Support Board
Date/Time: Wed, 19 Mar 2025 10:52:07 +0000
Post From: Volume Weighted Average Price -std deviation settings
| [2022-10-11 19:28:26] |
| User173366 - Posts: 11 |
|
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 |