Man...thank you for all that! It definitely is calculating everything completely differently. As you said it appears it is just multiplying VWAP by itself. And putting bands +1, +2, +3, etc out there with no "variance"..

I played around with another setting called "Maximum Permissible Deviation (MPD)" .. they say "MPD is similar to the standard deviation but is calculated as (VWAP period high - VWAP period low)/2." Here's what I get for yesterday's action with 987 tick... MUCH closer but still off I believe.



My platform is Quantower, not very customizable to specific needs but it gets the job done. I've been doing some testing around Sierra Chart and feel it is 100% superior. However, I've come across some issues with VWAP in Sierra Chart that is putting me off. I really appreciate you sharing these setups.. I've included VWAP in all my charts previously but this really inspires me to dive deeper into this as it really really fits my trading style. I'm doing my best to form strategies the best I can so I know what boxes to check off prior to taking a trade.

That is much closer isn't it. I am not sure if the small discrepancies then come down the resolution of the VWAP calculation.

Traditionally, tick data is required to calculate VWAP values. While this provides the most precise VWAP calculation possible, it can also utilize extensive CPU resources. Therefore, your platform may calculate slightly differently (to save valuable computing time and resources) and calculate the VWAP on a bar-by-bar basis, hence calculating once per bar.

The conventional method of calculating VWAP values is to recalculate with each incoming tick of price data. I am just taking a guess here as I don't know for sure. I will also continue to dig around some more because I don't know why the platform would say it is a standard deviation of VWAP, when clearly it isn't. If you are sticking with that platform I would certainly ask them, but it sounds like you are looing to change.

I can't comment on SC, but I have also heard it is a superb platform as well. There are many threads devoted to it here on FIO. Many people have moved from NT to SC and love it.

Do I line up the T1 to T3 targets and wait for them to be to be tagged? No.
With enough metrics collected you can determine the types of days when removing everything at T1 is the highest probability trade and days when you should let a T3 run. This is what I consider to be my edge.

Alright @JonnyBoy, I think I've got this looking correctly and SD's charting correctly! Was able to fairly easily setup VWAP to calculate
Loaded up SC and have been setting everything up. Please take a look and share a snap shot of today's (4/30) session if you don't mind! Would like to compare.

I am very new to using the VWAP and I appreciate all the detail in this thread. Particularly from Jonnyboy. I do have one particular question though.

One can either trade toward the VWAP (mean reversion) or away from it (mean aversion?). What are some of the signals to guide in which direction to trade?

The std deviation lines are important but not as important as the main VWAP.