Support Board
Date/Time: Wed, 03 Sep 2025 08:55:34 +0000
Post From: Bug in VbP VWAP standard deviation: lines reset after volume threshold
| [2025-07-31 04:03:19] |
| joshtrader - Posts: 524 |
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To reproduce: 1. Create an Intraday Only "1 day" period chart for SPY and show at least 100 days. 2. Draw or attach a VbP study, that encompasses at least 70 days. For ease of demonstration set Draw Mode to "POC, VPOC, VWAP, ... Lines only". 3. Set study input "Calculate Mean Price and Standard Deviation Bands" to Yes. 4. Set "Line" or similar for the draw type of the VWAP, Mean +/- 1, Mean +/- 2 lines. 5. Set study input "Mean and Standard Deviation Based On" to "Volume." Observe what you see in the attachment. When the cumulative volume reaches between 2.759B and 2.794B (for recent SPY volume, approximately 60 days will be sufficient to reach this threshold), the standard deviation lines cease to calculate, and they collapse onto the VWAP line. Notes: 1. Maybe this is a 32-bit integer overflow? 2. Both drawn and fixed VbP has this issue. 3. When "Mean and Standard Deviation Based On" is set to Trades instead of Volume, the issue is not present, given the amount of data I had available to test with. 4. The study Volume Weighted Average Price does not have this issue. I have attached a chartbook with the chart which can be used to demonstrate the error. |
 SC_VbP_VWAP_Issue.png / V - Attached On 2025-07-31 04:00:22 UTC - Size: 246.13 KB - 61 views Private File Attachment Deleted. |