IRT and VWAP

[dupaski 10]

I have moved over to IRT a few months ago and am starting to play around with the VWAP indicator they have. In looking at how they calculate the bands around the VWAP it's not clear to me if they are using standard deviations (the labels are 1 or 2 times basis).

 

If anyone is using this in IRT I'd be gratetful if they would be able to clear up if this is the same as the VWAP with StDev that others are using (based on Jerry's fine work)?

 

Thanks

-DT

[LS_Chad 10]

dupaski,

 

I added the VWAP bands about 6 months ago in response to a thread I read here on Trader's Laboratory, and I made sure to match up my bands with those posted here. If you choose a "Bands Basis" of "Variance (CL vs VWAP)", you'll get the same results seen in the "VWAP Standard Deviation" threads. I could have titled this "Deviations" instead but wanted to be accurate as to the basis of these bands, which is a variance of the closing prices vs the VWAP values.

 

There are some other interesting options for band basis, including:

 

- 1/4 Days Range - One quarter of the range to that point in the day/session.

- 3 x Avg Bar Range - Three times the average range (hi - lo) of last 20 bars..

- Constant $ Value - A constant $ Value above and below the VWAP.

 

And a "Proprietary" option that is still a work in progress.

 

You can read more info other the VWAP bands here:

 

Investor/RT Tour - Volume Weighted Average Price (VWAP)

 

including a demonstration video.

[dupaski 10]

Thanks for clarifying Chad, I'll take a look at the video.