Support Board
Date/Time: Wed, 19 Mar 2025 10:34:48 +0000
Volume Weighted Average Price -std deviation settings
View Count: 1106
| [2022-10-11 19:28:26] |
| User173366 - Posts: 11 |
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Hello Support Team. About the study "Volume Weighted Average Price" there's something wrong in the way I'm setting the 1st Standard Deviation Bands. I've set "Std. Deviation Band Calculation Method" to "Standard Deviation" and "Band 1 Std. Deviation Multiplier/Fixed Offset" to 1. However the std. deviation band is too narrrow and is barely encompassing any prices, which doesn't make sense (see image below). As a reference that makes sense to me, I included in green color the study "Volume by Price". I set "Value Area Percentage" to 70 and "Calculate Developing POC and Value Area" to "Yes". I've read the "Volume Weighted Average Price" documentation, and the calculations for both the variance and the standard deviation are correct. However if you look at the image below the day was very balanced and yet the VWAP +/- 1s is extremely narrow. In a balanced day a 1 std deviation band should encompass between 50% to 80% of the price points. That's why I included the VbP study, these green lines accurately reflect the balance area of that day. Logic tells me that the VWAP +/- 1s band should be roughly similar to the VbP Value Area lines. Am I missing some settings in the VWAP study? Can you help me? Thank you https://www.sierrachart.com/image.php?Image=166551415543.png (settings to VWAP band in attached image) |
 Settings VWAP bands.png / V - Attached On 2022-10-11 19:01:30 UTC - Size: 70.83 KB - 148 views |
| [2022-10-11 20:37:21] |
| John - SC Support - Posts: 38782 |
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In a Gaussian distribution, 1 standard deviation covers approximately 68% of the data points. From what we see in your image, this looks to be about correct. Keep in mind VAH and VAL are calculated very differently.
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| [2022-10-12 03:25:01] |
| User173366 - Posts: 11 |
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Hi John. I just used the Spreadsheet Study with "Output Volume at price data" set to "yes" to further analyze the data in Excel. I found out that in this balanced day the data points that were inside the 1 Std Deviation bands were 548,334 contracts out of 1,987,385 total. Which is 27.6%. This number is congruent with the very narrow band that you can see in the chart. I'd be happy to share my Excel file with you. Could you look further into this issue? I think this could be concrete evidence that something's amiss. Thank you. |
| [2022-10-12 14:50:00] |
| John - SC Support - Posts: 38782 |
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It is not as simple as the number of data points. The calculation for the Standard Deviation is defined at the following link: Volume Weighted Average Price (VWAP) with Standard Deviation Lines: Standard Deviation Band Calculation These have been reviewed in the past and are accurate. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2022-10-14 00:05:26] |
| User173366 - Posts: 11 |
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Ok John noted the accuracy of past reviews. Thanks.
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