Hi,
I recently purchased intraday data to perform backtesting on. The data contained the date, time, OHLC, VWAP values, volume and number of trades. I cleaned the data (deleted VWAP column) and imported it using ASCII mapping. I wasn't able to construct VWAP using the actual indicator I have coded in Multicharts (because it uses up/down ticks to construct). So, I constructed a new symbol and called it VWAP, then imported the values that came with the data, and inserted it in the chart as an instrument. This works fine, I have the data instrument and VWAP drawn on it.
My question is: was there a better way to do this? Also what's the best way to go about constructing the VWAP bands?

mamax98,

one way to accomplish this via an indicator would be to read the file using EasyLanguage Collections and then plot the values. It will require some programming and if your method works for you, there might not be a reason to change it.

Regards,

ABCTG

ABCTG 

mamax98, one way to accomplish this via an indicator would be to read the file using EasyLanguage Collections and then plot the values. It will require some programming and if your method works for you, there might not be a reason to change it. Regards, ABCTG

Ok Thank you. I was just reading a few threads that talk about how to reference a .csv file. My workarounds works for now but I will probably try to do it the correct way. My main goal right now is to figure out how to construct the bands around the VWAP, any tips?

mamax98,

you would have to elaborate what kind of bands you are looking for. Otherwise the tips might not be too helpful for you. Check the Bollinger Bands and the Keltner Channel indicators for two types of bands around an average.

Regards,

ABCTG

ABCTG 

mamax98, you would have to elaborate what kind of bands you are looking for. Otherwise the tips might not be too helpful for you. Check the Bollinger Bands and the Keltner Channel indicators for two types of bands around an average. Regards, ABCTG

Oh, I meant the stdev bands that surround the VWAP line (usually 1 and 2 stddev bands).

mamax98,

in that case the Bollinger Bands indicator can be used as a reference.

Regards,

ABCTG

ABCTG 

mamax98, in that case the Bollinger Bands indicator can be used as a reference. Regards, ABCTG

Thanks @ABCTG. I was able to code standard deviation bands using the close of data2 (VWAP) and High/low of data1 (price).

mamax98,

where do you use the High/Low of Data1 in your computations?

Regards,

ABCTG

Initially I used high/low based on where price is relative to VWAP. Then I decided to just use Typical price to keep things simple. I hope that helps.

Sent using the NexusFi mobile app

mamax98,

great, if it gives you the results you are looking for. I am just not clear where you'd use the high/low/typical price (or what ever price) in the computation for the standard deviation of the VWAP.

Regards,

ABCTG