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Let me make sure I have this right. The range of values which I'm using to calculate the SD is going to be every candle so far since the new VWAP began, right? So I can't just use a fixed value n for this calculation. Assuming that's the case I'm only going to be able to do this for fixed...

One of my family members is being given a sizeable amount of money to invest but the stipulation is that it has to be invested in one of a few choices of CD. Some of them are normal CDs. Some of them are Absolute Return CDs. I've never heard of this before. Basically it works like this...

i'll do that in a bit. i'm away now (posting from my blackjack)

So it needs to calculate the difference between price and VWAP over x number of periods?

The STDEV calculation they use is the normal one. I coded it myself and got the same values a I did when I used the built-in SD function. I'll give you a huge chart using SDs of the VWAP but it won't really be noticable because they hug the VWAP so tightly. Hang on. Hopefully ET will...

I'm not entirely sure what they use. If I can find this info out I can plot it in a study. Otherwise you'll just get pics of that other stuff you asked for.

wat? Why can't I just use the VWAP indicator in my charting package?

Agreed. But I never know if it's going to turn into 100 ticks after the 10 tick drawdown, or if the sell signal won't be generated until it's at -20 ticks. I have no way of predicting potential profit (ie. +100 vs. -20) before I take a position.

Reversion to mean traders would have been DESTROYED yesterday (7/24).

Here. I'll attach a 15 min chart of a few days in this post, and a 1500 constant volume chart of a few days in the next post.

I would do that. Am I allowed to have volume on the chart? I have no idea how to read volume. I've read a thousand posts here where people show how volume analysis impacts their price analysis and decisions but I never understand any of it. Some people say "increasing volume means the trend...

I don't really use crossovers. Sometimes when using MAs and their slopes there is a lot of information to process so I write little studies to express all that information in binary. For example, this one gives yes/no information for 6 different pieces of information. From top to bottom...

Like shifting them forward? Why?

Hi, welcome to ET. I don't think conventional charting programs can do what you're asking. You want something running constant simulations and giving you a result like "the price has to change by x amount for there to be a crossover." It doesn't really work that way unless you want to...

The left side of that chart was around 11am CST. VWAP calculation in SierraChart starts at midnight (based on my suggestion they're going to allow that to be modified in a future release). On this 5min YM chart you can see that VWAP resets to the first trade at midnight CST when it rolls over.

Can you post a link to that page? I was unable to find it on their website.

I just read this entire thread. It was awesome. I'm in the same place cm69 was when he made this thread, except instead of normal indicators that appear under the chart, I seem to have a fetish for the different MAs and their slopes. I'm obsessed with setting the colors of my candlesticks...

I'm using the VWAP study in SierraChart. I'm pretty sure it's correct.

Even someone as bad at trading as me can make (a little) money today!

I don't. But I tried plotting BBands of the vwap and got the same narrow useless junk that I got when I tried plotting SDs of the vwap.