dupaski,
I added the
VWAP bands about 6 months ago in response to a thread I read here on Trader's Laboratory, and I made sure to match up my bands with those posted here. If you choose a "Bands Basis" of "Variance (CL vs
VWAP)", you'll get the same results seen in the "VWAP Standard Deviation" threads. I could have titled this "Deviations" instead but wanted to be accurate as to the basis of these bands, which is a variance of the closing prices vs the
VWAP values.
There are some other interesting options for band basis, including:
-
1/4 Days Range - One quarter of the range to that point in the day/session.
-
3 x Avg Bar Range - Three times the average range (hi - lo) of last 20 bars..
-
Constant $ Value - A constant $ Value above and below the
VWAP.
And a "Proprietary" option that is still a work in progress.
You can read more info other the
VWAP bands here:
Investor/RT Tour - Volume Weighted Average Price (VWAP)
including a demonstration video.