multiple day vwap? - Sierra Chart | futures io social day trading
futures io futures trading


multiple day vwap?
Updated: Views / Replies:13,079 / 89
Created: by gonzofist Attachments:27

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 27  
 
Thread Tools Search this Thread
 

multiple day vwap?

  #71 (permalink)
Elite Member
Christchurch, New Zealand
 
Futures Experience: Beginner
Platform: SC
Broker/Data: IB, BC, Dx Feed
Favorite Futures: US Equities
 
Neo1's Avatar
 
Posts: 422 since Jul 2014
Thanks: 470 given, 470 received


LukeGeniol View Post
I did a quick comparison between Vwap with STDs with Study/Overlay from tick chart and the one using the underlying data. the Vwap is always the same, the STDs are different, this become more evident on higher timeframes.

Yellow lines are from overlay 1 tick chart, grey are from using the underlying.
Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


Said that, I'm thinking if other studies that use the underlying data, such as the Volume at Price, TPO profile, Volume and TPO value area lines etc. may have the same problems, although I'm thinking that only Vwap's STDs have not been programmed to use the underlying data.

Maybe @SierraChart can clarify this.

"The Standard Deviation Bands for the Volume Weighted Average Price on different timeframe bars will be different. This is because the Standard Deviation is calculated over the chart bar values, and you have vastly different values. For example, you only have every fifth value on a 5 minute bar chart versus a 1 minute bar chart.

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"

Reply With Quote
 
  #72 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,238 since Jun 2009
Thanks: 29,350 given, 83,220 received


Neo1 View Post
Yeah VWAP is the same on any time-frame providing you select "based on underlying data". However the STD bands are calculated based on bar values, so when using "based on underling data" STD bands on a 1min chart will not be the same as STD bands on a 15min- even though VWAP will be identical. You need to use the overlay study if you wan true band accuracy using higher time frame charts. As pointed out above.

This contradicts what the SC programmer says (he says it is already implemented). Maybe @aslan can comment further.

Mike

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.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
 
  #73 (permalink)
Elite Member
Madison, WI
 
Futures Experience: Advanced
Platform: Sierra Charts, ALT
Favorite Futures: ES
 
aslan's Avatar
 
Posts: 614 since Jan 2010
Thanks: 342 given, 1,077 received



Big Mike View Post
This contradicts what the SC programmer says (he says it is already implemented). Maybe @aslan can comment further.

Mike

Actually, there is no contradiction. What I said earlier is correct, namely:

* vwap and stdev use same underlying data
* vwap and stdev are volume weighted (stdev was previously not volume weighted)

Neo is also correct (he actually looked at the code - thank you) in that the calc is done per bar, so the values are at a point in time. So, while the stddev is volume weighted, it is still approximated somewhat because a single calc is done instead of calculating for every tick within the bar. Because this is a per bar calc, using an overlay will not produce the same stdev results across different timeframe bars.

Reply With Quote
 
  #74 (permalink)
Elite Member
Christchurch, New Zealand
 
Futures Experience: Beginner
Platform: SC
Broker/Data: IB, BC, Dx Feed
Favorite Futures: US Equities
 
Neo1's Avatar
 
Posts: 422 since Jul 2014
Thanks: 470 given, 470 received


aslan View Post
using an overlay will not produce the same stdev results across different timeframe bars.

You mean an overlay will produce the same STD results across different times frames? It's an overlay based on a fixed study of X timeframe/ bars, the calc should be irrespective of different timeframes your overlaying the study onto. i'm assuming that's the logic of an SC overlay study.

Cheers

Reply With Quote
 
  #75 (permalink)
Elite Member
Madison, WI
 
Futures Experience: Advanced
Platform: Sierra Charts, ALT
Favorite Futures: ES
 
aslan's Avatar
 
Posts: 614 since Jan 2010
Thanks: 342 given, 1,077 received


Neo1 View Post
You mean an overlay will produce the same STD results across different times frames? It's an overlay based on a fixed study of X timeframe/ bars, the calc should be irrespective of different timeframes your overlaying the study onto.

No thats not what I meant. Sorry if I was not clear, but what I was getting at was that you can not use an overlay study to compare the values from diff timeframes for things that are calculated on a per bar basis because the values are different.

The overlay study is meant to grab values from another chart/study and plot them on the current chart. This is generally done using the bar timestamp to find the correct bar on the target chart and then bring that value over.

Reply With Quote
The following user says Thank You to aslan for this post:
 
  #76 (permalink)
Elite Member
Christchurch, New Zealand
 
Futures Experience: Beginner
Platform: SC
Broker/Data: IB, BC, Dx Feed
Favorite Futures: US Equities
 
Neo1's Avatar
 
Posts: 422 since Jul 2014
Thanks: 470 given, 470 received


aslan View Post
No thats not what I meant. Sorry if I was not clear, but what I was getting at was that you can not use an overlay study to compare the values from diff timeframes for things that are calculated on a per bar basis because the values are different.

The overlay study is meant to grab values from another chart/study and plot them on the current chart. This is generally done using the bar timestamp to find the correct bar on the target chart and then bring that value over.

I see now, thanks. I just figured that the overlay would plot from the source like a line graph connecting the data points, but I can see how this wouldn't work now based on the timestamps.

So there is no current solution in SC to plot the VWAP band accuracy of a 1tick chart on a higher resolution/ time frame chart?

Reply With Quote
 
  #77 (permalink)
Elite Member
Madison, WI
 
Futures Experience: Advanced
Platform: Sierra Charts, ALT
Favorite Futures: ES
 
aslan's Avatar
 
Posts: 614 since Jan 2010
Thanks: 342 given, 1,077 received


Neo1 View Post
I see now, thanks. I just figured that the overlay would plot from the source like a line graph connecting the data points, but I can see how this wouldn't work now based on the timestamps.

So there is no current solution in SC to plot the VWAP band accuracy of a 1tick chart on a higher resolution/ time frame chart?

Actually, if you calc the stdev on a tick chart, that would be the most accurate value (using the right algo). The overlay could then bring that over on a bar by bar basis. The only thing to remember, is you are pulling the value for the beginning of the bar (8:30 15-min bar will have the value from 8:30 not the value as the bar progresses). I generally do not use the overlay study because of this. I know there should be a few other versions of the overlay laying around that work differently (i.e. look at start/end time of bar accordingly).

Of course the bigger issue is why bother? If you are getting a slightly more accurate stddev (less than a tick) does it really matter? I would argue it does not, except in the case of proving the numbers/algo is correct. This is similar to how people freak out about the TICK being slightly off/different, when in reality it is about the patterns and what the patterns are telling you. The original issue of the stddev not being volume weighted was worth finding/fixing because the values were just wrong.

Reply With Quote
 
  #78 (permalink)
Elite Member
Christchurch, New Zealand
 
Futures Experience: Beginner
Platform: SC
Broker/Data: IB, BC, Dx Feed
Favorite Futures: US Equities
 
Neo1's Avatar
 
Posts: 422 since Jul 2014
Thanks: 470 given, 470 received


aslan View Post

Of course the bigger issue is why bother? If you are getting a slightly more accurate stddev (less than a tick) does it really matter? I would argue it does not, except in the case of proving the numbers/algo is correct. This is similar to how people freak out about the TICK being slightly off/different, when in reality it is about the patterns and what the patterns are telling you. The original issue of the stddev not being volume weighted was worth finding/fixing because the values were just wrong.

This isn't really anything like people obsessing over tick charts. There can instances where the developing bands on say a 15min chart are quite different to those on say a 5min/1min/1 tick- As per the examples posted. I don't want to be referencing a 15min chart to see that price failed to touch the top of a STD band, to then look at a smaller time frame chart eg 5min/1min/1tick and see that price actually had.

Reply With Quote
 
  #79 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,238 since Jun 2009
Thanks: 29,350 given, 83,220 received

The real question is simply, will @SierraChart add the ability for the standard deviation bands on VWAP to be calculated based on underlying data, so they are as accurate as possible?

Mike

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.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
The following user says Thank You to Big Mike for this post:
 
  #80 (permalink)
Elite Member
Rio de Janeiro - Brazil
 
Futures Experience: Advanced
Platform: Sierra Chart
Broker/Data: Stage5/IQFeed
Favorite Futures: ES
 
GentleTrader's Avatar
 
Posts: 85 since Jun 2009
Thanks: 6 given, 47 received


Is this already fixed by @SierraChart?

Reply With Quote

Reply



futures io > > > > multiple day vwap?

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Linda Bradford Raschke: Reading The Tape

Elite only

Adam Grimes: TBA

Elite only

NinjaTrader: TBA

January

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Using VWAP in your trading Big Mike The Elite Circle 173 January 25th, 2016 10:22 PM
TWAP and VWAP bomberone1 EasyLanguage Programming 27 May 7th, 2015 09:26 AM
Intrabar VWAP Eubie NinjaTrader Programming 6 February 3rd, 2012 06:12 PM
Calculate GAP (Close of Prior Day, Open of Current Day) bluemele NinjaTrader Programming 16 January 19th, 2011 10:19 PM
VWAP question Todd NinjaTrader Programming 3 March 14th, 2010 07:13 PM


All times are GMT -4. The time now is 04:11 PM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-12-12 in 0.15 seconds with 20 queries on phoenix via your IP 54.163.210.170