NexusFi: Find Your Edge


Home Menu

 





vwap SD data points


Discussion in NinjaTrader

Updated
    1. trending_up 1,645 views
    2. thumb_up 0 thanks given
    3. group 1 followers
    1. forum 3 posts
    2. attach_file 0 attachments




 
Search this Thread
  #1 (permalink)
imalil
burbank ca/usa
 
Posts: 2 since Jun 2013
Thanks Given: 0
Thanks Received: 0

Hello-

Can someone tell me the correct data points/set to use when calculating the standard deviation of the VWAP? I've used VWAP-P, (VWAP-P)/2, SMA on the SD, all combinations of anything I can think of. I always get a symmetrical and sometimes jagged distribution that looks nothing like I know it's supposed to look. This tells me there is an input being used that I cannot discover no matter how much research I do.

Could someone please tell me the answer?

Thank you.


Reply With Quote

Can you help answer these questions
from other members on NexusFi?
My Rant with AMP Futures
Trading Reviews and Vendors
Building a free browser DOM/SMC simulator - need some ad …
Platforms and Indicators
Bitcoin’s 2022 low, 2025 high and 2026 low so far arou …
Cryptocurrency
What we know about Binances $6.3bn hack - BBC News
Cryptocurrency
[WTS] ATAS Lifetime ULTRA license – EU buyers only – …
Platforms and Indicators
 
  #3 (permalink)
 
Devil Man's Avatar
 Devil Man 
Fort Lauderdale
 
Experience: None
Platform: Ninjatrader, Python API
Broker: CQG
Trading: Nasdaq and Crude futures
Posts: 894 since Oct 2009
Thanks Given: 3,570
Thanks Received: 1,607



imalil View Post
Hello-

Can someone tell me the correct data points/set to use when calculating the standard deviation of the VWAP? I've used VWAP-P, (VWAP-P)/2, SMA on the SD, all combinations of anything I can think of. I always get a symmetrical and sometimes jagged distribution that looks nothing like I know it's supposed to look. This tells me there is an input being used that I cannot discover no matter how much research I do.

Could someone please tell me the answer?

Thank you.

not sure what you are asking?...can you post some charts so we can take a look?


Reply With Quote
  #4 (permalink)
imalil
burbank ca/usa
 
Posts: 2 since Jun 2013
Thanks Given: 0
Thanks Received: 0

I think I fixed it. My SD is (VWAP - P), but I wasn't weighting it to the value of the VWAP.


Reply With Quote




Last Updated on July 9, 2017


© 2026 NexusFi®, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
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.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Downloads - Top
no new posts