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dbntina

VWAP Indicator with 1SD and 2SD bands

By dbntina, in Trading Indicators

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Garylim    10

Garylim
Posted

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

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BlowFish    10

BlowFish
Posted
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.

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Garylim    10

Garylim
Posted

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.....

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BlowFish    10

BlowFish
Posted

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.

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Garylim    10

Garylim
Posted

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

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BlowFish    10

BlowFish
Posted
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.

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Garylim    10

Garylim
Posted

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));

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MPTrader    10

MPTrader
Posted

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));

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sevensa    10

sevensa
Posted

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 !!!

 

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Tams    20

Tams
Posted (edited)
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

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BlowFish    10

BlowFish
Posted
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?

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BlowFish    10

BlowFish
Posted
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.

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MPTrader    10

MPTrader
Posted

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

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