Can we use the existing indicator to our personal program

• 08/10/2023 at 4:21 PM #218913
  Annchow8052014

  Hello all,

  I am a new comer, and I would like to use VWAP  band for my personal indicator, but find that there is some difference in data when calculating the standard deviation of the VWAP, my formula is as follow:

  VWAP= SUMMATION[60](volume*typicalprice)/SUMMATION[60](volume)

  The calcuated VWAP is the same as the default VWAP band (60Min)

  However, when I calculate the standard deviation and the VWAP band, it is difference from the default VWAP band, please help me to figure out this problem with thanks.

  SD=std[60](typicalprice[60]-vwap[60])

  Or can we use the default VWAP band to my indicator, thanks in advance.

  

  Annchow8052014

  Participant

  Topics: 3

  Replies: 15

  Been thanked: 2 times
  08/10/2023 at 5:17 PM #218914
  JS

  Hi and welcome,

   

  You use the formula of the standard deviation incorrectly, to calculate the standard deviation of the VWAP you must use the formula like this:

   

  SD=std[60](VWAP)

  

  JS

  Participant

  Topics: 26

  Replies: 1701

  Been thanked: 768 times
  08/11/2023 at 1:32 AM #218923
  Annchow8052014

  Hi JS,

   

  Thanks for your prompt reply.

  However, after adjustment, the result is still different from the default VWAP band result, can you give me further advise?

  

  Annchow8052014

  Participant

  Topics: 3

  Replies: 15

  Been thanked: 2 times
  08/11/2023 at 9:14 AM #218928
  JS

  Unfortunately, there are many different calculations in circulation, the ones where the bands are calculated with the standard deviation can be found here:

  https://www.prorealcode.com/prorealtime-indicators/vwap-bands/

  I think the standard VWAP is not calculated with the standard deviation, even though it says, but with this formula:

  sd = SUMMATION[60](max(abs(high-vwap),abs(vwap-low)))/60

  

  JS

  Participant

  Topics: 26

  Replies: 1701

  Been thanked: 768 times
  08/11/2023 at 4:51 PM #218945
  Annchow8052014

  Hi JS,

  Thanks for your prompt response and help. Unfortunately, both result of your formula and the other circulated formula are not the same as the standard VWAP Band result.

  I think the main reason of the difference is the formula of the std from the ProBuilder, and someone also said that there is a multiplier that need to multiple, it is difficult for us to follow.  On the hand, are there any method that we can extract the calculation from the default VWAP band to our program, thanks in advance.

   

  

  Annchow8052014

  Participant

  Topics: 3

  Replies: 15

  Been thanked: 2 times
  08/11/2023 at 6:50 PM #218954
  JS

  Hi,

  The calculation of the internal (Default) VWAP is not known to me and I don’t think it’s public…

  

  JS

  Participant

  Topics: 26

  Replies: 1701

  Been thanked: 768 times
  08/12/2023 at 4:02 AM #218959
  Annchow8052014

  Hi JS,

  Noted with thanks for your support.

  1 user thanked author for this post.

  JS

  

  Annchow8052014

  Participant

  Topics: 3

  Replies: 15

  Been thanked: 2 times
• Author
  Posts