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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
jperl
on
01-26-2008, 01:58 PM
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Re: VWAP Indicator with 1SD and 2SD bands
I have had a chance to take a look at the Ensign internal plot for VWAP. To be clear, I do not use this code, but wrote my own using Ensigns ESPL language.
Here is what I found: For VWAP, Ensigns computation and mine are dead nuts on. No difference. For the SD of the VWAP, there appears to be minor differences between my code results and Ensigns for most charts that I have looked at, EXCEPT FOR ES DATA of JAN 10. The comparison is shown in the two charts below: In the first 1 min chart for the time period from the 9:30 EST open to about 11:30, the SD's are very close. HOWEVER, from about 11:30 on, there is considerable disagreement as shown in the second chart. I do not know the source of this disagreement, but it appears to be related to the large increase in volume occurring after 11:30. I have submitted this info to Howard Arrington to look at, but I have not heard back from him. If any of you use ensign, you might wish to nudge him about this to get a response. |
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By
thrunner
on
01-26-2008, 02:52 PM
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Re: VWAP Indicator with 1SD and 2SD bands
Thank you very much for the update and explanation, Jerry. Attached please find two plots of the same period in question, based on TS data and DBtina VWAP TS code, one with start time of 0930 and the other with start time of 0000 EST. The DBtina based code generated similar results to your ESPL study.
However, VWAP & SDs were about 1 point lowered with start time calculation at midnight most likely because of substantial volume prior to RTH (regular hrs). |
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By
lj2500
on
02-04-2008, 10:12 PM
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Re: VWAP Indicator with 1SD and 2SD bands
jperl, thank you for taking some time to give us your response and comparison of your vwap+sd and ensign's (confirming what I thought - that the ts vwap/sd code posted here and yours seems correct and ensign's seems off). I have also emailed ensign with the info that has been posted here, showing the discrepency between theirs and the posted vwap code. Maybe they will be able to shed some light on the differences.
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By
cloxy
on
02-05-2008, 09:47 PM
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Re: VWAP Indicator with 1SD and 2SD bands
Hi Guys ,
First thanks Jerry for the great thread on Market Statistics . I just finished reading all 11 parts.Great Job ! I use Tradestation for my charting and i've tried to find an .eld for the PVP everywhere with no luck.. I know it has been coded by Dbntina but i see he only posted the VWAP with the SD bands.I read in his posts that he was gonna email it to whoever asked for it but he hasn't been around this board for a while now so i can't get a hold of him .If anyone else has it I would appreciate if you could post it Thanks |
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By
now123pivot
on
03-14-2008, 01:45 PM
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Re: VWAP Indicator with 1SD and 2SD bands
I am very interested in an .eld for the PVP for TradeStation as well ... I currently have the matrix window open but I like the visual display of Jerry's indicator right on my trading chart.
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By
justlurkin
on
03-14-2008, 02:18 PM
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Re: VWAP Indicator with 1SD and 2SD bands
Jerry, Here is the problem as I see it and currently a deadlock for me. I've posted on another thread but haven't had a response just yet. Depending on how the source code for real time data is implemented for various feeds this might differ. IB feed is sampled data and continuously updates volume to catch up with the ticks. Same with OpenTick. The bottom line means the bands will differ drastically based on backfilled data (which should be total volume accounted for) vs data that was accumulated throughout the day (sampled ticks and their respective sizes). Additionally, since IB data is sampled, price bars may also differ in a backfill compared to what was accumulated live, but this would only have a minor impact on VWAP. As for SD, the volume change would have a drastic impact. Consider 2 numbers with the same average but with different highs and lows (same average, completely different SD). At the moment I am stuck, it seems that OpenTick feed for YM (streaming) is accurate, but backfill mucks it all up. Depending on implementation, IB feed can/cannot be good for accuracy. Do they use Volume updates as volume or is volume derived from and accumulated from every tick sent? If using volume updates then you have a situation where you have increased the weighting but have incorrectly attributed that weighting to the current bar! (remember a voume update means more volume but at what prices??) This is my understanding so far....  |
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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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Re: VWAP Indicator with 1SD and 2SD bands
