VWAP bands

[Simeon]

Hello,

I use these bands I made in excel that are based off of the VWAP and was wondering if could add additional parameters to your VWAP bands indicator to create them in Medved? They work by looking at historical volatility and calculating gamma from implied volatility. In the attached example gamma equals 0.31 and the bands are created by multiplying gamma by 0.25, 0.5, 1.0 and 2.0. Even the option to add only the gamma value to VWAP bands would be great as can I calculate the rest myself.

Many thanks,

Simeonhttps://www.dropbox.com/s/a8flfxeoh33p8e7/CODX.PNG?dl=0

[Mike Medved]

Current VWAP bands are VWAP +- standard deviation * multiplier.

I am not sure what you want to add. What is the formula you're using to calculate gamma and implied volatility? What exactly are you adding/subtracting from VWAP to make up the bands?

[Simeon]

Thanks for your reply. There are three calculations:

1. Daily Volatility =STDEVA(Daily Change over 252 trading days)

2. Implied volatility = Daily Volatility x (SQRT(265 or 365))

3. Gamma = VWAP Price x (Implied Volatility / SQRT(252))

Then the bands are created by multiplying Gamma by 0.25, 0.5, 1.0 and 2.0 and adding/subtracting to and from VWAP price. 

Here is a link to better screenshot showing all parameters: https://www.dropbox.com/s/c4g4623rfburqij/BIMI.PNG?dl=0

[Mike Medved]

... and here is the problem. You want to use a historical calculation (252 trading days) in an intraday chart. Intraday chart can have access to that data but the data is only there if the historical chart was brought up and backfilled, and the intraday chart has no way of knowing whether that data has been updated recently.

[Simeon]

I see, thank you for looking into this. I have to use 1 minute and daily times series in Excel and it's very slow to re-calculate. If there has been a reverse split this can also throw off the calculations so I understand this might not be possible.