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LinkBack (5) | Release Tools |
08-03-2007, 11:43 AM
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VWAP Indicator with 1SD and 2SD bands
Guys I am not a TS coding guru by any means...still new at it but wanted to share this code if anyone else was interested. Just wrote this code for myself to keep up with JPERL's threads on Market Statistics. It plots the VWAP, and 1st and 2nd Standard Deviation bands. It lines up with his numbers within a tick or two so I think it is working correctly.
Any other TS coders out there please take a look because it can probably be improved upon. This is my first... 
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By
nickm001
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08-04-2007, 02:02 PM
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Re: VWAP Indicator with 1SD and 2SD bands
I don't want to beat this to death, since the code is performing close enough to what Jerry has. However, it is only important if you decide to expand the code to include volume distribution. At that point you will realize that assumptions made in this code are not valid in all cases. It is accurate observation that the smaller the time frame is, the more accurate calculation becomes, simply because there is an underlying assumption that the volume was constant within the bar interval ( we know the total volume of the bar, and range of the bar). Calculation will be accurate as long as the price does not hit the same level more then once. Now suppose that we have a consolidation day when the price moves back and forth several times thru the range. Every time it comes to the price pi, you will have to add volume of that instance to previous volume at the same price and build volume histogram bar for the price pi. Now when you do calculation for the SD, you would take sum of the volume at price pi and divide it with total volume for the session . I hope that this explanation is better then previous attempts.
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By
dbntina
on
08-04-2007, 08:18 PM
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Re: VWAP Indicator with 1SD and 2SD bands
Nick,
I hope I didn't mislead anyone. I should have been more clear. The indicator I posted does not give the exact VWAP or SD bands. It most definitely is an approximation. I am only trying to create the identical indicator Jerry uses on his 2min charts for TS users. It should be the exact way that Jerry told us to caculate it. That is all I am trying to accomplish. He said to take the open/hi/low/close and divide by 4, for the price bar...that in itself already throws some level of accuracy out the window. However I am normalizing the volume according to the way he said to do it I think. I would like people to check the code for accuracy according to the way Jerry does it...not for exact accuracy of VWAP and SD bands...I already know it is not to that level of accuracy. Hopefully everyone is clear on what the indicator is doing now. But I agree with you it is not accurate the way you are talking about...that was not my intention. My intention was to create Jerry's indicator for TS users. Hope that clears it up, Thanks, dbntina  |
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By
Soultrader
on
08-06-2007, 09:13 AM
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Re: VWAP Indicator with 1SD and 2SD bands
You should be able to edit your first post and then edit the attachment manager. Pm me if you are still having problems. |
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By
dbntina
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08-06-2007, 05:44 PM
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Re: VWAP Indicator with 1SD and 2SD bands
Soultrader, I still can't find how to edit my original post...having said that...
I have coded the VWAP, SD bands and PVP on a tick by tick basis on a 1 Tick chart. I was thinking I could simply hide the 1 tick chart and plot the indicators on a 2 minute chart and everything would be cool...problem is that it gives me an error "Tick and Volume intervals cannot be used in a mult-symbol chart". Does anyone know of a way around this to plot the data gathered from the 1Tick to plot on a minute chart? There has to be a way around this. Maybe creating a function and access...I don't know just thinking out loud...like I said I am new to the functionality of TS and need help. I will post for all TS users for free if we can get this thing figured out. Any help is appreciated. This should be the fix that NICK was pointing out for accuracy in the indicator thread. dbntina  |
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By
BlowFish
on
08-07-2007, 08:39 AM
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Re: VWAP Indicator with 1SD and 2SD bands
You would put the 1 tick series on the chart add the indicator on that series then, then hide the initial 1 tick series.
Simply add a second 2 5 10 15 minute data series of the same instrument (whatever you want to trade from) to the chart. Cheers, PS. have you posted the PvP yet I could not see it PPS. Great work!! Thanks you (if I had not already thanked you). |
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By
cooter
on
08-07-2007, 08:45 AM
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Re: VWAP Indicator with 1SD and 2SD bands
Try ADE (all data anywhere) as a workaround. You'll find more info about it in the Tradestation.com forums. |
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By
Nvesta81
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08-08-2007, 05:56 PM
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Re: VWAP Indicator with 1SD and 2SD bands
Does anyone here use Amibroker for their charts? The programming language seems very flexible, I just wish I knew how to program! If someone could convert these for that program I would be eternally grateful. Specifically the standard deviations for the VWAP. Thanks!
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LinkBacks (?)
LinkBack to this Thread: http://www.traderslaboratory.com/forums/f46/vwap-indicator-with-1sd-and-2sd-2175.html
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| Posted By | For | Type | Date | |
| Incredible Charts: Trading - Systems: VWAP Part Two. | This thread | Refback | 01-31-2008 06:28 PM | |
| Forums - Multicharts float display error? | This thread | Refback | 01-09-2008 11:22 AM | |
| Forums - Multicharts float display error? | This thread | Refback | 01-08-2008 09:17 PM | |
| Traders Laboratory - forumdisplay | This thread | Refback | 08-05-2007 06:26 PM | |
| Traders Laboratory | This thread | Refback | 08-03-2007 02:03 PM | |
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