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.
오픈 소스 스크립트
트레이딩뷰의 진정한 정신에 따라, 이 스크립트의 작성자는 이를 오픈소스로 공개하여 트레이더들이 기능을 검토하고 검증할 수 있도록 했습니다. 작성자에게 찬사를 보냅니다! 이 코드는 무료로 사용할 수 있지만, 코드를 재게시하는 경우 하우스 룰이 적용된다는 점을 기억하세요.
면책사항
해당 정보와 게시물은 금융, 투자, 트레이딩 또는 기타 유형의 조언이나 권장 사항으로 간주되지 않으며, 트레이딩뷰에서 제공하거나 보증하는 것이 아닙니다. 자세한 내용은 이용 약관을 참조하세요.
오픈 소스 스크립트
트레이딩뷰의 진정한 정신에 따라, 이 스크립트의 작성자는 이를 오픈소스로 공개하여 트레이더들이 기능을 검토하고 검증할 수 있도록 했습니다. 작성자에게 찬사를 보냅니다! 이 코드는 무료로 사용할 수 있지만, 코드를 재게시하는 경우 하우스 룰이 적용된다는 점을 기억하세요.
면책사항
해당 정보와 게시물은 금융, 투자, 트레이딩 또는 기타 유형의 조언이나 권장 사항으로 간주되지 않으며, 트레이딩뷰에서 제공하거나 보증하는 것이 아닙니다. 자세한 내용은 이용 약관을 참조하세요.