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Re: VWAP Indicator with 1SD and 2SD bands
Hi DbnTina,
I am not sure if the calculation for vi is correct.
In your EL you have used
variance_i = ((UpTicks[Value1]+DownTicks[Value1])/ShareW) * (Square(AvgPrice[i]-VolWAPValue));
where (UpTicks[i]+DownTicks[i]) represents volume of the bar [i]... I think in a probability calculation one should use total volume at price i, not just volume of the bar i. Lets ask Jerry for clarification.
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