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Date/Time: Fri, 29 Mar 2024 13:56:00 +0000



Problems with rolling VWAP standard deviations.

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[2018-01-07 05:21:29]
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
Attachment Deleted.
imageAUDJPY 4 Min #4 2018-01-07 07_04_52.005.png / V - Attached On 2018-01-07 05:20:40 UTC - Size: 96.31 KB - 504 views
[2018-01-09 12:52:38]
Sierra Chart Engineering - Posts: 104368
We are quite confident the calculations are correct if you go through the formulas documented here and manually verify this by doing the calculations manually in relation to the data:
Volume Weighted Average Price (VWAP) - Rolling with Standard Deviation Lines

We are running a test though to verify that. Allow about a week or two.
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: 2018-01-09 12:53:00
[2018-01-09 16:50:39]
User995923 - Posts: 64
I attached 2 charts comparing the STDEV of the 2day normal VWAP study with the SDEV of the rolling 2day study (option: trading days)

The results are too different to the point I cannot trust the SDEV bands of the rolling indicator.

Maybe you are missing a minor detail?
imageETHUSD-BITFINEX 5 Min #3 2018-01-09 18_45_24.613.png / V - Attached On 2018-01-09 16:50:04 UTC - Size: 104.67 KB - 347 views
imageEURJPY 5 Min #3 2018-01-09 18_39_50.222.png / V - Attached On 2018-01-09 16:50:16 UTC - Size: 88.44 KB - 342 views
Attachment Deleted.
[2018-01-10 19:22:01]
Sierra Chart Engineering - Posts: 104368
We will be looking this over. Still allow us a week or two.

One thing you do not realize is that the VWAP line/calculation, the rolling standard deviation lines are relying on, is actually not visible. It is calculated in the background.

There may or may not be an issue here. We will be reviewing 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
Date Time Of Last Edit: 2018-01-10 19:23:12
[2018-01-31 03:18:44]
User995923 - Posts: 64
Hello

Is there any update on this?
[2018-01-31 03:51:40]
Sierra Chart Engineering - Posts: 104368
We apologize for the delay. We are working on verifying the result now. We will let you know by the end of the day tomorrow.
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
[2018-02-02 02:01:42]
Sierra Chart Engineering - Posts: 104368
There does appear to be a small calculation/reset problem during the transition from one day to the next that we still need some time to determine. Hopefully will be done today.
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: 2018-02-02 02:02:08
[2018-02-02 04:40:29]
Sierra Chart Engineering - Posts: 104368
This is now resolved. Update Sierra Chart following these instructions here:
Software Download: Fast Update
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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