OPEN-SOURCE SCRIPT
VWAP Mean Reversion Scalper with Multi-SD Bands and CVD
The VWAP Mean Reversion Scalper is an execution-focused indicator designed to identify potential price exhaustion points at statistical extremes. It utilizes a Volume Weighted Average Price (VWAP) core with multiple standard deviation bands to define overextended market conditions, confirmed by real-time Volume Delta (CVD).
How It Works (Technical Logic)
This script identifies reversal setups based on the convergence of three primary data points:
Statistical Extremes (VWAP SD Bands): The indicator calculates three standard deviation bands based on the VWAP. These bands serve as dynamic "overbought" and "oversold" zones.
Universal Rejection: A signal is generated when a candle tests a band (or the VWAP mid-line) and closes in the opposite direction (e.g., price touches the upper band and closes as a red candle).
Cumulative Volume Delta (CVD) Confirmation: Using request.security_lower_tf, the script analyzes volume delta from a lower timeframe (e.g., 1-minute). A signal only confirms if the aggressive market orders (buying for longs, selling for shorts) align with the rejection direction.
Volatility Filtering: An optional ATR-based filter ensures that the rejection candle has sufficient range to represent a meaningful shift in momentum.
Unique Signal Filtering
To maintain a clean interface and avoid "signal clusters" during trending periods, the script uses a State-Based Filter:
Neutral Zone Reset: After a signal triggers at the outer bands, the script will not generate another signal in that direction until price returns to the "Neutral Zone" (the area between the SD 1.0 bands).
Scaling Logic: The indicator permits "scaling in" signals if the price moves to a deeper standard deviation level (e.g., from SD 2 to SD 3) before returning to the mean.
Usage & Best Practices
Timeframes: Optimized for intraday scalping (1m, 5m, 15m).
Execution: Ideal targets are the VWAP mid-line (mean) or the opposite SD 1 band.
CVD Setup: For the most accurate delta readings, ensure the "CVD Calculation Timeframe" in settings is set to 1-minute or lower.
How It Works (Technical Logic)
This script identifies reversal setups based on the convergence of three primary data points:
Statistical Extremes (VWAP SD Bands): The indicator calculates three standard deviation bands based on the VWAP. These bands serve as dynamic "overbought" and "oversold" zones.
Universal Rejection: A signal is generated when a candle tests a band (or the VWAP mid-line) and closes in the opposite direction (e.g., price touches the upper band and closes as a red candle).
Cumulative Volume Delta (CVD) Confirmation: Using request.security_lower_tf, the script analyzes volume delta from a lower timeframe (e.g., 1-minute). A signal only confirms if the aggressive market orders (buying for longs, selling for shorts) align with the rejection direction.
Volatility Filtering: An optional ATR-based filter ensures that the rejection candle has sufficient range to represent a meaningful shift in momentum.
Unique Signal Filtering
To maintain a clean interface and avoid "signal clusters" during trending periods, the script uses a State-Based Filter:
Neutral Zone Reset: After a signal triggers at the outer bands, the script will not generate another signal in that direction until price returns to the "Neutral Zone" (the area between the SD 1.0 bands).
Scaling Logic: The indicator permits "scaling in" signals if the price moves to a deeper standard deviation level (e.g., from SD 2 to SD 3) before returning to the mean.
Usage & Best Practices
Timeframes: Optimized for intraday scalping (1m, 5m, 15m).
Execution: Ideal targets are the VWAP mid-line (mean) or the opposite SD 1 band.
CVD Setup: For the most accurate delta readings, ensure the "CVD Calculation Timeframe" in settings is set to 1-minute or lower.
Skrip open-source
Dengan semangat TradingView yang sesungguhnya, pembuat skrip ini telah menjadikannya sebagai sumber terbuka, sehingga para trader dapat meninjau dan memverifikasi fungsinya. Salut untuk penulisnya! Meskipun Anda dapat menggunakannya secara gratis, perlu diingat bahwa penerbitan ulang kode ini tunduk pada Tata Tertib kami.
Pernyataan Penyangkalan
Informasi dan publikasi ini tidak dimaksudkan, dan bukan merupakan, saran atau rekomendasi keuangan, investasi, trading, atau jenis lainnya yang diberikan atau didukung oleh TradingView. Baca selengkapnya di Ketentuan Penggunaan.
Skrip open-source
Dengan semangat TradingView yang sesungguhnya, pembuat skrip ini telah menjadikannya sebagai sumber terbuka, sehingga para trader dapat meninjau dan memverifikasi fungsinya. Salut untuk penulisnya! Meskipun Anda dapat menggunakannya secara gratis, perlu diingat bahwa penerbitan ulang kode ini tunduk pada Tata Tertib kami.
Pernyataan Penyangkalan
Informasi dan publikasi ini tidak dimaksudkan, dan bukan merupakan, saran atau rekomendasi keuangan, investasi, trading, atau jenis lainnya yang diberikan atau didukung oleh TradingView. Baca selengkapnya di Ketentuan Penggunaan.