script help, coding a Weis Wave

Question

I'm calculating VWAP in sections, every time the close has a difference with the running VWAP greater than the deviation, it flips the trend and starts a new VWAP count. Volume should be aggregated within each trend.

So far volume aggregates on the uptrend but not on the downtrend. Also, when switching from down to up, the uptrend volume "steals" the last downtrend volume and adds it to its own. This is all very confusing since the logic is quite simple...

Here is my code:

//@version=3
study("My Script")
deviation = input(title = "Deviation %", type=float, defval = 0.1)
running_vol = 0.0
running_sum = 0.0
Tup = true
Tdown = false

running_vol := nz(volume[1]) == 0 ? 0 : running_vol[1] + volume
running_sum := nz(volume[1]) == 0 ? 0 : running_sum[1] + (close*volume)

volwap = (running_sum/running_vol)

// flip to downtrend
if (Tup == true) and (Tdown == false) and (close < close[1]) and ((1 - (close/volwap)) > (deviation/100.0))
    // reset running_vol and sum to current volume and sum since it's a new trend
    running_vol := volume
    running_sum := (close*volume)
    // flip the trend switches
    Tup := false
    Tdown := true
// flip to uptrend
if (Tup == false) and (Tdown == true) and (close > close[1]) and (((close/volwap) - 1) > (deviation/100.0))
    running_vol := volume
    running_sum := (close*volume)
    Tup := true
    Tdown := false


up = Tup == true ? running_vol : 0
down = Tdown == true ? running_vol : 0

plot(up, style=histogram, color=green, linewidth=3)
plot(down, style=histogram, color=red, linewidth=3)

Answer 1

In the original script the self-referencing of Tup and Tdown are problematic. You must refer to past Tup and Tdown otherwise the user-defined Tup=true and tdown =false are reintroduced on each sweep through the script. Since Tup is re-initiated as true on each sweep you can only have one bear volume bar at a time. I also see issues with the desired turning point strategy for this novel and interesting wave definition. Some playing may well find a turning point that satisfies you better than what plots from this script. I have used tried to remain true to your use of volwap and close[1] relative to close[0] but I am not sure I have captured it in the way you truly intended. I hope this gives you a starting point to refine your wave definition. Here is my pine script rendition of your code. Cheers Jayy:

//@version=3
// my impression of the Weis VWAP code by Moreina by Jayy
study("Moreina Weis vwap")
deviation = input(title = "Deviation %", type=float, defval = 0.00000000)
running_vol = 0.0
running_sum = 0.0
Tup = 0

count=1
count:= nz(count[1])+1
running_vol := Tup[1]!=Tup[2] and nz(running_vol[1])==nz(volume[1])? nz(running_vol[1]) + volume:  (Tup[1]==1 and Tup[2]==1) or (Tup[1]==-1 and Tup[2]==-1)? nz(running_vol[1]) + volume:na
running_sum := Tup[1]!=Tup[2] and nz(running_sum[1])==nz(close[1]*volume[1])? nz(running_sum[1]) + close*volume: (Tup[1]==1 and Tup[2]==1) or (Tup[1]==-1 and Tup[2]==-1)? nz(running_sum[1]) +close* volume:na

volwap = (running_sum/running_vol)

// flip to downtrend
if ((Tup[1] == 1) or (Tup[1] == 0)) and not ((close > close[1]) or (close/volwap)>1) //

    // reset running_vol and sum to current volume and sum since it's a new trend
    running_vol := volume
    running_sum := (close*volume)
    // flip the trend switches
    Tup := -1

// flip to uptrend
if ((Tup[1] == -1) or (Tup[1] == 0))  and not ((close < close[1]) or ((close/volwap)) <1) //and (close/volwap) > 1) 

    running_vol := volume
    running_sum := (close*volume)
    Tup := 1


Tup:= nz(Tup[0])==1 and count>1?Tup[0]:nz(Tup[0])==-1 and count>1?Tup[0]: count>1 and Tup[0]==0?nz(Tup[1]):na//Tup
up = Tup == 1 ? running_vol : na
down = Tup == -1  ? running_vol : na

plot(up, style=histogram, color=green, linewidth=3)
plot(down, style=histogram, color=red, linewidth=3)