How to calculate VWAP deviation bands?

Discussion in 'Technical Analysis' started by abotarga, Nov 22, 2019.

  1. abotarga

    abotarga

    In many charting platforms you have the option to set upper and lower bands for VWAP. In think or swim specifically you get:

    [​IMG]

    This is with a configuration of VWAP (-2.0, 2.0, DAY).

    How are these bands calculated? I'm able to understand and calculate VWAP, but I can't find any formulas for calculating these upper and lower bands.
     
  2. gaussian

    gaussian

    Looks like the VWAP +/- 2 standard deviations.
     
  3. abotarga

    abotarga

  4. abotarga

    abotarga

    Yes, but how are they calculated?
     
  5. gaussian

    gaussian

    lol.

    You have all of the information you need in the statement "VWAP +/- 2 standard deviations". If you can't figure it out from there, perhaps you should stick to using the premade indicators.

    I'd google VWAP, then I'd google standard deviation.
     
    IAS_LLC likes this.
  6. abotarga

    abotarga

    This link is not clear: https://www.tradingtechnologies.com...finitions/volume-weighted-average-price-vwap/

    This is confusing. I interpret this as σ being the standard deviation of average of VWAP minus VWAP. But this gives me garbage numbers that don't match what's in thinkorswim.

    What am I doing wrong?
     
  7. abotarga

    abotarga

    This IS a premade indicator. It's available on just about every charting platform I know. I'm asking how it's calculated.

    I've already been calculating standard deviation of multiple values related to VWAP but none of them match up to thinkorswim. I've been trying to figure this out for a while and have read lots of contradicting resources online, and I'm still struggling.
     
  8. 2rosy

    2rosy

    notional/total qty
     
  9. abotarga

    abotarga

    Can you please elaborate on this some more? What is the notional value? By "total qty" are you referring to the total volume?
     
    #10     Nov 22, 2019