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Direct MessagesDate/Time: Mon, 06 May 2024 12:26:06 +0000
VWAP and Standard Deviation Lines
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| [2016-12-12 18:43:02] |
| User34947 - Posts: 42 |
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Hello, I red quite carefully the documentation http://www.sierrachart.com/index.php?page=doc/TechnicalStudiesReference.html#s108 but I do not understand why sometimes on FGBM the standard deviation is 0 for some bar period type, here's an example http://www.sierrachart.com/image.php?Image=1481567868127.png Thank you |
| [2016-12-12 21:39:56] |
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The formula is given here: https://www.sierrachart.com/index.php?page=doc/TechnicalStudiesReference.html#s108_StandardDeviationCalculation The result is correct based upon the formula. We cannot provide any further information than that. It is not within the scope of our support to do the manual calculations to prove the result you are getting. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2016-12-12 22:05:57] |
| User34947 - Posts: 42 |
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I already stated that I red the documentation. The result is clearly wrong, standard deviation cannot be 0 because price is not constant. If you do not want to look into that, that's fine, I thought it was within your scope to provide correct results, I was wrong.
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| [2016-12-12 22:09:38] |
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How do you know that it is clearly wrong based on the formula? We need a mathematical explanation based upon the stated formula and the underlying values explaining why it is not correct before we would look into this. In other words we need you to actually create a Spreadsheet using the underlying data that you see in the chart, and create spreadsheet formulas which 100% match the stated formula showing a different result. Also the standard deviation calculation is not the standard standard deviation calculation. The formula is given. Also it is not within the scope of our support to go to great costly lengths to prove that the calculation is correct based upon the stated formula when we are 99.9 percent certain that it is. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2016-12-12 22:13:46
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| [2016-12-12 22:31:16] |
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And we also ran a test with 1 Trade bars and observed the same thing you do at times, but we are certain there is a mathematical reason why the result is what it is based on the underlying data and the formula.
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2016-12-12 23:26:07] |
| User34947 - Posts: 42 |
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My explaination is that the result is rounded to 0 (or to tick size). It cannot be equal to 0 because in the formula you are making the sum of numbers that are >=0 (CurrentBarPrice - VolumeWeightedAveragePriceAtBar)^2*BarVolume but at least one is > 0, because for at least one bar the price is different from the VWAP (in the example above for several bars). Anyway it does not matter, I'll find some other way. Thanks. Date Time Of Last Edit: 2016-12-12 23:26:43
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| [2016-12-13 10:26:22] |
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We will look into this.
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2016-12-14 04:43:24] |
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We had a look at this, and the result is correct based upon the formula. We will make sure the documentation is showing the correct formula.
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2016-12-14 05:13:30] |
| Neo - Posts: 198 |
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On 12-7 I noticed an anomaly in SPY( using IQ feed data )- I only noticed it because I use a study that measures relative time spent outside of VWAP deviation bands. Shortly after the open the Deviation bands merged into VWAP( Based on the SC VWAP study)- Using the ECI Vwap study showed a completely different result, however, later in the day both SC VWAP & ECI are correlated almost 1-1. -See attachment- IQ Feed Data SPY 10sec 12-7 I then ran the same scenario using SC data- Here the Deviation bands didn't merge into VWAP, however, they still show a different result vs ECI -See attachment- SC Data SPY 10sec 12-7 Exacting data out from Deviation band 1 you can see there is an obvious dispersion between SC VWAP & ECI VWAP using both IQfeed & SC data, and an even greater dispersion when using IQ feed data. What's interesting though is that there's a strong correlation between ECI Vwap based on both IQ feed & SC data. - See attachment- Dev Band Comparison *In all examples SC VWAP & ECI Vwap are based on underlying data. Date Time Of Last Edit: 2016-12-14 05:16:29
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 IQ Feed Data SPY 10sec 12-7.png / V - Attached On 2016-12-14 05:00:23 UTC - Size: 100.45 KB - 439 views SC Data SPY 10sec 12-7.png / V - Attached On 2016-12-14 05:00:27 UTC - Size: 99.12 KB - 957 views Dev Band Comparison.png / V - Attached On 2016-12-14 05:00:31 UTC - Size: 159.79 KB - 480 views |
| [2016-12-15 04:58:41] |
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There is really not anything in post 9 that we need to do anything with other to see if we can possibly use a better formula for the standard deviation lines with the Volume Weighted Average Price study. We are looking into that. Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2016-12-15 06:39:43] |
| Neo - Posts: 198 |
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Post 9 was made because in post 8 it sounded like you were satisfied with the formula being used. I'm suggesting that the ECI study does a better job at computing Deviation levels. This is best illustrated in the bottom right image-" Dev Band Comparision" Your deviation formula uses chart bars, so it is just an estimation. It's not the "correct" formula, because, the correct formula would calculate based on every tick within a bar. So rather than going to costly lengths to establish what formula will give you the best dev band estimation, first take a look at the ECI study. Date Time Of Last Edit: 2016-12-15 06:40:38
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| [2017-01-11 02:10:55] |
| Neo - Posts: 198 |
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Here is an example of SPY on 12-23-16. -Deviation bands are non-existent until approximately 9:49am. How is this possible? http://www.sierrachart.com/image.php?Image=1484099795679.png |
| SPY missing dev bands.png / V - Attached On 2017-01-11 02:09:29 UTC - Size: 110.16 KB - 387 views |
| [2017-01-11 04:18:26] |
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We have not yet had a chance to work on the formula. Will be doing that sometime in the next month.
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
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