NexusFi: Find Your Edge


Home Menu

 





vwap SD data points


Discussion in NinjaTrader

Updated
    1. trending_up 1,485 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?
CFTC Approves First US Bitcoin Perpetual Futures -- Kals …
Traders Hideout
Khamenei Vetoes Uranium Transfer as Peace Odds Surge to …
Prediction Markets & Event Contracts
Would a node-based workflow for automated trading be useful?
Traders Hideout
Memorandum Watch: How the 60-Day MOU Framework Makes May …
Prediction Markets & Event Contracts
Penalties in Budapest, Peace Deadline in Tehran: Arsenal …
Prediction Markets & Event Contracts
 
Best Threads (Most Thanked)
in the last 7 days on NexusFi
NexusFi site changelog and issues/problem reporting
10 thanks
Darmok and Jalad at Tanagra
3 thanks
Big Mike in Ecuador
1 thanks
30 Sessions
1 thanks
  #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: 1,606



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