Jump to content

Welcome to the new Traders Laboratory! Please bear with us as we finish the migration over the next few days. If you find any issues, want to leave feedback, get in touch with us, or offer suggestions please post to the Support forum here.

  • Welcome Guests

    Welcome. You are currently viewing the forum as a guest which does not give you access to all the great features at Traders Laboratory such as interacting with members, access to all forums, downloading attachments, and eligibility to win free giveaways. Registration is fast, simple and absolutely free. Create a FREE Traders Laboratory account here.

dbntina

VWAP Indicator with 1SD and 2SD bands

Recommended Posts

Managed to do something abt the bands in cqg, however may i ask if the bands recalculation period i set to 28 periods for 2 min periods, would it be more accurate?

 

i noted that if i set it to recalculate per 2 min, my chart becomes very jerky and messy, and setting it to a longer period per recalculation makes it smoother.

 

 

Is it wrong?

 

BTW, i got a very impt question, 2 STD DEV is 2 X 1STD DEV right? just wanan clarify.

cos this means if i managed to calcualte 1 std dev, 2 or 3 std dev shld nt be a prob

Share this post


Link to post
Share on other sites
Managed to do something abt the bands in cqg, however may i ask if the bands recalculation period i set to 28 periods for 2 min periods, would it be more accurate?

 

i noted that if i set it to recalculate per 2 min, my chart becomes very jerky and messy, and setting it to a longer period per recalculation makes it smoother.

 

 

Is it wrong?

 

BTW, i got a very impt question, 2 STD DEV is 2 X 1STD DEV right? just wanan clarify.

cos this means if i managed to calcualte 1 std dev, 2 or 3 std dev shld nt be a prob

 

Load less bars (so maybe only a day or two). If you can set to only calculate on bar close (I guess thats what re-calculate every 2 minutes will do in CQG) that should improve things. Calculating every 2 minutes dosent present a problem in most charting packages, it should not in CQG either. 28 period recalculation ios going to be quite a bit less acurate.

 

Yes 2SD is 2*1SD.

Share this post


Link to post
Share on other sites

hmmmmm a bit of dilemma, i use 1 period for 2 min charting is possible, but the charting turns out terribily jerky ...... but it seems to smooth out when i use longer periods of calcualtion for SD bands.....

Share this post


Link to post
Share on other sites

I dont use CQG but SD bands on weighted data are notoriously processor intensive. Having said that running the calculations every 2 minutes is a snip for most programs (Ensign, Ninja, Tradestation etc.). I wrote my own tradestation indicators that use a non iterative algorithm so no problems with jerkiness even tick by tick on a months worth of data.

 

How many days data are you loading ? If you are only re-calculating every 2 minutes you should have no problems....I would contact CQG as I mentioned before.

Share this post


Link to post
Share on other sites

no no, by jerky i mean the bands stick to each bar in a very skewy way.

 

I shd attach a screenshot for u to see... arugh

 

The cqg person didnt really understand what i was trying to say...

 

sigh

Share this post


Link to post
Share on other sites
no no, by jerky i mean the bands stick to each bar in a very skewy way.

 

I shd attach a screenshot for u to see... arugh

 

The cqg person didnt really understand what i was trying to say...

 

sigh

 

I am not sure either. A screen shot and a precise description of what you are doing would be helpful.

Share this post


Link to post
Share on other sites

Can someone, or Dbtina, pls pls help me check if anything needs to be modified? I had the code below sent and i am using cqg

 

 

 

day:= BarsSince(BarIx(@,StartOf Day) = 0,1,10000)+1;

day2:= BarsSince(BarIx(@,StartOf Session) = 0,1,10000)+1;

priceX:= IF(price = 1, Close(@), IF(price = 2, High(@), IF(price = 3, Low(@), IF(price = 4, Mid(@), IF(price = 5, HLC3(@), IF(price = 6, Avg(@), IF(price=7, Open(@), 0) ) ) ) ) ) ) ;

vol:= IF( HasVal(Vol(@)) AND Vol(@) > 0, Vol(@), 1) ;

a:= Sum(priceX* vol,day)/ Sum(vol,day);

b:= Sum(priceX* vol,day2)/ Sum(vol,day2);

c1:= Sum(priceX* vol,Period)/ Sum(vol,Period);

VWAP:= IF(DaySessionPeriod = 1, a, IF(DaySessionPeriod = 2, b, IF(DaySessionPeriod = 0, c1, a) ) );

 

DAYSES:= STDDEV(@,day)/100;

SES:= STDDEV(@,day2)/100;

ANY:= STDDEV(@,Period);

STD:=IF(DaySessionPeriod = 1, DAYSES, IF(DaySessionPeriod = 2, SES, IF(DaySessionPeriod = 0, ANY, ANY) ) );

R:=VWAP+((STD*DEV3));

Share this post


Link to post
Share on other sites

Here is the full curves for CQG. Could any1 please take a look to see if anything is missing?

 

I noted that the std deviation are all constant from each other so there is something wrong but i do not know what.

 

HELP !!!

 

 

Deviation 3 Curve:

 

day:= BarsSince(BarIx(@,StartOfDay) = 0,1,10000)+1;

day2:= BarsSince(BarIx(@,StartOfSession) = 0,1,10000)+1;

priceX:= IF(price = 1, Close(@), IF(price = 2, High(@), IF(price = 3, Low(@), IF(price = 4, Mid(@), IF(price = 5, HLC3(@), IF(price = 6, Avg(@), IF(price=7, Open(@), 0) ) ) ) ) ) ) ;

 

vol:= IF( HasVal(Vol(@)) AND Vol(@) > 0, Vol(@), 1) ;

 

a:= Sum(priceX* vol,day)/ Sum(vol,day);

b:= Sum(priceX* vol,day2)/ Sum(vol,day2);

c1:= Sum(priceX* vol,Period)/ Sum(vol,Period);

 

VWAP:= IF(DaySessionPeriod = 1, a, IF(DaySessionPeriod = 2, b, IF(DaySessionPeriod = 0, c1, a) ) );

 

 

 

DAYSES:= STDDEV(@,day)/100;

SES:= STDDEV(@,day2)/100;

ANY:= STDDEV(@,Period);

STD:=IF(DaySessionPeriod = 1, DAYSES, IF(DaySessionPeriod = 2, SES, IF(DaySessionPeriod = 0, ANY, ANY) ) );

 

R:=VWAP+((STD*DEV3));

 

Deviation 2 Curve:

 

day:= BarsSince(BarIx(@,StartOfDay) = 0,1,10000)+1;

day2:= BarsSince(BarIx(@,StartOfSession) = 0,1,10000)+1;

priceX:= IF(price = 1, Close(@), IF(price = 2, High(@), IF(price = 3, Low(@), IF(price = 4, Mid(@), IF(price = 5, HLC3(@), IF(price = 6, Avg(@), IF(price=7, Open(@), 0) ) ) ) ) ) ) ;

 

vol:= IF( HasVal(Vol(@)) AND Vol(@) > 0, Vol(@), 1) ;

 

a:= Sum(priceX* vol,day)/ Sum(vol,day);

b:= Sum(priceX* vol,day2)/ Sum(vol,day2);

c1:= Sum(priceX* vol,Period)/ Sum(vol,Period);

 

VWAP:= IF(DaySessionPeriod = 1, a, IF(DaySessionPeriod = 2, b, IF(DaySessionPeriod = 0, c1, a) ) );

 

DAYSES:= STDDEV(@,day)/100;

SES:= STDDEV(@,day2)/100;

ANY:= STDDEV(@,Period);

STD:=IF(DaySessionPeriod = 1, DAYSES, IF(DaySessionPeriod = 2, SES, IF(DaySessionPeriod = 0, ANY, ANY) ) );

 

VWAP+((STD*DEV2));

 

Deviation 1 Curve:

 

day:= BarsSince(BarIx(@,StartOfDay) = 0,1,10000)+1;

day2:= BarsSince(BarIx(@,StartOfSession) = 0,1,10000)+1;

priceX:= IF(price = 1, Close(@), IF(price = 2, High(@), IF(price = 3, Low(@), IF(price = 4, Mid(@), IF(price = 5, HLC3(@), IF(price = 6, Avg(@), IF(price=7, Open(@), 0) ) ) ) ) ) ) ;

 

vol:= IF( HasVal(Vol(@)) AND Vol(@) > 0, Vol(@), 1) ;

 

a:= Sum(priceX* vol,day)/ Sum(vol,day);

b:= Sum(priceX* vol,day2)/ Sum(vol,day2);

c1:= Sum(priceX* vol,Period)/ Sum(vol,Period);

 

VWAP:= IF(DaySessionPeriod = 1, a, IF(DaySessionPeriod = 2, b, IF(DaySessionPeriod = 0, c1, a) ) );

 

DAYSES:= STDDEV(@,day)/100;

SES:= STDDEV(@,day2)/100;

ANY:= STDDEV(@,Period);

STD:=IF(DaySessionPeriod = 1, DAYSES, IF(DaySessionPeriod = 2, SES, IF(DaySessionPeriod = 0, ANY, ANY) ) );

 

VWAP+((STD*DEV1));

 

Vwap:

 

day:= BarsSince(BarIx(@,StartOfDay) = 0,1,10000)+1;

day2:= BarsSince(BarIx(@,StartOfSession) = 0,1,10000)+1;

priceX:= IF(price = 1, Close(@), IF(price = 2, High(@), IF(price = 3, Low(@), IF(price = 4, Mid(@), IF(price = 5, HLC3(@), IF(price = 6, Avg(@), IF(price=7, Open(@), 0) ) ) ) ) ) ) ;

 

vol:= IF( HasVal(Vol(@)) AND Vol(@) > 0, Vol(@), 1) ;

 

a:= Sum(priceX* vol,day)/ Sum(vol,day);

b:= Sum(priceX* vol,day2)/ Sum(vol,day2);

c1:= Sum(priceX* vol,Period)/ Sum(vol,Period);

 

VWAP:= IF(DaySessionPeriod = 1, a, IF(DaySessionPeriod = 2, b, IF(DaySessionPeriod = 0, c1, a) ) );

 

DAYSES:= STDDEV(@,day)/100;

SES:= STDDEV(@,day2)/100;

ANY:= STDDEV(@,Period);

STD:=IF(DaySessionPeriod = 1, DAYSES, IF(DaySessionPeriod = 2, SES, IF(DaySessionPeriod = 0, ANY, ANY) ) );

 

VWAP

 

- Deviation 1:

 

day:= BarsSince(BarIx(@,StartOfDay) = 0,1,10000)+1;

day2:= BarsSince(BarIx(@,StartOfSession) = 0,1,10000)+1;

priceX:= IF(price = 1, Close(@), IF(price = 2, High(@), IF(price = 3, Low(@), IF(price = 4, Mid(@), IF(price = 5, HLC3(@), IF(price = 6, Avg(@), IF(price=7, Open(@), 0) ) ) ) ) ) ) ;

 

vol:= IF( HasVal(Vol(@)) AND Vol(@) > 0, Vol(@), 1) ;

 

a:= Sum(priceX* vol,day)/ Sum(vol,day);

b:= Sum(priceX* vol,day2)/ Sum(vol,day2);

c1:= Sum(priceX* vol,Period)/ Sum(vol,Period);

 

VWAP:= IF(DaySessionPeriod = 1, a, IF(DaySessionPeriod = 2, b, IF(DaySessionPeriod = 0, c1, a) ) );

 

DAYSES:= STDDEV(@,day)/100;

SES:= STDDEV(@,day2)/100;

ANY:= STDDEV(@,Period);

STD:=IF(DaySessionPeriod = 1, DAYSES, IF(DaySessionPeriod = 2, SES, IF(DaySessionPeriod = 0, ANY, ANY) ) );

 

VWAP - ((STD*DEV1));

 

-Deviation 2:

 

day:= BarsSince(BarIx(@,StartOfDay) = 0,1,10000)+1;

day2:= BarsSince(BarIx(@,StartOfSession) = 0,1,10000)+1;

priceX:= IF(price = 1, Close(@), IF(price = 2, High(@), IF(price = 3, Low(@), IF(price = 4, Mid(@), IF(price = 5, HLC3(@), IF(price = 6, Avg(@), IF(price=7, Open(@), 0) ) ) ) ) ) ) ;

 

vol:= IF( HasVal(Vol(@)) AND Vol(@) > 0, Vol(@), 1) ;

 

a:= Sum(priceX* vol,day)/ Sum(vol,day);

b:= Sum(priceX* vol,day2)/ Sum(vol,day2);

c1:= Sum(priceX* vol,Period)/ Sum(vol,Period);

 

VWAP:= IF(DaySessionPeriod = 1, a, IF(DaySessionPeriod = 2, b, IF(DaySessionPeriod = 0, c1, a) ) );

 

DAYSES:= STDDEV(@,day)/100;

SES:= STDDEV(@,day2)/100;

ANY:= STDDEV(@,Period);

STD:=IF(DaySessionPeriod = 1, DAYSES, IF(DaySessionPeriod = 2, SES, IF(DaySessionPeriod = 0, ANY, ANY) ) );

 

VWAP - ((STD*DEV2));

 

-Deviation 3:

 

day:= BarsSince(BarIx(@,StartOfDay) = 0,1,10000)+1;

day2:= BarsSince(BarIx(@,StartOfSession) = 0,1,10000)+1;

priceX:= IF(price = 1, Close(@), IF(price = 2, High(@), IF(price = 3, Low(@), IF(price = 4, Mid(@), IF(price = 5, HLC3(@), IF(price = 6, Avg(@), IF(price=7, Open(@), 0) ) ) ) ) ) ) ;

 

vol:= IF( HasVal(Vol(@)) AND Vol(@) > 0, Vol(@), 1) ;

 

a:= Sum(priceX* vol,day)/ Sum(vol,day);

b:= Sum(priceX* vol,day2)/ Sum(vol,day2);

c1:= Sum(priceX* vol,Period)/ Sum(vol,Period);

 

VWAP:= IF(DaySessionPeriod = 1, a, IF(DaySessionPeriod = 2, b, IF(DaySessionPeriod = 0, c1, a) ) );

 

DAYSES:= STDDEV(@,day)/100;

SES:= STDDEV(@,day2)/100;

ANY:= STDDEV(@,Period);

STD:=IF(DaySessionPeriod = 1, DAYSES, IF(DaySessionPeriod = 2, SES, IF(DaySessionPeriod = 0, ANY, ANY) ) );

 

VWAP - ((STD*DEV3));

Share this post


Link to post
Share on other sites

Why are you using two different ID's to post the same messages over and over on different threads?

 

 

Here is the full curves for CQG. Could any1 please take a look to see if anything is missing?

 

I noted that the std deviation are all constant from each other so there is something wrong but i do not know what.

 

HELP !!!

 

 

 

Here is the full curves for CQG. Could any1 please take a look to see if anything is missing?

 

I noted that the std deviation are all constant from each other so there is something wrong but i do not know what.

 

HELP !!!

 

Share this post


Link to post
Share on other sites
Why are you using two different ID's to post the same messages over and over on different threads?

 

that's why I don't bother.

Edited by Tams

Share this post


Link to post
Share on other sites
that's why I don't bother.

 

I tried despite the multiple posts, but I think I am done. Of course CQG would be the place to go.

 

Perhaps a mod could clean the other threads?

Share this post


Link to post
Share on other sites
Here i am , sincerely asking for help and u guys are asking and scolding me abt rules this n that....

 

 

sigh..... u guys sure r strange

 

Everyone should drop what they are doing and help you? Right ho I'll spend this week learning the syntax to CQG's scripting language. Maybe you should learn to help yourself. Also maybe you should have posted all the information and steps you had taken at the start.

 

1) Check the thread that discusses the algorithm in depth. 2) send that algorithm and pertinent comments to CQG 3) Ask them to check they have implemented the algorithm correctly. 4) Profit. That's how a Ferengi would do it anyway.

 

CQG is a premium service, I would be p*ss*d off if I wasn't getting premium support. Thanking people that have tried to help rather than insulting them is probably a good plan too. Oh and all spamming your half arsed pleas for help will likely yield worse results, it 'turned off' Tams who is quite possibly one of the people who could have helped.

Share this post


Link to post
Share on other sites

perhaps its due to racking my head over so many days and cant finding any solution so just feeling a bit frustrated. Didnt mean to make it sound the way it did.

 

 

Apologies once again. I try figure it out myself

 

Hope no offence taken anyway

Share this post


Link to post
Share on other sites

Join the conversation

You can post now and register later. If you have an account, sign in now to post with your account.
Note: Your post will require moderator approval before it will be visible.

Guest
Reply to this topic...

×   Pasted as rich text.   Paste as plain text instead

  Only 75 emoji are allowed.

×   Your link has been automatically embedded.   Display as a link instead

×   Your previous content has been restored.   Clear editor

×   You cannot paste images directly. Upload or insert images from URL.


  • Topics

  • Posts

    • A History Of Consecutive -3% Days (Decline) https://seekingalpha.com/article/4327321-history-of-consecutiveminus-3-days by Ploutos CFA Summary The global spread of the coronavirus has pushed the S&P 500 down 3% on consecutive days. That is a fairly rare occurrence for markets with only 15 occurrences of consecutive down days of that magnitude since the Great Depression. When these types of consecutive down days occur outside of economic recessions, markets have tended to recover and move sharply higher over the next year. With the epidemic slipping towards a pandemic, the extent of economic damage remains unknown.  Markets are selling rich valuations and pricing in negative outcomes. +------------------------------------------------------------------------------+ The Difference this time is, the decline has occured after consecutively achieving market highs With the last Bear Market in 2008 The sharp pullback which the News is crediting it to the Virus How do a Technician Interpret on the Chart without the news  factor ? I would earmarked it as an first important indication (in built fear) occuring in the US President Election Year It would be better to review Gold & USD Chart for Safety and Fear What remains to be observed approaching US Presidential Election is;  If the Gold Price Continue to Hold & remain Higher and Will USD perform Strong With Historical Low Interest Rates Gold is Good Asset to offset Risk. Interesting thing to observe will be Cryptos and related Stocks & Technology I think some exposure to Crypto is Quintessential (Around the Sell in May and Go Away Season of Correction) Awaiting some opportunity ...........   .........   .......  ...... Play if Safe with Stop Loss but also some Protection in Place or Fear will provoke your primitive Mind and Take over.   Enjoy Minoo  
    • If you decide to trade with IC Markets or Pepperstone or any other cTrader brokers, you can use Quantower platform for it.   
    • Date : 24th February 2020 Events to Look Out For Next Week 24th February 2020.The economic data has been and will continue to be overshadowed by the Covid-19 outbreak. The week ahead starts light, with the German Business Sentiment Index and Chinese Retail Sales on Monday. Leading indicators dominate the releases, but the event of the week is the US GDP and Consumer Confidence, which should shed light on whether the epidemic is visible in the data globally.Monday – 24 February 2020 Japan – Emperor’s Birthday Retail Sales (CNY, GMT N/A) – China’s retail trade growth stood at 8 percent year-on-year in December 2019. However a strong decline is expected for January, following the recent releases indicating that new car sales plunged 92% in China in February and airline traffic is expected to post the first drop since 2011 amid heavy virus containment measures in China. German IFO (EUR, GMT 09:00) – The German Business Sentiment Index released by the CESifo Group is closely watched as an early indicator of current conditions and business expectations in Germany. February’s numbers are expected to incline. Tuesday – 25 February 2020 Leading Economic Index (JPY, GMT 05:00) – The index is expected to show no change in the outlook of the Japanese economy and stand at 91.6. Gross Domestic Product (EUR, GMT 07:00) – German GDP is expected to have fallen by 0.3% on an annualized rate in the last quarter of the year, compared to 1.0% growth in Q3. Conference Board Consumer Confidence (USD, GMT 15:00) – Consumer Confidence is expected to have increased to 132.4 compared to 131.6 in the previous month. Wednesday – 26 February 2020 New Home Sales (USD, GMT 15:00) – The housing recovery should extend into 2020, assuming that mortgage rates remain low and Fed policy remains accommodative. The January new home sales should post a 2.3% climb to a 710k pace, after a dip to a 694k rate in December, versus a 12-year high of 730k in September. Trade Balance (NZD, GMT 21:45) – The Trade Balance measures the difference in value between imported and exported goods and services over the reported period. It will be interesting to see whether the New Zealand trade balance already posts an impact from the epidemic. Thursday – 27 February 2020 Gross Domestic Product (USD, GMT 13:30) – US preliminary GDP growth for Q4 is expected to trim to 2.0% from 2.1%. Durable Goods (USD, GMT 13:30) – Durable goods orders are expected to fall -1.5% in January with a -4.7% drop in transportation orders. Defense orders should fall by -29%, following the 101.4% December surge. Boeing orders declined to zero planes, following a dismal 3 planes in January. Tokyo Core CPI and Unemployment Rate (JPY, GMT 23:30) – Tokyo CPI is usually a good proxy for the Japanese economy’s overall inflation rate. In February, the CPI ex Food is expected to have stood at 0.9% y/y. The unemployment rate is expected to have climbed to 2.3% from 2.2% in December. Retail Sales (JPY, GMT 23:50) – Following a precipitous 3-month dive in October -December, due to a prolonged hit to exports from soft global demand and a slide in consumer spending following a nationwide tax hike, January’s Retail Sales are expected to drop to -1.1% on a y/y basis. Friday – 28 February 2020 Unemployment Rate (EUR, GMT 08:55) – The German unemployment rate is expected to have remained at 5% in February. Harmonized Index of Consumer Prices (EUR, GMT 13:00) – The German HICP inflation could rise to 0.3% m/m for February from the drop seen at -0.6% m/m last month. Gross Domestic Product (CAD, GMT 13:30) – A sharp slowing in Canada’s real GDP growth rate to 1.2% (q/q, saar) is expected in Q4 following the 1.3% Q3 growth. This should not add to the backing for a rate cut for the Bank of Canada. Personal Income (USD, GMT 13:30) – A 0.3% rise in personal income in January is anticipated after a 0.2% increase in December, alongside a 0.2% rise in consumption that follows a 0.3% December gain. Always trade with strict risk management. Your capital is the single most important aspect of your trading business.Please note that times displayed based on local time zone and are from time of writing this report.Click HERE to access the full HotForex Economic calendar.Want to learn to trade and analyse the markets? Join our webinars and get analysis and trading ideas combined with better understanding on how markets work. Click HERE to register for FREE!Click HERE to READ more Market news. Andria Pichidi Market Analyst HotForex Disclaimer: This material is provided as a general marketing communication for information purposes only and does not constitute an independent investment research. Nothing in this communication contains, or should be considered as containing, an investment advice or an investment recommendation or a solicitation for the purpose of buying or selling of any financial instrument. All information provided is gathered from reputable sources and any information containing an indication of past performance is not a guarantee or reliable indicator of future performance. Users acknowledge that any investment in FX and CFDs products is characterized by a certain degree of uncertainty and that any investment of this nature involves a high level of risk for which the users are solely responsible and liable. We assume no liability for any loss arising from any investment made based on the information provided in this communication. This communication must not be reproduced or further distributed without our prior written permission.
    • Can I use this EA on my Hotforex platform? How do I do that? 
×
×
  • Create New...

Important Information

By using this site, you agree to our Terms of Use.