gavindiaz/QuanTAlib
1
0
Fork 0
mirror of https://github.com/mihakralj/QuanTAlib.git synced 2026-08-18 02:28:05 +00:00
Code Issues Packages Projects Releases Wiki Activity

doc headers

Browse Source
This commit is contained in:
Miha Kralj
2026-02-27 07:48:12 -08:00
parent 8a1ba95173
commit 4ab3a7fb53
389 changed files with 6682 additions and 468 deletions
Download Patch File Download Diff File Expand all files Collapse all files
lib/channels/vwapsd/vwapsd.md
+17
View File
@@ -1,5 +1,22 @@
# VWAPSD: VWAP with Standard Deviation Bands
| Property | Value |
| ---------------- | -------------------------------- |
| **Category** | Channel |
| **Inputs** | OHLCV bar (TBar) |
| **Parameters** | `numDevs` (default DefaultNumDevs) |
| **Outputs** | Multiple series (Upper, Lower, Vwap, StdDev, Width) |
| **Output range** | Tracks input |
| **Warmup** | `2` bars |
### TL;DR
- VWAP with Standard Deviation Bands combines the Volume Weighted Average Price with a single configurable standard deviation band pair, providing a ...
- Parameterized by `numdevs` (default defaultnumdevs).
- Output range: Tracks input.
- Requires `2` bars of warmup before first valid output (IsHot = true).
- Validated against TA-Lib, Skender, and Tulip reference implementations where available.
VWAP with Standard Deviation Bands combines the Volume Weighted Average Price with a single configurable standard deviation band pair, providing a simpler alternative to VWAPBANDS (which uses dual $\pm 1\sigma$ and $\pm 2\sigma$ levels). Three running sums enable O(1) streaming updates. A session reset mechanism clears accumulations at configurable intervals, keeping the indicator anchored to current market structure. The configurable deviation parameter allows traders to select their desired confidence level ($1\sigma$ ≈ 68%, $2\sigma$ ≈ 95%, $3\sigma$ ≈ 99.7%).
## Historical Context