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Date/Time: Sat, 27 Apr 2024 11:30:36 +0000

Post From: Problems with rolling VWAP standard deviations.

[2018-01-07 05:21:29] Link To Thread - Link To Post [Go To First Post]
User995923 - Posts: 64
Hello. I want to view every day's continuation of the previous day's VWAP. This is achieved by using a 1 day VWAP study and a 2 day VWAP rolling. (with time period type Days - Trading days and Number of Days to calculate -100) (I am not interested in candle by candle rolling.) The rolling VWAP line is correct but the rolling first standard deviation lines of the second day are wrong. I have attached a file to show what I mean. Black is the normal VWAP and Pink is the 2 day rolling one. I have tested using a normal 2 day VWAP and the 1 SDev lines are correct but obviously I am missing 50% of the days so this is not an option for me. Regards


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