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Direct MessagesDate/Time: Sun, 19 May 2024 06:58:35 +0000
[Programming Help] - VWAP behaviour during replay
View Count: 681
| [2018-02-11 19:08:12] |
| bala - Posts: 74 |
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Here is the situation. 1.Creating VWAP and std bands on a 1 tick chart . Creating signals based on standard deviations. 2. I check the chart for standard deviations. 2. I run a auto replay and back test. The standard deviation results are totally different. 3. The standard deviations computed and displayed after the auto replay ( both bar based replay and standard replay) are VASTLY DIFFERENT from standard deviations computed on a chart by a study before the replay! (example: Before a test from the chart I should get 6 signals. Because the autoreplay produces different std values it produces 17 signals.). I don't know if I can trust the chart or the backtest! Is this normal? can VWAP be used on tick charts? Thanks |
Private File |
| [2018-02-12 18:10:18] |
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What is the exact name of the VWAP study you see listed in Analysis >> Studies that you are using? We ran a test and we do not observe any problem like this. Maybe it is not a Sierra Chart provided study. 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: 2018-02-12 18:10:29
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| [2018-02-13 17:30:35] |
| bala - Posts: 74 |
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It is a custom study where moving averages intersect SD bands - very simple. The SD lines crossovers by price. The study is fine (including the SD values ) as are the indicators. The problem occurs when I run the replay. The SD bands during replay are entirely different. If you don't encounter the problem its ok!! |
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