MIDAS and Standard Deviation Bands

Andrew Coles

Volume Weighted Average Price (VWAP) standard deviation bands began their gradual evolution into hybrid MIDAS standard deviation bands in July 2007. Two Trade-Station forum members, dbntina and boxmeister, created the code for two standard deviation bands to be added to original VWAP code supplied by TradeStation in 2003. Later in July 2007 the trading platform Ninja Trader added a third standard deviation band, but more importantly it fundamentally modified the VWAP bands so that they could be anchored to a starting point, thus converting the original VWAP bands into hybrid MIDAS standard deviation bands. Two months later in September 2007 the trading platform Investor/RT also created ...

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