Support Board
Date/Time: Sat, 18 Jan 2025 12:58:15 +0000
Post From: VWAP behaviour during replay
| [2018-02-11 19:08:12] |
| bala - Posts: 74 |
|
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 |
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