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multiple day vwap?

  #71 (permalink)
 
Neo1's Avatar
 Neo1 
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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.



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"

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  #72 (permalink)
 
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 Big Mike 
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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

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  #73 (permalink)
 
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 aslan 
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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.

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  #74 (permalink)
 
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 Neo1 
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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

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  #75 (permalink)
 
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 aslan 
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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.

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  #76 (permalink)
 
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 Neo1 
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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?

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  #77 (permalink)
 
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 aslan 
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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.

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  #78 (permalink)
 
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 Neo1 
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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.

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  #79 (permalink)
 
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 Big Mike 
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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

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  #80 (permalink)
 
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Is this already fixed by @SierraChart?

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