How to calculate VWAP deviation bands?

A

abotarga

In many charting platforms you have the option to set upper and lower bands for VWAP. In think or swim specifically you get:

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This is with a configuration of VWAP (-2.0, 2.0, DAY).

How are these bands calculated? I'm able to understand and calculate VWAP, but I can't find any formulas for calculating these upper and lower bands.
 

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abotarga said:
Yes, but how are they calculated?
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lol.

You have all of the information you need in the statement "VWAP +/- 2 standard deviations". If you can't figure it out from there, perhaps you should stick to using the premade indicators.

I'd google VWAP, then I'd google standard deviation.
 
This link is not clear: https://www.tradingtechnologies.com...finitions/volume-weighted-average-price-vwap/

Note: For the VWAP standard deviation calculation, X represents the VWAP value calculated at each bar and x is the average of the VWAP since the session start. The standard deviation will be zero on the first bar of each session since ( xi - x ) will be zero and N is one.
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This is confusing. I interpret this as σ being the standard deviation of average of VWAP minus VWAP. But this gives me garbage numbers that don't match what's in thinkorswim.

What am I doing wrong?
 

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gaussian said:
lol.

You have all of the information you need in the statement "VWAP +/- 2 standard deviations". If you can't figure it out from there, perhaps you should stick to using the premade indicators.

I'd google VWAP, then I'd google standard deviation.
More...

This IS a premade indicator. It's available on just about every charting platform I know. I'm asking how it's calculated.

I've already been calculating standard deviation of multiple values related to VWAP but none of them match up to thinkorswim. I've been trying to figure this out for a while and have read lots of contradicting resources online, and I'm still struggling.
 
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