Support Board
Date/Time: Sat, 18 Jan 2025 10:58:48 +0000
Problems with rolling VWAP standard deviations.
View Count: 2403
| [2018-01-07 05:21:29] |
| User995923 - Posts: 64 |
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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.  AUDJPY 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 - 534 views |
| [2018-01-09 12:52:38] |
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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
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| [2018-01-09 16:50:39] |
| User995923 - Posts: 64 |
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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? |
| ETHUSD-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 - 385 views EURJPY 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 - 376 views Attachment Deleted. |
| [2018-01-10 19:22:01] |
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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
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| [2018-01-31 03:18:44] |
| User995923 - Posts: 64 |
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Hello Is there any update on this? |
| [2018-01-31 03:51:40] |
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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] |
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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
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| [2018-02-02 04:40:29] |
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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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