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Showing results 1 to 17 of 17
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Posts Made By:
Fat Tails
Forum:
Sierra Chart
June 5th, 2015, 07:02 PM
Replies:
91
multiple day vwap?
Views:
36,104
Posted By
Fat Tails
The VWAP should come with a volume-weighted...
The VWAP should come with a volume-weighted standard deviation, as it is a better approximation for the standard deviation of the underlying trades.
Both VWAP and standard deviation should use the...
Forum:
Sierra Chart
June 3rd, 2015, 05:04 AM
Replies:
91
multiple day vwap?
Views:
36,104
Posted By
Fat Tails
I think that both accuracy and CPU performance...
I think that both accuracy and CPU performance are issues with VWAPs.
The accuracy basically depends on two factors
-> input data used
-> model used for calculating the VWAP, if aggregate...
Forum:
Sierra Chart
April 6th, 2015, 05:38 PM
Replies:
91
multiple day vwap?
Views:
36,104
Posted By
Fat Tails
Diff = CurrentBarPrice -...
Diff = CurrentBarPrice - VolumeWeightedAveragePriceAtBar
Forum:
Sierra Chart
February 19th, 2015, 03:15 AM
Replies:
91
multiple day vwap?
Views:
36,104
Posted By
Fat Tails
You would get slightly better results if you use...
You would get slightly better results if you use OHLC Avg. But the difference is really minor.
Forum:
Sierra Chart
February 18th, 2015, 05:53 PM
Replies:
91
multiple day vwap?
Views:
36,104
Posted By
Fat Tails
The build 1224 version is not identical, but very...
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...
Forum:
Sierra Chart
February 18th, 2015, 03:19 PM
Replies:
91
multiple day vwap?
Views:
36,104
Posted By
Fat Tails
If you post a daily or weekly VWAP I will check...
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...
Forum:
Sierra Chart
February 13th, 2015, 07:10 AM
Replies:
91
multiple day vwap?
Views:
36,104
Posted By
Fat Tails
The Bollinger Bands use a well-known formula. By...
The Bollinger Bands use a well-known formula. By definition they all implementations of the Bollinger Bands indicator suffer from these weaknesses. I have basically suggested to replace SMA / StdDev...
Forum:
Sierra Chart
February 12th, 2015, 05:58 PM
Replies:
91
multiple day vwap?
Views:
36,104
Posted By
Fat Tails
Why Bollinger Bands are inaccurate and should not be used
Let us go one step ahead and explain why Bollinger Bands to do not work correctly, and why most of the charting packages use a slow formula to compute them.
(1) The first flaw of Bollinger Bands...
Forum:
Sierra Chart
February 11th, 2015, 01:43 PM
Replies:
91
multiple day vwap?
Views:
36,104
Posted By
Fat Tails
If the VWAP and the SD bands are correctly...
If the VWAP and the SD bands are correctly calculated, they should have exactly the same value on any type of chart. After all, a VWAP is the volume weighted average price of all trades over a...
Forum:
Sierra Chart
February 11th, 2015, 01:38 PM
Replies:
91
multiple day vwap?
Views:
36,104
Posted By
Fat Tails
5-day rolling VWAP seems completely off
For the 5-day rolling VWAP neither VWAP nor standard deviation bands are anywhere near their correct levels. I cannot even make any comments.
...
Forum:
Sierra Chart
February 11th, 2015, 01:31 PM
Replies:
91
multiple day vwap?
Views:
36,104
Posted By
Fat Tails
1-day VWAP does not look correct.
Same comment here. No problem with the VWAP itself. But the standard deviation bands are too narrow for a trending day. I suppose that the chart created with SierraChart shows 2 SD bands.
...
Forum:
Sierra Chart
February 11th, 2015, 01:22 PM
Replies:
91
multiple day vwap?
Views:
36,104
Posted By
Fat Tails
1-week VWAP does not look correct.
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...
Forum:
Sierra Chart
February 11th, 2015, 12:11 PM
Replies:
91
multiple day vwap?
Views:
36,104
Posted By
Fat Tails
Big Mike: Could you please post a 30-min or...
Big Mike: Could you please post a 30-min or 60-min chart for a common futures contract created with SierraChart and explain why it does not look right?
I will post the same chart with my rolling...
Forum:
Sierra Chart
February 9th, 2015, 11:18 AM
Replies:
91
multiple day vwap?
Views:
36,104
Posted By
Fat Tails
If the rolling VWAP is correctly coded this...
If the rolling VWAP is correctly coded this should be possible. It is now 11:15 AM EST. A rolling weekly VWAP just shows the volume-weighted average price of all transactions that occured during a...
Forum:
Sierra Chart
February 4th, 2015, 09:56 AM
Replies:
91
multiple day vwap?
Views:
36,104
Posted By
Fat Tails
The correct way of building a rolling VWAP is to...
The correct way of building a rolling VWAP is to move away from the concept of the anchored average. A rolling VWAP has no anchor point, but continually evolves.
Right now it is Wednesday, 4th...
Forum:
Sierra Chart
February 3rd, 2015, 07:11 PM
Replies:
91
multiple day vwap?
Views:
36,104
Posted By
Fat Tails
21 days would be rolling month, 5 days a rolling...
21 days would be rolling month, 5 days a rolling week. For me personally a rolling month is good for the bigger picture. But then I am also after a rolling week, which tells me a lot about the...
Forum:
Sierra Chart
July 26th, 2012, 08:15 PM
Replies:
91
multiple day vwap?
Views:
36,104
Posted By
Fat Tails
How to display a 3-day rolling VWAP
Actually a rolling VWAP is a funny animal. To understand it you just need to look at how it has been generated.
The VWAP is an offshoot of the volume weighted moving average VWMA. The VWMA has a...
Showing results 1 to 17 of 17
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