Jump to content

Welcome to the new Traders Laboratory! Please bear with us as we finish the migration over the next few days. If you find any issues, want to leave feedback, get in touch with us, or offer suggestions please post to the Support forum here.

  • Welcome Guests

    Welcome. You are currently viewing the forum as a guest which does not give you access to all the great features at Traders Laboratory such as interacting with members, access to all forums, downloading attachments, and eligibility to win free giveaways. Registration is fast, simple and absolutely free. Create a FREE Traders Laboratory account here.

dbntina

VWAP Indicator with 1SD and 2SD bands

Recommended Posts

Managed to do something abt the bands in cqg, however may i ask if the bands recalculation period i set to 28 periods for 2 min periods, would it be more accurate?

 

i noted that if i set it to recalculate per 2 min, my chart becomes very jerky and messy, and setting it to a longer period per recalculation makes it smoother.

 

 

Is it wrong?

 

BTW, i got a very impt question, 2 STD DEV is 2 X 1STD DEV right? just wanan clarify.

cos this means if i managed to calcualte 1 std dev, 2 or 3 std dev shld nt be a prob

Share this post


Link to post
Share on other sites
Managed to do something abt the bands in cqg, however may i ask if the bands recalculation period i set to 28 periods for 2 min periods, would it be more accurate?

 

i noted that if i set it to recalculate per 2 min, my chart becomes very jerky and messy, and setting it to a longer period per recalculation makes it smoother.

 

 

Is it wrong?

 

BTW, i got a very impt question, 2 STD DEV is 2 X 1STD DEV right? just wanan clarify.

cos this means if i managed to calcualte 1 std dev, 2 or 3 std dev shld nt be a prob

 

Load less bars (so maybe only a day or two). If you can set to only calculate on bar close (I guess thats what re-calculate every 2 minutes will do in CQG) that should improve things. Calculating every 2 minutes dosent present a problem in most charting packages, it should not in CQG either. 28 period recalculation ios going to be quite a bit less acurate.

 

Yes 2SD is 2*1SD.

Share this post


Link to post
Share on other sites

hmmmmm a bit of dilemma, i use 1 period for 2 min charting is possible, but the charting turns out terribily jerky ...... but it seems to smooth out when i use longer periods of calcualtion for SD bands.....

Share this post


Link to post
Share on other sites

I dont use CQG but SD bands on weighted data are notoriously processor intensive. Having said that running the calculations every 2 minutes is a snip for most programs (Ensign, Ninja, Tradestation etc.). I wrote my own tradestation indicators that use a non iterative algorithm so no problems with jerkiness even tick by tick on a months worth of data.

 

How many days data are you loading ? If you are only re-calculating every 2 minutes you should have no problems....I would contact CQG as I mentioned before.

Share this post


Link to post
Share on other sites

no no, by jerky i mean the bands stick to each bar in a very skewy way.

 

I shd attach a screenshot for u to see... arugh

 

The cqg person didnt really understand what i was trying to say...

 

sigh

Share this post


Link to post
Share on other sites
no no, by jerky i mean the bands stick to each bar in a very skewy way.

 

I shd attach a screenshot for u to see... arugh

 

The cqg person didnt really understand what i was trying to say...

 

sigh

 

I am not sure either. A screen shot and a precise description of what you are doing would be helpful.

Share this post


Link to post
Share on other sites

Can someone, or Dbtina, pls pls help me check if anything needs to be modified? I had the code below sent and i am using cqg

 

 

 

day:= BarsSince(BarIx(@,StartOf Day) = 0,1,10000)+1;

day2:= BarsSince(BarIx(@,StartOf Session) = 0,1,10000)+1;

priceX:= IF(price = 1, Close(@), IF(price = 2, High(@), IF(price = 3, Low(@), IF(price = 4, Mid(@), IF(price = 5, HLC3(@), IF(price = 6, Avg(@), IF(price=7, Open(@), 0) ) ) ) ) ) ) ;

vol:= IF( HasVal(Vol(@)) AND Vol(@) > 0, Vol(@), 1) ;

a:= Sum(priceX* vol,day)/ Sum(vol,day);

b:= Sum(priceX* vol,day2)/ Sum(vol,day2);

c1:= Sum(priceX* vol,Period)/ Sum(vol,Period);

VWAP:= IF(DaySessionPeriod = 1, a, IF(DaySessionPeriod = 2, b, IF(DaySessionPeriod = 0, c1, a) ) );

 

DAYSES:= STDDEV(@,day)/100;

SES:= STDDEV(@,day2)/100;

ANY:= STDDEV(@,Period);

STD:=IF(DaySessionPeriod = 1, DAYSES, IF(DaySessionPeriod = 2, SES, IF(DaySessionPeriod = 0, ANY, ANY) ) );

R:=VWAP+((STD*DEV3));

Share this post


Link to post
Share on other sites

Here is the full curves for CQG. Could any1 please take a look to see if anything is missing?

 

I noted that the std deviation are all constant from each other so there is something wrong but i do not know what.

 

HELP !!!

 

 

Deviation 3 Curve:

 

day:= BarsSince(BarIx(@,StartOfDay) = 0,1,10000)+1;

day2:= BarsSince(BarIx(@,StartOfSession) = 0,1,10000)+1;

priceX:= IF(price = 1, Close(@), IF(price = 2, High(@), IF(price = 3, Low(@), IF(price = 4, Mid(@), IF(price = 5, HLC3(@), IF(price = 6, Avg(@), IF(price=7, Open(@), 0) ) ) ) ) ) ) ;

 

vol:= IF( HasVal(Vol(@)) AND Vol(@) > 0, Vol(@), 1) ;

 

a:= Sum(priceX* vol,day)/ Sum(vol,day);

b:= Sum(priceX* vol,day2)/ Sum(vol,day2);

c1:= Sum(priceX* vol,Period)/ Sum(vol,Period);

 

VWAP:= IF(DaySessionPeriod = 1, a, IF(DaySessionPeriod = 2, b, IF(DaySessionPeriod = 0, c1, a) ) );

 

 

 

DAYSES:= STDDEV(@,day)/100;

SES:= STDDEV(@,day2)/100;

ANY:= STDDEV(@,Period);

STD:=IF(DaySessionPeriod = 1, DAYSES, IF(DaySessionPeriod = 2, SES, IF(DaySessionPeriod = 0, ANY, ANY) ) );

 

R:=VWAP+((STD*DEV3));

 

Deviation 2 Curve:

 

day:= BarsSince(BarIx(@,StartOfDay) = 0,1,10000)+1;

day2:= BarsSince(BarIx(@,StartOfSession) = 0,1,10000)+1;

priceX:= IF(price = 1, Close(@), IF(price = 2, High(@), IF(price = 3, Low(@), IF(price = 4, Mid(@), IF(price = 5, HLC3(@), IF(price = 6, Avg(@), IF(price=7, Open(@), 0) ) ) ) ) ) ) ;

 

vol:= IF( HasVal(Vol(@)) AND Vol(@) > 0, Vol(@), 1) ;

 

a:= Sum(priceX* vol,day)/ Sum(vol,day);

b:= Sum(priceX* vol,day2)/ Sum(vol,day2);

c1:= Sum(priceX* vol,Period)/ Sum(vol,Period);

 

VWAP:= IF(DaySessionPeriod = 1, a, IF(DaySessionPeriod = 2, b, IF(DaySessionPeriod = 0, c1, a) ) );

 

DAYSES:= STDDEV(@,day)/100;

SES:= STDDEV(@,day2)/100;

ANY:= STDDEV(@,Period);

STD:=IF(DaySessionPeriod = 1, DAYSES, IF(DaySessionPeriod = 2, SES, IF(DaySessionPeriod = 0, ANY, ANY) ) );

 

VWAP+((STD*DEV2));

 

Deviation 1 Curve:

 

day:= BarsSince(BarIx(@,StartOfDay) = 0,1,10000)+1;

day2:= BarsSince(BarIx(@,StartOfSession) = 0,1,10000)+1;

priceX:= IF(price = 1, Close(@), IF(price = 2, High(@), IF(price = 3, Low(@), IF(price = 4, Mid(@), IF(price = 5, HLC3(@), IF(price = 6, Avg(@), IF(price=7, Open(@), 0) ) ) ) ) ) ) ;

 

vol:= IF( HasVal(Vol(@)) AND Vol(@) > 0, Vol(@), 1) ;

 

a:= Sum(priceX* vol,day)/ Sum(vol,day);

b:= Sum(priceX* vol,day2)/ Sum(vol,day2);

c1:= Sum(priceX* vol,Period)/ Sum(vol,Period);

 

VWAP:= IF(DaySessionPeriod = 1, a, IF(DaySessionPeriod = 2, b, IF(DaySessionPeriod = 0, c1, a) ) );

 

DAYSES:= STDDEV(@,day)/100;

SES:= STDDEV(@,day2)/100;

ANY:= STDDEV(@,Period);

STD:=IF(DaySessionPeriod = 1, DAYSES, IF(DaySessionPeriod = 2, SES, IF(DaySessionPeriod = 0, ANY, ANY) ) );

 

VWAP+((STD*DEV1));

 

Vwap:

 

day:= BarsSince(BarIx(@,StartOfDay) = 0,1,10000)+1;

day2:= BarsSince(BarIx(@,StartOfSession) = 0,1,10000)+1;

priceX:= IF(price = 1, Close(@), IF(price = 2, High(@), IF(price = 3, Low(@), IF(price = 4, Mid(@), IF(price = 5, HLC3(@), IF(price = 6, Avg(@), IF(price=7, Open(@), 0) ) ) ) ) ) ) ;

 

vol:= IF( HasVal(Vol(@)) AND Vol(@) > 0, Vol(@), 1) ;

 

a:= Sum(priceX* vol,day)/ Sum(vol,day);

b:= Sum(priceX* vol,day2)/ Sum(vol,day2);

c1:= Sum(priceX* vol,Period)/ Sum(vol,Period);

 

VWAP:= IF(DaySessionPeriod = 1, a, IF(DaySessionPeriod = 2, b, IF(DaySessionPeriod = 0, c1, a) ) );

 

DAYSES:= STDDEV(@,day)/100;

SES:= STDDEV(@,day2)/100;

ANY:= STDDEV(@,Period);

STD:=IF(DaySessionPeriod = 1, DAYSES, IF(DaySessionPeriod = 2, SES, IF(DaySessionPeriod = 0, ANY, ANY) ) );

 

VWAP

 

- Deviation 1:

 

day:= BarsSince(BarIx(@,StartOfDay) = 0,1,10000)+1;

day2:= BarsSince(BarIx(@,StartOfSession) = 0,1,10000)+1;

priceX:= IF(price = 1, Close(@), IF(price = 2, High(@), IF(price = 3, Low(@), IF(price = 4, Mid(@), IF(price = 5, HLC3(@), IF(price = 6, Avg(@), IF(price=7, Open(@), 0) ) ) ) ) ) ) ;

 

vol:= IF( HasVal(Vol(@)) AND Vol(@) > 0, Vol(@), 1) ;

 

a:= Sum(priceX* vol,day)/ Sum(vol,day);

b:= Sum(priceX* vol,day2)/ Sum(vol,day2);

c1:= Sum(priceX* vol,Period)/ Sum(vol,Period);

 

VWAP:= IF(DaySessionPeriod = 1, a, IF(DaySessionPeriod = 2, b, IF(DaySessionPeriod = 0, c1, a) ) );

 

DAYSES:= STDDEV(@,day)/100;

SES:= STDDEV(@,day2)/100;

ANY:= STDDEV(@,Period);

STD:=IF(DaySessionPeriod = 1, DAYSES, IF(DaySessionPeriod = 2, SES, IF(DaySessionPeriod = 0, ANY, ANY) ) );

 

VWAP - ((STD*DEV1));

 

-Deviation 2:

 

day:= BarsSince(BarIx(@,StartOfDay) = 0,1,10000)+1;

day2:= BarsSince(BarIx(@,StartOfSession) = 0,1,10000)+1;

priceX:= IF(price = 1, Close(@), IF(price = 2, High(@), IF(price = 3, Low(@), IF(price = 4, Mid(@), IF(price = 5, HLC3(@), IF(price = 6, Avg(@), IF(price=7, Open(@), 0) ) ) ) ) ) ) ;

 

vol:= IF( HasVal(Vol(@)) AND Vol(@) > 0, Vol(@), 1) ;

 

a:= Sum(priceX* vol,day)/ Sum(vol,day);

b:= Sum(priceX* vol,day2)/ Sum(vol,day2);

c1:= Sum(priceX* vol,Period)/ Sum(vol,Period);

 

VWAP:= IF(DaySessionPeriod = 1, a, IF(DaySessionPeriod = 2, b, IF(DaySessionPeriod = 0, c1, a) ) );

 

DAYSES:= STDDEV(@,day)/100;

SES:= STDDEV(@,day2)/100;

ANY:= STDDEV(@,Period);

STD:=IF(DaySessionPeriod = 1, DAYSES, IF(DaySessionPeriod = 2, SES, IF(DaySessionPeriod = 0, ANY, ANY) ) );

 

VWAP - ((STD*DEV2));

 

-Deviation 3:

 

day:= BarsSince(BarIx(@,StartOfDay) = 0,1,10000)+1;

day2:= BarsSince(BarIx(@,StartOfSession) = 0,1,10000)+1;

priceX:= IF(price = 1, Close(@), IF(price = 2, High(@), IF(price = 3, Low(@), IF(price = 4, Mid(@), IF(price = 5, HLC3(@), IF(price = 6, Avg(@), IF(price=7, Open(@), 0) ) ) ) ) ) ) ;

 

vol:= IF( HasVal(Vol(@)) AND Vol(@) > 0, Vol(@), 1) ;

 

a:= Sum(priceX* vol,day)/ Sum(vol,day);

b:= Sum(priceX* vol,day2)/ Sum(vol,day2);

c1:= Sum(priceX* vol,Period)/ Sum(vol,Period);

 

VWAP:= IF(DaySessionPeriod = 1, a, IF(DaySessionPeriod = 2, b, IF(DaySessionPeriod = 0, c1, a) ) );

 

DAYSES:= STDDEV(@,day)/100;

SES:= STDDEV(@,day2)/100;

ANY:= STDDEV(@,Period);

STD:=IF(DaySessionPeriod = 1, DAYSES, IF(DaySessionPeriod = 2, SES, IF(DaySessionPeriod = 0, ANY, ANY) ) );

 

VWAP - ((STD*DEV3));

Share this post


Link to post
Share on other sites

Why are you using two different ID's to post the same messages over and over on different threads?

 

 

Here is the full curves for CQG. Could any1 please take a look to see if anything is missing?

 

I noted that the std deviation are all constant from each other so there is something wrong but i do not know what.

 

HELP !!!

 

 

 

Here is the full curves for CQG. Could any1 please take a look to see if anything is missing?

 

I noted that the std deviation are all constant from each other so there is something wrong but i do not know what.

 

HELP !!!

 

Share this post


Link to post
Share on other sites
Why are you using two different ID's to post the same messages over and over on different threads?

 

that's why I don't bother.

Edited by Tams

Share this post


Link to post
Share on other sites
that's why I don't bother.

 

I tried despite the multiple posts, but I think I am done. Of course CQG would be the place to go.

 

Perhaps a mod could clean the other threads?

Share this post


Link to post
Share on other sites
Here i am , sincerely asking for help and u guys are asking and scolding me abt rules this n that....

 

 

sigh..... u guys sure r strange

 

Everyone should drop what they are doing and help you? Right ho I'll spend this week learning the syntax to CQG's scripting language. Maybe you should learn to help yourself. Also maybe you should have posted all the information and steps you had taken at the start.

 

1) Check the thread that discusses the algorithm in depth. 2) send that algorithm and pertinent comments to CQG 3) Ask them to check they have implemented the algorithm correctly. 4) Profit. That's how a Ferengi would do it anyway.

 

CQG is a premium service, I would be p*ss*d off if I wasn't getting premium support. Thanking people that have tried to help rather than insulting them is probably a good plan too. Oh and all spamming your half arsed pleas for help will likely yield worse results, it 'turned off' Tams who is quite possibly one of the people who could have helped.

Share this post


Link to post
Share on other sites

perhaps its due to racking my head over so many days and cant finding any solution so just feeling a bit frustrated. Didnt mean to make it sound the way it did.

 

 

Apologies once again. I try figure it out myself

 

Hope no offence taken anyway

Share this post


Link to post
Share on other sites

Join the conversation

You can post now and register later. If you have an account, sign in now to post with your account.
Note: Your post will require moderator approval before it will be visible.

Guest
Reply to this topic...

×   Pasted as rich text.   Paste as plain text instead

  Only 75 emoji are allowed.

×   Your link has been automatically embedded.   Display as a link instead

×   Your previous content has been restored.   Clear editor

×   You cannot paste images directly. Upload or insert images from URL.


  • Topics

  • Posts

    • AMZN Amazon stock, nice buying at the 187.26 triple+ support area at https://stockconsultant.com/?AMZN
    • DELL Dell Technologies stock, good day moving higher off the 90.99 double support area, from Stocks to Watch at https://stockconsultant.com/?DELL
    • MCK Mckesson stock, nice trend and continuation breakout at https://stockconsultant.com/?MCK
    • lmfx just officially launched their own LMGX token, Im planning to grab a couple of hundred and maybe have the option to stake them. 
    • Date: 2nd April 2025.   Market on Edge: Tariff Announcement and Volatility Ahead!   The US economic and employment data continues to deteriorate with the job vacancies figures dropping to a 5-month low. In addition to this, the IMS Manufacturing PMI also fell below expectations. However, both the US Dollar and Gold declined simultaneously following the release of the two figures, an uncommon occurrence in the market. Traders expect a key factor to be today’s ‘liberation day’ where the US will impose tariffs on imports. USDJPY - Traders Await Tariff Confirmation! Traders looking to determine how the USDJPY will look today will find it difficult to determine until the US confirms its tariff plan. Today is the day when Trump previously stated he would finalize and announce his tariff plan. The administration has not yet released the policy, but investors expect it to be the most expansionary in a century. President Trump is due to speak at 20:00 GMT. On HFM's Calendar the speech is stated as "US Liberation Day Tariff Announcement". Currently, analysts are expecting Trump’s Tariff Plan to impose tariffs on the EU, chips and pharmaceuticals later today as well as reciprocal tariffs. Economists have a good idea of how these tariffs may take effect, but reciprocal tariffs are still unspecified. In addition to this, 25% tariffs on the car industry will start tomorrow. The tariffs on the foreign cars industry are a factor which will particularly impact Japan. Although, traders should note that this is what is expected and is not yet finalised. Last week, President Trump stated that he would implement retaliatory tariffs but allow exemptions for certain US trade partners. Treasury Secretary Mr Bessent and National Economic Council Director Mr Hassett suggested that the restrictions would primarily target 15 countries responsible for the bulk of the US trade deficit. However, yesterday, Trump contradicted these statements, asserting that additional duties would be imposed on any country that has implemented similar measures against US products. The day’s volatility will depend on which route the US administration takes. The harshness of the policy will influence both the Japanese Yen as well as the US Dollar.   USDJPY 5-Minute Chart   US Economic and Employment Data The JOLT Job Vacancies figure fell below expectations and is lower than the previous month’s figure. The JOLT Job Vacancies read 7.57 million whereas the average of the past 6 months is 7.78 million. The ISM Manufacturing Index also fell below the key level of 50.00 and was 5 points lower than what analysts were expecting. The data is negative for the US Dollar, particularly as the latest release applies more pressure on the Federal Reserve to cut interest rates. However, this is unlikely to happen if the trade policy ignites higher and stickier inflation. In the Bank of Japan’s Governor's latest speech, Mr Ueda said that the tariffs are likely to trigger higher inflation. USDJPY Technical Analysis Currently, the Japanese Yen Index is the worst performing of the day while the US Dollar Index is more or less unchanged. However, this is something traders will continue to monitor as the EU session starts. In the 2-hour timeframe, the USDJPY is trading at the neutral level below the 75-bar EMA and 100-bar SMA. The RSI and MACD is also at the neutral level meaning traders should be open to price movements in either direction. On the smaller timeframes, such as the 5-minute timeframe, there is a slight bias towards a bullish outcome. However, this is only likely if the latest bearish swing does not drop below the 200-Bar SMA.     The key resistant level can be seen at 150.262 and the support level at 149.115. Breakout levels are at 149.988 and 149.674. Key Takeaway Points: Job vacancies hit a five-month low, and the ISM Manufacturing PMI missed expectations, adding pressure on the Federal Reserve regarding interest rate decisions. Traders await confirmation on Trump’s tariff policy, which is expected to impact the EU, chips, pharmaceuticals, and foreign car industries. The severity of the tariffs will influence both the JPY and the USD, with traders waiting for final policy details. The Japanese Yen Index is the worst index of the day while the US Dollar Index is unchanged. Always trade with strict risk management. Your capital is the single most important aspect of your trading business.   Please note that times displayed based on local time zone and are from time of writing this report.   Click HERE to access the full HFM Economic calendar.   Want to learn to trade and analyse the markets? Join our webinars and get analysis and trading ideas combined with better understanding of how markets work. Click HERE to register for FREE!   Click HERE to READ more Market news.   Michalis Efthymiou HFMarkets   Disclaimer: This material is provided as a general marketing communication for information purposes only and does not constitute an independent investment research. Nothing in this communication contains, or should be considered as containing, an investment advice or an investment recommendation or a solicitation for the purpose of buying or selling of any financial instrument. All information provided is gathered from reputable sources and any information containing an indication of past performance is not a guarantee or reliable indicator of future performance. Users acknowledge that any investment in Leveraged Products is characterized by a certain degree of uncertainty and that any investment of this nature involves a high level of risk for which the users are solely responsible and liable. We assume no liability for any loss arising from any investment made based on the information provided in this communication. This communication must not be reproduced or further distributed without our prior written permission.
×
×
  • Create New...

Important Information

By using this site, you agree to our Terms of Use.