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Updated December 28, 2023
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February 21st, 2015, 06:43 PM
Christchurch, New Zealand
Experience: Beginner
Platform: SC
Broker: IB, BC, Dx Feed
Trading: US Equities
Posts: 428 since Jul 2014
Thanks Given: 471
Thanks Received: 532
Fat Tails
You would get slightly better results if you use OHLC Avg. But the difference is really minor.
I did assume this as it sounded closest to the input method you were describing. However using the OHLC Avg appeared to skew the STD bands relative to yours.
Can you help answer these questions from other members on NexusFi?
Best Threads (Most Thanked) in the last 7 days on NexusFi
February 21st, 2015, 06:46 PM
Christchurch, New Zealand
Experience: Beginner
Platform: SC
Broker: IB, BC, Dx Feed
Trading: US Equities
Posts: 428 since Jul 2014
Thanks Given: 471
Thanks Received: 532
Big Mike
Hopefully @
SierraChart is monitoring this thread
Sent from my phone
FYI
March 4th, 2015, 09:55 PM
South Jersey
Experience: Advanced
Platform: Sierra
Broker: IB
Trading: ES, CL
Posts: 98 since Apr 2011
Thanks Given: 21
Thanks Received: 62
any update on if this was properly integrated?
March 4th, 2015, 09:58 PM
Manta, Ecuador
Site Administrator Developer Swing Trader
Experience: Advanced
Platform: Custom solution
Broker: IBKR
Trading: Stocks & Futures
Frequency: Every few days
Duration: Weeks
Posts: 50,607 since Jun 2009
Thanks Given: 33,345
Thanks Received: 101,972
boze man
any update on if this was properly integrated?
No reply from Sierra and to my knowledge it still doesn't really work.
Sent from my phone
March 9th, 2015, 03:10 PM
Madison, WI
Experience: Advanced
Platform: ALT
Trading: ES
Posts: 625 since Jan 2010
Thanks Given: 356
Thanks Received: 1,127
Big Mike
No reply from Sierra and to my knowledge it still doesn't really work.
Actually, Neo1's reply shows the SD calc was addressed over two weeks ago. Does "to my knowledge" mean you have not tried it or you did and did not like the result?
March 9th, 2015, 05:26 PM
Manta, Ecuador
Site Administrator Developer Swing Trader
Experience: Advanced
Platform: Custom solution
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Trading: Stocks & Futures
Frequency: Every few days
Duration: Weeks
Posts: 50,607 since Jun 2009
Thanks Given: 33,345
Thanks Received: 101,972
aslan
Actually, Neo1's reply shows the SD calc was addressed over two weeks ago. Does "to my knowledge" mean you have not tried it or you did and did not like the result?
I thought he had confirmed there was a still a bug and reverted to an older revision. If that isn't the case I missed a post. I hadn't heard anything else from you or Anthony on it via email.
Mike
April 6th, 2015, 04:50 PM
BeNeLux
Experience: Advanced
Platform: SierraChart
Trading: Futures
Posts: 16 since May 2013
Thanks Given: 6
Thanks Received: 7
SC updated documentation file and explains how STD for VWAPs are calculated :
Standard Deviation Calculation
The standard deviation calculation is calculated as follows:
float CumulativeBarStandardDeviationDifferenceSquaredTimesVolume = 0
The following repeats at each bar.
Diff = CurrentBarPrice - VolumeWeightedAveragePriceAtBar
BarPriceStdDevDiffSquared = (Diff * Diff)
CumulativeBarStandardDeviationDifferenceSquaredTimesVolume += (BarPriceStdDevDiffSquared * BarVolume)
CalcResult = CumulativeBarStandardDeviationDifferenceSquaredTimesVolume + BarPriceStdDevDiffSquared * BarVolume
StandardDeviation = SquareRoot (CalcResult / CumulativeVolumeForPeriod)
StandardDeviationWithDistanceMultiplier = StandardDeviation * DistanceMultiplier
I still not see the use of the moving average volume weighted for calculate the STD for the rolling vwaps ...
Can someone confirm ?
Regards.
April 6th, 2015, 05:38 PM
Berlin, Europe
Legendary Market Wizard
Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker: Interactive Brokers
Trading: Keyboard
Posts: 9,888 since Mar 2010
Thanks Given: 4,242
Thanks Received: 27,104
Tradabull
SC updated documentation file and explains how
STD for VWAPs are calculated :
Standard Deviation Calculation
The standard deviation calculation is calculated as follows:
float CumulativeBarStandardDeviationDifferenceSquaredTimesVolume = 0
The following repeats at each bar.
Diff = CurrentBarPrice - VolumeWeightedAveragePriceAtBar
BarPriceStdDevDiffSquared = (Diff * Diff)
CumulativeBarStandardDeviationDifferenceSquaredTimesVolume += (BarPriceStdDevDiffSquared * BarVolume)
CalcResult = CumulativeBarStandardDeviationDifferenceSquaredTimesVolume + BarPriceStdDevDiffSquared * BarVolume
StandardDeviation = SquareRoot (CalcResult / CumulativeVolumeForPeriod)
StandardDeviationWithDistanceMultiplier = StandardDeviation * DistanceMultiplier
I still not see the use of the
moving average volume weighted for calculate the STD for the rolling vwaps ...
Can someone confirm ?
Regards.
Diff = CurrentBarPrice - VolumeWeightedAveragePriceAtBar
April 7th, 2015, 08:54 AM
BeNeLux
Experience: Advanced
Platform: SierraChart
Trading: Futures
Posts: 16 since May 2013
Thanks Given: 6
Thanks Received: 7
Fat Tails
Diff = CurrentBarPrice - VolumeWeightedAveragePriceAtBar
I'm not a programmer but with SierraChart , I just don't know if VolumeWeightedAveragePrice (= VWAP ) is exactly calculated as the moving average - volume weighted.
I see no explanations in the SierraChart's documentation about how is calculated the moving average - volume weighted ...
Regards.
April 13th, 2015, 01:27 PM
Christchurch, New Zealand
Experience: Beginner
Platform: SC
Broker: IB, BC, Dx Feed
Trading: US Equities
Posts: 428 since Jul 2014
Thanks Given: 471
Thanks Received: 532
aslan
Actually, Neo1's reply shows the SD calc was addressed over two weeks ago. Does "to my knowledge" mean you have not tried it or you did and did not like the result?
The VWAP & STD 's( from the volume weighted average price study) look to be calculating correctly, and should match up with Fat Tails work.
However, it looks like the Rolling VWAP study is using the wrong computation for VWAP. So i'm using Wingman's ECIVwapChannel. Wingman uses price + volume per price.
Last Updated on December 28, 2023