OPEN-SOURCE SCRIPT

VWAP Oscillator (Normalised)

Updated

Thanks:
Thanks to upslidedown for his VWAP Oscillator that served as the inspiration for this normalised version.

Core Aspects:

The script calculates the VWAP by considering both volume and price data, offering a comprehensive view of market activity.
Uses an adaptive normalization function to balance the data, ensuring that the VWAP reflects current market conditions accurately.
The oscillator includes customizable settings such as VWAP source, lookback period, and buffer percentage.
Provides a clear visual representation of market trends.

Usage Summary:

Detect divergences between price and oscillator for potential trend reversals.
Assess market momentum with oscillator’s position relative to the zero line.
Identify overbought and oversold conditions to anticipate market corrections.
Use volume-confirmed signals for enhanced reliability in trend strength assessments.

Release Notes

Corrected thanks in the comments.
Made indicator and time frame visible in the chart preview for compliance with pinecoders agreement.

Release Notes

Added an additional Up-Down Volume Profile overlay. Thanks to the trading view team for their Up/Down Volume Indicator.

Added an alternative normalisation method for the VWAP Oscillator designed to be more responsive to local trends:

MA-StdDev for short-term price movements and volatility
Adaptive for analysing longer-term trends

Release Notes

This updated adds improves the calculations of the current normalisation method and adds additional normalization methods, making visualizing VWAP deviations even easier.

Methods:

Deviation: Calculates the difference between price and VWAP, then normalizes it based on its standard deviation from the mean. Use this to identify statistically significant deviations from VWAP, which may indicate potential reversal points or trend continuations.
DNA: Applies a non-linear transformation to the normalized VWAP difference, with an exponent that adjusts based on market volatility. This method is useful for analyzing price action across different volatility regimes, providing consistent sensitivity in both calm and turbulent markets.
Percentile: Ranks the current VWAP difference within its recent historical distribution, then applies a non-linear transformation. This helps in understanding whether the current deviation is extreme relative to recent price action. Use it to identify rare market conditions that may precede significant moves.
RSI: Applies the Relative Strength Index calculation to the VWAP difference, then normalizes the result. This combines momentum analysis with VWAP divergence. It's particularly useful for identifying potential overbought or oversold conditions relative to the VWAP, which may precede short-term price reversals.
Hybrid: Calculates all other normalization methods and averages them when they agree in direction, returning zero otherwise. This method provides signals only when there's a strong consensus across different analytical approaches. Use it to identify high-conviction trading setups or to confirm signals from other technical indicators.

Open-source script

In true TradingView spirit, the author of this script has published it open-source, so traders can understand and verify it. Cheers to the author! You may use it for free, but reuse of this code in publication is governed by House rules. You can favorite it to use it on a chart.

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