Is there any working intraday VWAP?

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  • 05/07/2021 at 8:22 AM #169004 quote
    Florian
    Participant
    Average

    Hello, First of all, I really want to thank you Nicolas, for the enormous work you do on a daily basis to improve our understanding of the programming tools associated with PRT. I wanted to go back to the tapes associated with the daily VWAP on PRT. The formula "VWAP = SUMMATION [d] (volume * typicalprice) / SUMMATION [d] (volume)" is correct. There is no doubt about it. On the other hand, I programmed the different standard deviations with the formula "sd = std [d] (abs (typicalprice-VWAP))" and I obtain results which absolutely do not match those of PRT. I suggest you see this difference in the attachment. Thanks for your feedback

    05/13/2021 at 7:56 AM #169554 quote
    Florian
    Participant
    Average

    Hello, Do you have an answer to my question concerning the programming of the standard deviations of the VWAP to stick to the different "Standard Deviation" proposed by PRT in version 11? Thanks in advance

    09/23/2021 at 9:59 AM #178200 quote
    Karen
    Participant
    Average

    I’m not sure if it’s just me or general issue, but the code from the indicator doesn’t match platform’s VWAP line. Yet, the line from PRC_VWAP intraday code is 100% identical to the line, that’s drawn by VWAP = SUMMATION[x](volume*typicalprice)/SUMMATION[x](volume) code. I am seeing this on every stock in US markets.

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    01/25/2023 at 9:12 AM #208169 quote
    Nicolas
    Keymaster
    Master

    For reference purpose, this version version should work as the original indicator of the platform: https://www.prorealcode.com/topic/vwap-band-indicator/#post-196713

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Is there any working intraday VWAP?


ProOrder: Automated Strategies & Backtesting

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axellus @axellus Participant
Summary

This topic contains 18 replies,
has 6 voices, and was last updated by Nicolas
3 years ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 12/17/2019
Status: Active
Attachments: 3 files
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