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multiple day vwap?
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multiple day vwap?

  #51 (permalink)
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Fat Tails View Post
You would get slightly better results if you use OHLC Avg. But the difference is really minor.

I did assume this as it sounded closest to the input method you were describing. However using the OHLC Avg appeared to skew the STD bands relative to yours.

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  #52 (permalink)
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Big Mike View Post
Hopefully @SierraChart is monitoring this thread

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  #53 (permalink)
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any update on if this was properly integrated?

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  #54 (permalink)
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boze man View Post
any update on if this was properly integrated?

No reply from Sierra and to my knowledge it still doesn't really work.

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  #55 (permalink)
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Big Mike View Post
No reply from Sierra and to my knowledge it still doesn't really work.

Actually, Neo1's reply shows the SD calc was addressed over two weeks ago. Does "to my knowledge" mean you have not tried it or you did and did not like the result?

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  #56 (permalink)
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aslan View Post
Actually, Neo1's reply shows the SD calc was addressed over two weeks ago. Does "to my knowledge" mean you have not tried it or you did and did not like the result?

I thought he had confirmed there was a still a bug and reverted to an older revision. If that isn't the case I missed a post. I hadn't heard anything else from you or Anthony on it via email.

Mike

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  #57 (permalink)
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SC updated documentation file and explains how STD for VWAPs are calculated :

Standard Deviation Calculation

The standard deviation calculation is calculated as follows:

float CumulativeBarStandardDeviationDifferenceSquaredTimesVolume = 0
The following repeats at each bar.
Diff = CurrentBarPrice - VolumeWeightedAveragePriceAtBar
BarPriceStdDevDiffSquared = (Diff * Diff)
CumulativeBarStandardDeviationDifferenceSquaredTimesVolume += (BarPriceStdDevDiffSquared * BarVolume)
CalcResult = CumulativeBarStandardDeviationDifferenceSquaredTimesVolume + BarPriceStdDevDiffSquared * BarVolume
StandardDeviation = SquareRoot (CalcResult / CumulativeVolumeForPeriod)
StandardDeviationWithDistanceMultiplier = StandardDeviation * DistanceMultiplier


I still not see the use of the moving average volume weighted for calculate the STD for the rolling vwaps ...

Can someone confirm ?

Regards.

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  #58 (permalink)
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Tradabull View Post
SC updated documentation file and explains how STD for VWAPs are calculated :

Standard Deviation Calculation

The standard deviation calculation is calculated as follows:

float CumulativeBarStandardDeviationDifferenceSquaredTimesVolume = 0
The following repeats at each bar.
Diff = CurrentBarPrice - VolumeWeightedAveragePriceAtBar
BarPriceStdDevDiffSquared = (Diff * Diff)
CumulativeBarStandardDeviationDifferenceSquaredTimesVolume += (BarPriceStdDevDiffSquared * BarVolume)
CalcResult = CumulativeBarStandardDeviationDifferenceSquaredTimesVolume + BarPriceStdDevDiffSquared * BarVolume
StandardDeviation = SquareRoot (CalcResult / CumulativeVolumeForPeriod)
StandardDeviationWithDistanceMultiplier = StandardDeviation * DistanceMultiplier


I still not see the use of the moving average volume weighted for calculate the STD for the rolling vwaps ...

Can someone confirm ?

Regards.

Diff = CurrentBarPrice - VolumeWeightedAveragePriceAtBar

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  #59 (permalink)
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Fat Tails View Post
Diff = CurrentBarPrice - VolumeWeightedAveragePriceAtBar

I'm not a programmer but with SierraChart, I just don't know if VolumeWeightedAveragePrice (= VWAP) is exactly calculated as the moving average - volume weighted.

I see no explanations in the SierraChart's documentation about how is calculated the moving average - volume weighted ...

Regards.

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  #60 (permalink)
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aslan View Post
Actually, Neo1's reply shows the SD calc was addressed over two weeks ago. Does "to my knowledge" mean you have not tried it or you did and did not like the result?

The VWAP & STD's( from the volume weighted average price study) look to be calculating correctly, and should match up with Fat Tails work.

However, it looks like the Rolling VWAP study is using the wrong computation for VWAP. So i'm using Wingman's ECIVwapChannel. Wingman uses price + volume per price.

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