// This Pine Script™ code is subject to the terms of the Mozilla Public License 2.

0
at https://mozilla.org/MPL/2.0/
// © mindyourbuisness

//@version=6
indicator("Trend Heuristics", "TH", overlay = true)
import mindyourbuisness/CustomAlertLib/2 as CAL

// Custom Alert Middleware Function

alertFormat = input.text_area('{default}', "Custom alert message format",
group="Alert Settings")

// Rolling VWAP
// v3, 2022.07.24

import PineCoders/ConditionalAverages/1 as pc

// Global scope variables for signals

var buySignalrvwap = false
var sellSignalrvwap = false
var bullishBreakout = false
var bearishBreakout = false

// ———————————————————— Constants and Inputs {

// ————— Constants
int MS_IN_MIN = 60 * 1000
int MS_IN_HOUR = MS_IN_MIN * 60
int MS_IN_DAY = MS_IN_HOUR * 24

string TT_SRC = "The source used to calculate the VWAP. The default is the
average of the high, low and close prices."
string TT_WINDOW = "By default, the time period used to calculate the RVWAP
automatically adjusts with the chart's timeframe.
Check this to use a fixed-size time period instead, which you define with the
following three values."
string TT_MINBARS = "The minimum number of last values to keep in the moving
window, even if these values are outside the time period.
This avoids situations where a large time gap between two bars would cause the
time window to be empty."
string TT_STDEV = "The multiplier for the standard deviation bands offset above
and below the RVWAP. Example: 1.0 is 100% of the offset value.
\n\nNOTE: A value of 0.0 will hide the bands."
string TT_TABLE = "Displays the time period of the rolling window."

// Inputs
string groupName = "Rolling VWAP"
float srcInput = input.source(hlc3, "Source", tooltip = TT_SRC, group = groupName)

// Time Period and Info Box

bool fixedTfInput = input.bool(false, "Use a fixed time period", tooltip =
TT_WINDOW, group = groupName, inline = "1")
bool showInfoBoxInput = input.bool(true, "Show time period", group = groupName,
inline = "1")
int daysInput = input.int(1, "Days", minval = 0, maxval = 90, group = groupName,
inline = "2") * MS_IN_DAY
int hoursInput = input.int(0, "Hours", minval = 0, maxval = 23, group = groupName,
inline = "2") * MS_IN_HOUR
int minsInput = input.int(0, "Minutes", minval = 0, maxval = 59, group = groupName,
inline = "2") * MS_IN_MIN
string infoBoxSizeInput = input.string("small", "Size", options = ["tiny", "small",
"normal", "large", "huge", "auto"], group = groupName, inline = "3")
string infoBoxYPosInput = input.string("bottom", "Vertical Position", options =
["top", "middle", "bottom"], group = groupName, inline = "3")
string infoBoxXPosInput = input.string("left", "Horizontal Position", options =
["left", "center", "right"], group = groupName, inline = "3")
color infoBoxColorInput = input.color(color.gray, "Info Box Color", group =
groupName, inline = "4")
color infoBoxTxtColorInput = input.color(color.white, "Text Color", group =
groupName, inline = "4")
bool showSignalInputrVwap = input.bool(true, "Show Signal", group = groupName,
inline = "5")
// Define colors
var color BULL_COLOR = color.new(#A8D5BA, 0)
var color BEAR_COLOR = color.new(#F4A7A3, 0)
var color NEUTRAL_COLOR = color.new(#808080, 100)

// RVWAP and Deviation Bands

bool showRVWAPInput = input.bool(true, "Show RVWAP", group = groupName, inline =
"5")
color rvwapColorInput = input.color(#eaeaea, "RVWAP Color", group = groupName,
inline = "5")
color fillColorInput = input.color(color.new(BULL_COLOR, 95), "Band Fill Color",
group = groupName, inline = "5")
float stdevMult1 = input.float(0.386, "Bands Multiplier", minval = 0.0, step = 0.1,
group = groupName, inline = "6")
color stdevColor1 = input.color(color.new(#eaeaea, 100), "Deviation Band Color",
group = groupName, inline = "6")

// Minimum Window Size

int minBarsInput = input.int(10, "Minimum Bars", tooltip = TT_MINBARS, group =
groupName)

// In the inputs section, add new input for breakout signals

bool showBreakoutSignals = input.bool(true, "Show Breakout Signals", group =
groupName, inline = "7")

// ———————————————————— Functions {

// @function Determines a time period from the chart's timeframe.

// @returns (int) A value of time in milliseconds that is appropriate for the
current chart timeframe. To be used in the RVWAP calculation.
timeStep() =>
int tfInMs = timeframe.in_seconds() * 1000
float step =
switch
tfInMs <= MS_IN_MIN => MS_IN_HOUR
tfInMs <= MS_IN_MIN * 5 => MS_IN_HOUR * 4
tfInMs <= MS_IN_HOUR => MS_IN_DAY * 1
tfInMs <= MS_IN_HOUR * 4 => MS_IN_DAY * 3
tfInMs <= MS_IN_HOUR * 12 => MS_IN_DAY * 7
tfInMs <= MS_IN_DAY => MS_IN_DAY * 30.4375
tfInMs <= MS_IN_DAY * 7 => MS_IN_DAY * 90
=> MS_IN_DAY * 365
int result = int(step)
// @function Produces a string corresponding to the input time in days, hours,
and minutes.
// @param (series int) A time value in milliseconds to be converted to a
string variable.
// @returns (string) A string variable reflecting the amount of time from the
input time.
tfString(int timeInMs) =>
int s = timeInMs / 1000
int m = s / 60
int h = m / 60
int tm = math.floor(m % 60)
int th = math.floor(h % 24)
int d = math.floor(h / 24)
string result = switch
d == 30 and th == 10 and tm == 30 => '1M'
d == 7 and th == 0 and tm == 0 => '1W'
=>
string dStr = bool(d) ? str.tostring(d) + 'D ' : ''
string hStr = bool(th) ? str.tostring(th) + 'H ' : ''
string mStr = bool(tm) ? str.tostring(tm) + 'min' : ''
dStr + hStr + mStr
result
// }

// ———————————————————— Calculations and Plots {

// Stop the indicator on charts with no volume.

if barstate.islast and ta.cum(nz(volume)) == 0
runtime.error("No volume is provided by the data vendor.")

// RVWAP + stdev bands

int timeInMs = fixedTfInput ? minsInput + hoursInput + daysInput : timeStep()

float sumSrcVol = pc.totalForTimeWhen(srcInput * volume, timeInMs, true,

minBarsInput)
float sumVol = pc.totalForTimeWhen(volume, timeInMs, true, minBarsInput)
float sumSrcSrcVol = pc.totalForTimeWhen(volume * math.pow(srcInput, 2), timeInMs,
true, minBarsInput)

float rollingVWAP = sumSrcVol / sumVol

float variance = sumSrcSrcVol / sumVol - math.pow(rollingVWAP, 2)

variance := math.max(0, variance)

float stDev = math.sqrt(variance)

float upperBand1 = rollingVWAP + stDev * stdevMult1

float lowerBand1 = rollingVWAP - stDev * stdevMult1

// Signal calculations
float bodyRange = high - low
float closePosition = (close - low) / bodyRange

// Calculate wick sizes

float upperWick = high - math.max(open, close)
float lowerWick = math.min(open, close) - low

buySignalrvwap := open > upperBand1 and low < upperBand1 and close > upperBand1 and
closePosition >= 0.5 and lowerWick > upperWick and close > high[1]
sellSignalrvwap := open < lowerBand1 and high > lowerBand1 and close < lowerBand1
and closePosition <= 0.5 and upperWick > lowerWick and close < low [1]

// Add breakout signals

bullishBreakout := open < rollingVWAP and close > upperBand1
bearishBreakout := open > rollingVWAP and close < lowerBand1

// Plots
plot(showRVWAPInput ? rollingVWAP : na, "Rolling VWAP", rvwapColorInput)

p1rvwap = plot(showRVWAPInput and stdevMult1 != 0 ? upperBand1 : na, "Upper Band

1", stdevColor1)
p2rvwap = plot(showRVWAPInput and stdevMult1 != 0 ? lowerBand1 : na, "Lower Band
1", stdevColor1)

color fillColor = showRVWAPInput ? fillColorInput : color.new(fillColorInput, 100)

fill(p1rvwap, p2rvwap, fillColor, "Bands Fill")

// Signal plots
plotshape(showSignalInputrVwap and buySignalrvwap, "Buy Signal",
style=shape.triangleup, location=location.belowbar, color=BULL_COLOR,
size=size.tiny)
plotshape(showSignalInputrVwap and sellSignalrvwap, "Sell Signal",
style=shape.triangledown, location=location.abovebar, color=BEAR_COLOR,
size=size.tiny)
plotshape(showBreakoutSignals and bullishBreakout, "Bullish Breakout",
style=shape.circle, location=location.belowbar, color=BULL_COLOR, size=size.tiny)
plotshape(showBreakoutSignals and bearishBreakout, "Bearish Breakout",
style=shape.circle, location=location.abovebar, color=BEAR_COLOR, size=size.tiny)

// Alerts
if buySignalrvwap and showSignalInputrVwap
CAL.customAlert(alertFormat, str.tostring(syminfo.ticker) + ": Bullish sweep of
rolling VWAP")
if sellSignalrvwap and showSignalInputrVwap
CAL.customAlert(alertFormat, str.tostring(syminfo.ticker) + ": Bearish sweep of
rolling VWAP")
if bullishBreakout and showBreakoutSignals
CAL.customAlert(alertFormat, str.tostring(syminfo.ticker) + ": Bullish breakout
above VWAP")
if bearishBreakout and showBreakoutSignals
CAL.customAlert(alertFormat, str.tostring(syminfo.ticker) + ": Bearish breakout
below VWAP")