VScore Indicator for ThinkOrSwim (Free Download)

Overview

In this tutorial I build the VScore indicator for ThinkOrSwim, a free study that measures how far the close is from the volume weighted average price (VWAP) in standard deviations. A VScore of 1 means price is 1 standard deviation above that mean, and -2 means it is 2 below. I build it from the code of ThinkOrSwim's built-in VWAP study and our free anchored VWAP study.

This page covers two builds. The lower VScore plots the score in its own panel, with trend clouds, a price label and arrows for pullbacks to the mean. The upper VScore, from a second video, draws the same levels as prices on your chart. Both are for traders who want to know whether a stock has pulled back far enough to matter.

Key Takeaways

What Is the VScore?

The VScore is a z-score of price against the volume weighted average price. A z-score says how far a value is from its average, counted in standard deviations. Here the average is VWAP and the value is the close of each bar.

A VScore of 0 means the close sits on VWAP. A reading of 1 means price is 1 standard deviation above it, and -2 means 2 below, so you can compare today's stretch with past pullbacks. For a broader look at VWAP and other volume studies, see our article on the best volume indicators for ThinkOrSwim.

How the VScore Calculates the Mean and the Deviation

The VScore indicator reuses the math in ThinkOrSwim's built-in VWAP study. Each bar adds to three running totals: volume, volume times VWAP, and volume times VWAP squared. From those, the code gets the volume weighted average price (price) and its standard deviation (deviation), the same one the built-in study uses for its bands.

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Read the VScore line as the close minus VWAP, divided by the deviation.

Multiplying (price - close) by -1 flips the sign, so a close above VWAP gives a positive score. If the result is above 5 or below -5, the code resets it to 0, since a reading that far out means something unusual is happening on that bar.

Which VWAP the VScore Measures From

The VScore picks the start of its VWAP from the chart's aggregation period:

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When the period changes, the running totals start over from that bar.

The anchor logic comes from our free anchored VWAP indicator. In the video I compared two copies of the study with different anchor dates. The one anchored to a recent date was jagged and told me little, so I moved the anchor back to August 1, 2018.

Pick a date far enough back to show the mean over about a year. The download uses January 1, 2021 (20210101).

What the Lower VScore Plots

The lower VScore indicator draws the score as one line in its own panel, on a fixed scale from -3 to +3 standard deviations. These are the plots in the download:

The two 0.3 lines mark the area I'd consider close to the mean.

The Price Label

The VScore price label reads like "Price at [1] SD: 425.7". It turns a standard deviation level into a price: the level times the deviation, plus VWAP. If you're new to labels, our AddLabel tutorial covers the function.

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Choose the level with the devStop input: One, Two, Three, Zero, NegOne, NegTwo, NegThree or Custom.

Custom uses the customDev input, 0.15 by default, added on 10/6/19. If you take a bounce at the mean and want to exit at 1 standard deviation, set devStop to One to see the exit price ahead of time. Set it to NegOne to see a stop price.

The Trend Clouds

Six counters record which zone the VScore is in on each bar: 0 to 1, 1 to 2, 2 to 3, and the same three zones below 0. These are the three above 0:

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Each counter is 1 on a bar in its zone and 0 everywhere else.

The cloud code adds up each counter over the last barsGoBack bars and shades the zone with the highest count, the winning zone. Zones above 0 shade light green and zones below 0 shade light red. If two zones tie, no cloud plots. A panel that stays green reads as strength.

The Arrows and Alerts

The VScore arrows mark a reversion to the mean in the direction of the winning cloud. The table shows each condition as it reads in the download.

The CCI check rules out heavy selling pressure behind a bullish arrow, or heavy buying pressure behind a bearish one. In the video I started the bullish test at 0 and moved it to 0.3 to give it room. At 0, Apple's chart would have shown only a handful of arrows.

A note on the download: the bearish test reads 0.3 or above, the same +0.3 as the bullish side, so a bearish arrow needs the VScore to jump from below 0 to +0.3 or higher. The mirror of the bullish test is -0.3 or above, which is the value I use for the wide bearish scan in the scans video.

The upper study has the same +0.3 test. To match, change VScore >= 0.3 to VScore >= -0.3 in the BearSignal line.

How to Build the Lower VScore in ThinkOrSwim

The lower VScore build starts from two pieces of existing code, and these are the steps I follow in the video. The finished study is in the download if you'd rather skip the build, and our guide on how to import a study into ThinkOrSwim shows how to add it.

1. Create a new study, paste in the code of ThinkOrSwim's built-in VWAP study, and name it VScore.
2. Copy in the top of our anchored VWAP code (the anchorDate input and postAnchorDate) and delete its anchor time lines and plot.
3. Replace periodIndx with the aggregation check, so charts under 1 hour use the daily VWAP and longer charts use the anchor date.
4. Delete the VWAP and band plots at the bottom, keep price and deviation, and add the VScore plot.
5. Plot the 0, 1, 2, 3, -1, -2 and -3 lines, plus the two 0.3 lines.
6. Add the devStop input, the switch that turns it into chosenDev, the stop price, and the label with a showStopLabel input.
7. Add the six zone counters, the barsGoBack input and the cloud code, and declare the study lower.
8. Add the BullSignal and BearSignal plots with ARROW_UP and ARROW_DOWN at line weight 3, then style the lines.

Here's the lower VScore video:

Lower VScore Settings

How to Build the Upper VScore

The upper VScore indicator plots the same standard deviation levels as prices on the main chart. I built it in a second video, from a member request, so you can read support and resistance as prices. On a United States Steel (X) chart in that video, the -3 standard deviation level sat at $12.32.

1. Copy the lower VScore code into a new study, name it (I used TI_VScore_Upper) and change it to declare upper.
2. Change plot VScore to def VScore, since the score itself no longer plots.
3. Turn each level into a price with the label formula: the level times the deviation, plus price.
4. Delete the 0.3 lines, the cloud code, the label, devStop, chosenDev, showStopLabel and customDev.
5. Set the anchor date to 20210101 and color the lines: white zero at weight 3, light gray for 1 and -1, light green and light red for 2 and -2, green and red for 3 and -3.
6. Add the counter and trend logic below, switch both arrows to 1 or 0 with Boolean arrow painting strategies, and add the trend to the alerts.

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On hourly and longer charts, the zero line is the anchored VWAP itself.

The Card-Counting Trend

The upper VScore measures trend with a basic card-counting system. Each bar scores +1 when the VScore is at or above 0 and -1 when it is below. Sum adds the scores over the last barsGoBack bars, 30 by default. A total of 0 or more is a positive trend, and below 0 is a negative trend.

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On a 30-bar lookback, the trend total runs from -30 to +30.

The Upper Arrows

The upper arrows keep the VScore and CCI tests from the lower study and swap the cloud check for positiveTrend or negativeTrend.

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The 0.3 is a hard-coded, arbitrary number, so change it or the CCI test if you want to experiment.

The BearSignal line uses negativeTrend, a VScore of 0.3 or above after a bar below 0 (the same +0.3 test noted for the lower study), and CCI below 100. BOOLEAN_ARROW_UP and BOOLEAN_ARROW_DOWN draw an arrow on price when the plot is 1 and nothing when it is 0.

Here's the upper VScore video:

Lower vs Upper VScore

The upper VScore is the lower VScore moved onto the price chart, with the same VWAP math and the same VScore formula.

You can run both at once. On JPMorgan (JPM) in the upper video, the upper and lower studies both plotted a bullish arrow, a confluence of two different signals.

How to Scan for the Upper VScore Signal

The upper VScore scan is one line of thinkScript that calls the study by name and reads its BullSignal plot. Use the name you saved the study under:

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To add it as a scan filter:

1. Open the Scan tab and click Add filter. In the video I note that a custom study filter needs a live account, not paperMoney.
2. Choose Study, pick Custom from the dropdown, and switch to the thinkScript Editor tab.
3. Type the line above and click OK. ThinkOrSwim shows a prompt that the filter is now linked to your study.
4. Run the scan. In the video it returned 31 symbols from my watchlist of weeklies.

The linked filter uses the anchor date inside the study. In the video I note that a daily scan has about 1 year of data, so anchoring to January 1 of the current year works best. Later edits to the study don't carry into the filter: click its edit icon to update the date.

The 4 lower VScore scans are built in our V-Score scans tutorial.

VScore Examples from the Videos

The VScore examples in the two videos follow one pattern: a trend away from VWAP, then a pullback toward it. Each example is from the day I recorded.

• The S&P. On the opening chart, the VScore read about 1 standard deviation away from the mean. From February it held above 0 until June 3rd, when it reverted to the mean.
• Apple (AAPL). The VScore pulled back to the mean near a pivot point under green clouds, a bullish arrow plotted, and price went up afterward.
• Home Depot (HD). The 0.3 line acted more as support than the zero line did. The daily chart showed cleaner signals than a lower timeframe, where the line uses the daily VWAP.
• United States Steel (X). Anchored to January 1, 2021, X had one earlier pullback to VWAP and was in a second one when I recorded. The upper scan found it that day.
• JPMorgan (JPM). Since January 1, 2021, price had stayed mostly above VWAP. As it pulled back toward VWAP, a bullish arrow plotted, and the 1 standard deviation line, the nearest level in the bullish direction, sat at $159.78.

How I Use the VScore

The VScore indicator tells me whether price has pulled back far enough toward its volume weighted mean to matter. I read the clouds or the trend sum for direction, then watch for the score to revert toward 0 that way.

A common use from the video: catch the reversion back to 0, the mean, use it as a bounce, and time exits at the first, second or third standard deviation. Set devStop to the level you're targeting and the label shows that price before you enter.

Different timeframes have different sensitivities. In the video a 4-hour chart is much smoother than an intraday chart.

An arrow is a read on a pullback, not an entry by itself. Decide where the stop goes first, such as the -1 standard deviation price from the label, and size the position so a stop-out costs a small, fixed share of your account. More free studies are on our indicators page.

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