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vwap SD data points


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vwap SD data points

  #1 (permalink)
imalil
burbank ca/usa
 
Posts: 2 since Jun 2013
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Hello-

Can someone tell me the correct data points/set to use when calculating the standard deviation of the VWAP? I've used VWAP-P, (VWAP-P)/2, SMA on the SD, all combinations of anything I can think of. I always get a symmetrical and sometimes jagged distribution that looks nothing like I know it's supposed to look. This tells me there is an input being used that I cannot discover no matter how much research I do.

Could someone please tell me the answer?

Thank you.

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  #3 (permalink)
 
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 Devil Man 
Fort Lauderdale
Legendary / Stochastic Calculus is not your friend
 
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imalil View Post
Hello-

Can someone tell me the correct data points/set to use when calculating the standard deviation of the VWAP? I've used VWAP-P, (VWAP-P)/2, SMA on the SD, all combinations of anything I can think of. I always get a symmetrical and sometimes jagged distribution that looks nothing like I know it's supposed to look. This tells me there is an input being used that I cannot discover no matter how much research I do.

Could someone please tell me the answer?

Thank you.

not sure what you are asking?...can you post some charts so we can take a look?

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  #4 (permalink)
imalil
burbank ca/usa
 
Posts: 2 since Jun 2013
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I think I fixed it. My SD is (VWAP - P), but I wasn't weighting it to the value of the VWAP.

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