Help figuring out how to calculate a VWAP study in excel - futures io
futures io



Help figuring out how to calculate a VWAP study in excel


Discussion in Traders Hideout

Updated
    1. trending_up 581 views
    2. thumb_up 0 thanks given
    3. group 3 followers
    1. forum 1 posts
    2. attach_file 0 attachments




Welcome to futures io: the largest futures trading community on the planet, with well over 150,000 members
  • Genuine reviews from real traders, not fake reviews from stealth vendors
  • Quality education from leading professional traders
  • We are a friendly, helpful, and positive community
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts
  • We are here to help, just let us know what you need
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

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

 
Search this Thread
 

Help figuring out how to calculate a VWAP study in excel

(login for full post details)
  #1 (permalink)
guerra503
Portland, OR
 
 
Posts: 3 since Mar 2021
Thanks: 0 given, 1 received

Hello everyone,

I am very rusty with my logic and coding skills these days so hoping someone could help me get on the right track so I can calculate some statistics I am needing in excel.

Basically, what I am looking to do is calculate some statistics based on the VWAP to find out historically, on average how often does price close at each 1, 2, and 3 standard deviations above or below VWAP on any given day.

I think I understand how the basic vwap calculation works, but what I am confused about is how to implement it such that the VWAP will reset for each day of trading in excel like it normally is done.

I am pretty sure when I get that far, I could get the rest of what I need done fairly easily.


I was going to provide some links to images to show some specifics but because I have not posted here in the past, it will not allow me so I will describe my data as best as possible.

The data I am working with is hourly bars, where there are 24 bars in a day, the data is in descending order from newest to oldest, and a new day is signaled when the 17:00 hourly bar is the cell above the 15:00 hourly bar. Other than that, the data is in pretty standard format

Thanks for the help in advance. I will share the results of this study here once I am able to figure it out.

Reply With Quote

Can you help answer these questions
from other members on futures io?
NT8 - Footprint Chart adding on code
NinjaTrader
Entries per day limit
EasyLanguage Programming
 
 
(login for full post details)
  #2 (permalink)
 trendisyourfriend 
Market Wizard
Quebec
 
Experience: Intermediate
Platform: NinjaTrader wt Rancho Dinero's profiling tools
Broker: AMP/CQG
Trading: ES, NQ, YM
 
trendisyourfriend's Avatar
 
Posts: 4,183 since Oct 2009
Thanks: 3,861 given, 5,471 received


guerra503 View Post
Hello everyone,

I am very rusty with my logic and coding skills these days so hoping someone could help me get on the right track so I can calculate some statistics I am needing in excel.

Basically, what I am looking to do is calculate some statistics based on the VWAP to find out historically, on average how often does price close at each 1, 2, and 3 standard deviations above or below VWAP on any given day.

I think I understand how the basic vwap calculation works, but what I am confused about is how to implement it such that the VWAP will reset for each day of trading in excel like it normally is done.

I am pretty sure when I get that far, I could get the rest of what I need done fairly easily.


I was going to provide some links to images to show some specifics but because I have not posted here in the past, it will not allow me so I will describe my data as best as possible.

The data I am working with is hourly bars, where there are 24 bars in a day, the data is in descending order from newest to oldest, and a new day is signaled when the 17:00 hourly bar is the cell above the 15:00 hourly bar. Other than that, the data is in pretty standard format

Thanks for the help in advance. I will share the results of this study here once I am able to figure it out.

Have you tried to use absolute cell reference such as ...
$A1 Allows the row reference to change, but not the column reference.
A$1 Allows the column reference to change, but not the row reference.
$A$1 Allows neither the column nor the row reference to change.

Reply With Quote


futures io Trading Community Traders Hideout > Help figuring out how to calculate a VWAP study in excel


Last Updated on May 23, 2022


Upcoming Webinars and Events
 

NinjaTrader Indicator Challenge!

Ongoing
     



Copyright © 2022 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada), 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