.yellow, text_color=color.black, width=20, text_halign=text.align_left)
    table.cell(panel, 1, 1, str.format("{0}", close - vwapValue), bgcolor = color.yellow, text_color=color.black, width=10, text_halign=text.align_left)    
    
    table.cell(panel, 0, 3, "POINT AWAY FROM VWAP LOW", bgcolor = color.yellow, text_color=color.black, width=20, text_halign=text.align_left)
    table.cell(panel, 1, 3, str.format("{0} {1}", close - lowerBandValue1, array.size(gain_call_arr)), bgcolor = color.yellow, text_color=color.black, width=8, text_halign=text.align_left)    
    
    table.cell(panel, 0, 5, "POINT AWAY FROM VWAP HIGH", bgcolor = color.yellow, text_color=color.black, width=20, text_halign=text.align_left)
    table.cell(panel, 1, 5, str.format("{0}", close - upperBandValue1), bgcolor = color.yellow, text_color=color.black, width=8, text_halign=text.align_left)    
    
    if price_call > 0.0
        table.cell(panel, 0, 7, "CALL", bgcolor = color.yellow, text_color=color.black, width=18, text_halign=text.align_left)
        table.cell(panel, 1, 7, str.format("{0}", price_call), bgcolor = color.yellow, text_color=color.black, text_halign=text.align_left)    
        
        table.cell(panel, 0, 9, "Trailing Stoploss", bgcolor = color.yellow, text_color=color.black, width=18, text_halign=text.align_left)
        table.cell(panel, 1, 9, str.format("{0}", stoploss_call), bgcolor = color.yellow, text_color=color.black, text_halign=text.align_left)    
        if price_call_exit > 0.0
            table.cell(panel, 0, 11, "Gain/Loss", bgcolor = color.yellow, text_color=color.black, width=18, text_halign=text.align_left)
            table.cell(panel, 1, 11, str.format("{0} points", price_call_exit-price_call), bgcolor = color.yellow, text_color=color.black, text_halign=text.align_left)  
        else
            table.cell(panel, 0, 11, "Gain/Loss", bgcolor = color.yellow, text_color=color.black, width=18, text_halign=text.align_left)
            table.cell(panel, 1, 11, str.format("{0} points", close-price_call), bgcolor = color.yellow, text_color=color.black, text_halign=text.align_left)  
        
    if price_put > 0.0
        table.cell(panel, 0, 7, "PUT", bgcolor = color.yellow, text_color=color.black, width=18, text_halign=text.align_left)
        table.cell(panel, 1, 7, str.format("{0}", price_put), bgcolor = color.yellow, text_color=color.black, text_halign=text.align_left)    
        
        table.cell(panel, 0, 9, "Trailing Stoploss", bgcolor = color.yellow, text_color=color.black, width=18, text_halign=text.align_left)
        table.cell(panel, 1, 9, str.format("{0}", stoploss_put), bgcolor = color.yellow, text_color=color.black, text_halign=text.align_left)    
        if price_put_exit > 0.0
            table.cell(panel, 0, 11, "Gain/Loss", bgcolor = color.yellow, text_color=color.black, width=18, text_halign=text.align_left)
            table.cell(panel, 1, 11, str.format("{0} points", price_put - price_put_exit), bgcolor = color.yellow, text_color=color.black, text_halign=text.align_left)    
        else
            table.cell(panel, 0, 11, "Gain/Loss", bgcolor = color.yellow, text_color=color.black, width=18, text_halign=text.align_left)
            table.cell(panel, 1, 11, str.format("{0} points", price_put - close), bgcolor = color.yellow, text_color=color.black, text_halign=text.align_left)    
        
    table.cell(panel, 0, 23, '', height=20, text_halign=text.align_left)
    table.cell(panel, 1, 23, '', height=20, text_halign=text.align_left)    
    
    
    // table backtest
    var table panel2 = table.new("bottom_left", 100, 30)
    if array.size(gain_call_arr) > 0
        table.cell(panel2, 0, 1, 'CALL', bgcolor = color.orange, text_color=color.black, width=4, text_halign=text.align_left)
    if array.size(gain_put_arr) > 0
        table.cell(panel2, 0, 2, 'PUT', bgcolor = color.orange, text_color=color.black, width=4, text_halign=text.align_left)
            
    if array.size(gain_call_arr) > 0
        for k = 0 to array.size(gain_call_arr) - 1

            if k%2 == 0
                table.cell(panel2, k+1, 1, array.get(gain_call_arr, k), bgcolor = color.gray, text_color=color.black, width=8, text_halign=text.align_left, text_size=size.tiny)
            else
                table.cell(panel2, k+1, 1, array.get(gain_call_arr, k), bgcolor = color.green, text_color=color.black, width=8, text_halign=text.align_left, text_size=size.tiny)
    if array.size(gain_put_arr) > 0
        for j = 0 to array.size(gain_put_arr) - 1
            if j%2 == 0
                table.cell(panel2, j+1, 2, array.get(gain_put_arr, j), bgcolor = color.gray, text_color=color.black, width=8, text_halign=text.align_left, text_size=size.tiny)
            else
                table.cell(panel2, j+1, 2, array.get(gain_put_arr, j), bgcolor = color.green, text_color=color.black, width=8, text_halign=text.align_left, text_size=size.tiny)