[blackcat] L2 Veronique Valcu VWAP Z-Score Indicator

2021年10月3日

Level: 2

Background

Veronique Valcu's article "Z-Score Indicator" in Feb,2003 provided a description and commentary on a new method of displaying directional change normalized in terms of standard deviation. This indicator is realized in pine script here by using the following function code, adding vwap function, called vwap ZScore.

Function

This indicator has three input, "AvgLen", "Smooth1" and "Smooth2." Price is fixed in selected vwap price. AvgLen describes the length of the sample considered in the standard deviation calculation. Once created and verified, the function can be easily called in any indicator or strategy.


Inputs

AvgLen --> Length input for vwap Zscore.
Smooth1 and Smooth2 --> Smoothing length.

Key Signal

Curve1 --> vwap ZScore output fast signal
Curve2 --> vwap ZScore output slow signal

Remarks

This is a Level 2 free and open source indicator.

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