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Direct MessagesDate/Time: Sun, 05 May 2024 19:02:34 +0000
VWAP Study calculation error or mislabeling?
View Count: 1128
| [2019-07-30 06:02:29] |
| User50927 - Posts: 90 |
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I ran a comparison between the SD bands generated with your VWAP study vs. the user-contributed ECIVwapV1.4 study and they didn't match. Turns out that what they labeled as "stddev" in their study corresponds to the output for your variance in the VWAP study. Now I plan to use your study because I trust the source, but I first need to rule out the possibility that someone in your company didn't switch the labels in the "Settings and Inputs" window by accident. So when you get a chance, can you please double check that part of the code to make sure that the SD in your VWAP study corresponds to the actual SD instead of the variance? Thanks.
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| [2019-07-30 06:33:13] |
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Yes we will check on 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 |
| [2019-07-30 23:07:48] |
| User50927 - Posts: 90 |
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I really hate to this and I never have before, but is there any way you could possibly prioritize my quality control request. I use the VWAP study on multiple charts every day and I literally can't trade or do anything without it! Please.
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| [2019-07-31 15:35:41] |
| John - SC Support - Posts: 31379 |
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We have verified that the Standard Deviation bands within the Volume Weighted Average Price is, in fact, the Standard Deviation, as it is calculating it by taking the square root of the Variance. And the Variance is also being correctly calculated.
For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2019-08-04 19:58:58] |
| SC Support Tom - Posts: 450 |
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When the St. Deviation Band Calculation Method Input is set to VWAP Variance, a volume-weighted Standard Deviation of the Price data is computed. One thing to note is that the VWAP is used in place of the Mean in that calculation. When that same Input is set to Standard Deviation, then the Standard Deviation of the VWAP (not the Price) is computed.
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