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Post From: VWAP Rolling not updating

[2017-05-04 11:13:15] Link To Thread - Link To Post [Go To First Post]
psavi73 - Posts: 39
As regards the problem of updating the values of the rolling VWAP far from where they should be, I've made some tests with a 1 minute bar period and the following input data for the function: Input Data: Last Base On Underlying Data: Yes Time Period Type: Days - Trading Days Time Period Lenght=Number of Days to Calculate= from 1 to 7 Exclude Weekends in Date Look Back: No Minimum Required Time Period as Percent for Skip Days: 25 Standard Deviation Bands are ignored, i.e. only VWAP is plotted. Chart1- Time Period Lenght=Number of Days to Calculate= 1 http://www.sierrachart.com/image.php?Image=1493896202623.png Rolling VWAP is correctly plotted (every point is where it should be). Chart2- Time Period Lenght=Number of Days to Calculate= 2 http://www.sierrachart.com/image.php?Image=1493896226993.png Rolling VWAP is correctly plotted (every point, i.e. minute, is present). Chart3- Time Period Lenght=Number of Days to Calculate= 3 http://www.sierrachart.com/image.php?Image=1493896252237.png Rolling VWAP is correctly plotted (every point is where it should be). Chart4- Time Period Lenght=Number of Days to Calculate= 4 http://www.sierrachart.com/image.php?Image=1493896275456.png Rolling VWAP is correctly plotted (every point is where it should be). Chart5- Time Period Lenght=Number of Days to Calculate= 5 http://www.sierrachart.com/image.php?Image=1493896302690.png The points are plotted far from where they should be. Chart6- Time Period Lenght=Number of Days to Calculate= 6 http://www.sierrachart.com/image.php?Image=1493896330398.png The points are plotted far from where they should be. Chart7- Time Period Lenght=Number of Days to Calculate= 7 http://www.sierrachart.com/image.php?Image=1493896357243.png The points are plotted far from where they should be. From theese results (failures starts when the time period is => 5 days) I can suppose that the problem is due to weekends (the results are the same also with "Exclude Weekends in Date Look Back"= Yes).