Hi,
I recently purchased intraday data to perform backtesting on. The data contained the date, time, OHLC, VWAP values, volume and number of trades. I cleaned the data (deleted VWAP column) and imported it using ASCII mapping. I wasn't able to construct VWAP using the actual indicator I have coded in Multicharts (because it uses up/down ticks to construct). So, I constructed a new symbol and called it VWAP, then imported the values that came with the data, and inserted it in the chart as an instrument. This works fine, I have the data instrument and VWAP drawn on it. My question is: was there a better way to do this? Also what's the best way to go about constructing the VWAP bands?
one way to accomplish this via an indicator would be to read the file using EasyLanguage Collections and then plot the values. It will require some programming and if your method works for you, there might not be a reason to change it.
Regards,
ABCTG
The following user says Thank You to ABCTG for this post:
Ok Thank you. I was just reading a few threads that talk about how to reference a .csv file. My workarounds works for now but I will probably try to do it the correct way. My main goal right now is to figure out how to construct the bands around the VWAP, any tips?
you would have to elaborate what kind of bands you are looking for. Otherwise the tips might not be too helpful for you. Check the Bollinger Bands and the Keltner Channel indicators for two types of bands around an average.
great, if it gives you the results you are looking for. I am just not clear where you'd use the high/low/typical price (or what ever price) in the computation for the standard deviation of the VWAP.
it makes sense and there are a lot of ways to come up with standard deviation bands. You could for example compare your result to computing the standard deviation on just the VWAP.
