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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
dbntina
on
08-11-2007, 10:28 AM
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Re: VWAP Indicator with 1SD and 2SD bands
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By
BlowFish
on
08-21-2007, 06:37 AM
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Re: VWAP Indicator with 1SD and 2SD bands
Could someone tell me which of these SD bands look correct (yellow or blue). Actually I cant work out why they differ as the actual formula I use is the same in both, I just am summing the bars slightly differently.
Be really great full if someone could compare with ensigns finishing values. Note that the YM chart ends at 3.15pm central Cheers. Nick |
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By
BlowFish
on
08-21-2007, 09:04 AM
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Re: VWAP Indicator with 1SD and 2SD bands
OK figured out what was wrong with the last two indicators but have come up with something that I think is OK.
The reason for this is that there are some performance issues with the indicator here as it has to scan the series back to the days start when there is a new tick. Applying it to a tick chart (especially at the end of the day) it slows right down. Anyway I figured there should be a way to do it using running statistics and indeed there is. There is a side benefit to doing it this way as you don't get cumulative rounding errors (according to the signal processing guys). This does not get rid of the sampling inaccuracy that Nick mentions earlier in the thread. I'd welcome comments? I wonder if rounding errors would explain the 2 or 3 ticks difference? |
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By
BlowFish
on
08-21-2007, 09:19 AM
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Re: VWAP Indicator with 1SD and 2SD bands
One last chart a 1 tick of the same period as the last post (yesterdays ER2). Looks good to me? It is much much quicker this way and its plausible to run it on 1 tick charts (meaning complete accuracy is attainable if desired). If it looks good enough I'll upload it.
Incidentally watching PvP for the last week or two and comparing tick precise with 1 & 2 minutes I think I might have changed my mind - tick precise would have kept you out of a couple of bad trades due to quicker 'flipping' Cheers |
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By
darthtrader
on
09-19-2007, 12:27 PM
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Re: VWAP Indicator with 1SD and 2SD bands
Blowfish, can you post this? That last chart looks very nice.
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By
BlowFish
on
09-20-2007, 10:16 AM
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Re: VWAP Indicator with 1SD and 2SD bands
Hi there,
See your PM's. Am travelling at the moment but the current work is complete however I now want to incorporate multi day stuff and a histogram. The stuff that DBNTina is absolutely fine btw it ust cane be a little sluggish loading up...results are pretty much the same. That should do as a stopgap. Cheers, Nick |
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By
darthtrader
on
09-20-2007, 11:03 AM
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Re: VWAP Indicator with 1SD and 2SD bands
hey Blowfish, that sounds good to me, multiple day stuff would be fantastic, I'm in now hurry.
That chart is very interesting there, now thats what I call support and resistance! damn... |
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By
ItalianSharp
on
10-01-2007, 01:45 PM
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Re: VWAP Indicator with 1SD and 2SD bands
Does anyone know whether the VWAP indicator downloadable from this thread is almost 100% accurate? Or does it need further adjustments?
Thanks. |
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By
BlowFish
on
10-03-2007, 04:31 AM
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Re: VWAP Indicator with 1SD and 2SD bands
Cheers. |
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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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