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Yeah that's the beginning of 7/25. That wouldn't be too hard to add. good. Plot a revised chart when your done. Actually, I thought about it a bit more. You should try to plot it both as VWAP minus avg price and then VWAP minus max price. The max may be a bit extreme. Didn't realize...

Ok, chart is looking much better. Few issues problems to iron out. 1) Is that 7/25 marker at the bottom of the 2 period window the end of the 1st 24 hour window? I'll assume it is for the moment. Couple of funny things, which may be related to your question... 2) That large red...

B.I.N.G.O. rather than plot VWAP +/- stdev(VWAP) create a variable called diff Let diff = VWAP - P The variable gets updated at each step as VWAP and Price get updated. then calculate stdev(diff) add +/- 3 of these stdev pts to each VWAP pt. in your data series. Overlay that...

I don't understand. If you were able to calculate/code stdev function, you should at least be able to describe how it is being applied to the data.:confused: Did you just do stdev of VWAP data alone? That makes no sense. I think I might already know the problem, but let's see the plot...

start with the pics (windows of VWAP and +/-3 stdev bands over several full periods). I'd prefer the actual data pts. and calculation they use to get stdev (you can't plot this). Although, if you can't look under the hood (at how they calculate stdev) and make some mods, it's going to be kind...

Ok. Now that I am seeing the entire windows, I would agree that looks correct. Notice the VWAP remained relatively constant after regular trading hours as I expected. What caused the huge gap (between price and VWAP), however, was the huge gap in price after the closing periods. So your...

Ok, now we are talking. Notice the 1st data point in your VWAP series is ~p1 as I surmised (where they start each window at midnight). So far, so good. The VWAP even looks good through the rest of the ride side of the chart. The left side still has too big of a gap, however. Your argument...

BTW. I was assuming that your 1st bar is the first bar of the day you are plotting (can't see the numbers at the bottom too well). If not, please repost with the 1st bar of the day shown.

Thinks about it this way. The definition for VWAP at any time n, is the series: sum of price*vol / sum vol over n steps. Well, for the very 1st tick of data (lets call that tick n= 1), you should be able to approximate it as just VWAP ~ P1*V1/V1 at time n= 1. If you agree with that, then...

NP. Your hints earlier (along with Equalizer) helped me figure out what my original problem was. Think of it as just a fixed window function of a time series. In my case, I happened to use days, and divide the total period to apply the function to into two equally spaced windows (periods)...

Iron Fist, looking at your plot, I don't think the problem is how you are caclulating the standard deviations. Rather it is in how you are calculating VWAP. That doesn't look like any kind of "average" of the price series you are showing. I showed the VWAP equation on an earlier post and it's...

Yeah, thanks for pointing out the same reference I linked to way back on the 2nd post. The whole point of the original posters question (as I understand it) is how to execute the exact methodology, which is not too clear on this site's example. Here's the total time series divided into...

Think this is getting closer. Rather than use a fixed average, here it uses a running average over time. In this example, time is the total period of days I used. This is on daily data, but you would just change the data frequency to intraday to extend this to an intraday period and...

yeah, that could be what i was originally worried about. I used the simple equation on the 1st site I saw (which is pretty much a moving price-vol weighted avg., and that is the formula they showed for VWAP). Here I used the equation they gave sum(Price*Vol)/sum(Vol) over n periods (in my...

Most people use stdev function in whatever program because it is simpler. And the above methodology to calculate std. dev is not correct. You do not take the square root of each new value (data pt - mean), you square each new value (of data pt - mean) (i.e. raise to power of two). Simple...

It was a simple mistake the 1st time. Since there is a 20 period delay on the price-vol averaged data, I somehow forgot to grab equal amounts of data from all the columns. I.e. I didn't include the non-delayed bars in the price column (causing it to compress on the graph). Simple fluke...

oops... forgot to pull the price back into alignment with the moving avg. (VWAP) data. Updated.

ok, took a crack at it. Didn't need distribution after all (if I'm interpreting correctly). Here's 20 period VWAP with +/-3sigma bands. Look correct? If it does, you can just change the input data to intraday.:)

I'd have to see some data to try to apply it. But from what I can see, it looks similar to how bollinger bands are calculated. 1st find the VWAP for all your price series points and put it in a separate column. Then for each price, subtract the corresponding VWAP at that point. Once...

If you don't fully understand what you are talking about, I suggest you don't try to interject your opinions and arrogance. Oddly, I thought you were one of the FEW competent posters in this area -- scratch that.