Can we use the existing indicator to our personal program

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  • 08/10/2023 at 4:21 PM #218913 quote
    Annchow8052014
    Participant
    New

    Hello all,

    I am a new comer, and I would like to use VWAP  band for my personal indicator, but find that there is some difference in data when calculating the standard deviation of the VWAP, my formula is as follow:

    VWAP= SUMMATION[60](volume*typicalprice)/SUMMATION[60](volume)

    The calcuated VWAP is the same as the default VWAP band (60Min)

    However, when I calculate the standard deviation and the VWAP band, it is difference from the default VWAP band, please help me to figure out this problem with thanks.

    SD=std[60](typicalprice[60]-vwap[60])

    Or can we use the default VWAP band to my indicator, thanks in advance.

    08/10/2023 at 5:17 PM #218914 quote
    JS
    Participant
    Senior

    Hi and welcome,

     

    You use the formula of the standard deviation incorrectly, to calculate the standard deviation of the VWAP you must use the formula like this:

     

    SD=std[60](VWAP)

    08/11/2023 at 1:32 AM #218923 quote
    Annchow8052014
    Participant
    New

    Hi JS,

     

    Thanks for your prompt reply.

    However, after adjustment, the result is still different from the default VWAP band result, can you give me further advise?

    08/11/2023 at 9:14 AM #218928 quote
    JS
    Participant
    Senior

    Unfortunately, there are many different calculations in circulation, the ones where the bands are calculated with the standard deviation can be found here:

    https://www.prorealcode.com/prorealtime-indicators/vwap-bands/

    I think the standard VWAP is not calculated with the standard deviation, even though it says, but with this formula:

    sd = SUMMATION[60](max(abs(high-vwap),abs(vwap-low)))/60

    08/11/2023 at 4:51 PM #218945 quote
    Annchow8052014
    Participant
    New
    Hi JS, Thanks for your prompt response and help. Unfortunately, both result of your formula and the other circulated formula are not the same as the standard VWAP Band result. I think the main reason of the difference is the formula of the std from the ProBuilder, and someone also said that there is a multiplier that need to multiple, it is difficult for us to follow.  On the hand, are there any method that we can extract the calculation from the default VWAP band to our program, thanks in advance.
    08/11/2023 at 6:50 PM #218954 quote
    JS
    Participant
    Senior
    Hi, The calculation of the internal (Default) VWAP is not known to me and I don’t think it’s public…
    08/12/2023 at 4:02 AM #218959 quote
    Annchow8052014
    Participant
    New
    Hi JS, Noted with thanks for your support.
    JS thanked this post
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Can we use the existing indicator to our personal program


ProBuilder: Indicators & Custom Tools

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Annchow8052014 @annchow8052014 Participant
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This topic contains 6 replies,
has 2 voices, and was last updated by Annchow8052014
2 years, 6 months ago.

Topic Details
Forum: ProBuilder: Indicators & Custom Tools
Language: English
Started: 08/10/2023
Status: Active
Attachments: 1 files
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