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multiple day vwap?
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multiple day vwap?

  #41 (permalink)
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Hi,
Compliments to fait tails first!,
I searched in all forum but i want to ask why with indicators like anaCurrent DayOHLVV42 i can't find in the data box the values like
_Current daily range RTH
-Average daily range....
Because i'm a beginner, but i want to build a trading system with the wizard of ninjatrader, and i need this value for example the crossing of linear regressing above and Beyond this value.
Thanks for any kynd of answer.
Bye

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  #42 (permalink)
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santastyle View Post
Hi,
Compliments to fait tails first!,
I searched in all forum but i want to ask why with indicators like anaCurrent DayOHLVV42 i can't find in the data box the values like
_Current daily range RTH
-Average daily range....
Because i'm a beginner, but i want to build a trading system with the wizard of ninjatrader, and i need this value for example the crossing of linear regressing above and Beyond this value.
Thanks for any kynd of answer.
Bye

This thread is for Sierra not Ninja

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  #43 (permalink)
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Fat Tails View Post
For comparison:


The 1- week VWAP itself (center line) looks correct. The standard deviation bands do not look correct. How can the standard deviation increase that fast, when only low volume is added during the night session? Maybe Sierra Chart have used a formula for the standard deviation that does not take into account volume. Such as standard deviation does not reflect the real (statistical) standard deviation of all trades during the week.

This is also a weakness of Bollinger Bands. Neither the moving average nor the standard deviation bands are representative for the trades that took place over the lookback period. Bollinger Bands are just a tool for retail traders, which should not be used.


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My 1 week/ 1day VWAP bands in SC look virtually identical to yours. So i don't think there's any major issue there with how SC have calculated the STD's.

However, my rolling VWAP bands do not match yours( the STD bands appear quite different, however the VWAP appears to be correct...)

I've just updated to version 1233 which has a separate study for Rolling VWAP bands. I'd previously been using the ECIVwapChannel study in order to create rolling/ dynamic VWAP bands. If I use the same look back period and plot a SC rolling VWAP study on top of a user contributed ECIVwapChannel study, they too do not match( Although they are close)

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  #44 (permalink)
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Neo1 View Post
My 1 week/ 1day VWAP bands in SC look virtually identical to yours. So i don't think there's any major issue there with how SC have calculated the STD's.

However, my rolling VWAP bands do not match yours( the STD bands appear quite different, however the VWAP appears to be correct...)

I've just updated to version 1233 which has a separate study for Rolling VWAP bands. I'd previously been using the ECIVwapChannel study in order to create rolling/ dynamic VWAP bands. If I use the same look back period and plot a SC rolling VWAP study on top of a user contributed ECIVwapChannel study, they too do not match( Although they are close)

If you post a daily or weekly VWAP I will check it. My rolling VWAP has different settings for the bands. In any case I use volume-weighted standard deviations. Not sure that Sierra Chart also has them volume-weighted.

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  #45 (permalink)
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Fat Tails View Post
If you post a daily or weekly VWAP I will check it. My rolling VWAP has different settings for the bands. In any case I use volume-weighted standard deviations. Not sure that Sierra Chart also has them volume-weighted.

Before I post charts...

I've just realized that since upgrading to prerelease 1233, my VWAP bands no longer match up with the ones you posted, and look just like Mikes.

Reverting back to the current version 1224, my VWAP bands look similar to yours again.

So the issue could be with amendments made to prereleased version/s.

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  #46 (permalink)
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Fat Tails View Post
If you post a daily or weekly VWAP I will check it. My rolling VWAP has different settings for the bands. In any case I use volume-weighted standard deviations. Not sure that Sierra Chart also has them volume-weighted.

Here's some charts showing weekly VWAP.

Build 1224 on the left & build 1233 on the right. As per the settings Mike posted.

The first couple of charts are from last week, as per the charts posted above- build 1224 on the left looks close to yours.
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And here are some weekly VWAP charts from today, as per your request.
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  #47 (permalink)
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Neo1 View Post
Here's some charts showing weekly VWAP.

Build 1224 on the left & build 1233 on the right. As per the settings Mike posted.

The first couple of charts are from last week, as per the charts posted above- build 1224 on the left looks close to yours.
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And here are some weekly VWAP charts from today, as per your request.
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The build 1224 version is not identical, but very close to my version of the VWAP. The difference can probably explained by slightly different input data (I am calculating a center of gravity for each bar). The build 1233 is totally different. It seems to use a non-volume-weighted standard deviation.

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  #48 (permalink)
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Fat Tails View Post
The build 1224 version is not identical, but very close to my version of the VWAP. The difference can probably explained by slightly different input data (I am calculating a center of gravity for each bar). The build 1233 is totally different. It seems to use a non-volume-weighted standard deviation.

I thought that might of been the case, the bands I post were calculated using the last price:
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  #49 (permalink)
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Hopefully @SierraChart is monitoring this thread

Sent from my phone

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
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  #50 (permalink)
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Neo1 View Post
I thought that might of been the case, the bands I post were calculated using the last price:
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You would get slightly better results if you use OHLC Avg. But the difference is really minor.

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