Gold VWAP bands self-test, 2026-11-02T09:04:42.539Z

1. Hand-made sessions (Wednesday 10 and Thursday 11 January 2024, New York session unless stated)
A. VWAP and SD: bars with typical price 100, 100, 103 and equal volume -> VWAP 101, SD sqrt 2; typical price (h + l + c) / 3; the volume weights; the restart next session
  [ok] VWAP 101, SD 1.414214
  [ok] bar 3 with 3x the volume: VWAP 100.6667, SD 1.0541
  [ok] the next session restarts: VWAP 250, SD 0 on its first bar
B. session times on the New York clock: London in a normal week 03:00-11:30, in the mismatch weeks 04:00-12:30 (March and October 2024) and 02:00-10:30 (March 2005)
  [ok] all as expected; a Saturday has no session
C. coverage: 312 of 390 minutes (80%) kept, 311 not; a missing first minute not; a bar with no minute does not exist
  [ok] coverage rules hold
  [ok] 77 bars; after bar 19 comes bar 21
D. the signal: a close in the zone; no signal in the first 30 minutes or on the last bar; a close nearer than 2 SD or beyond 3 SD: none
  [ok] long at the open of the next minute, 98, stop 96.672609 (VWAP 99.869, SD 1.062); reference identical
  [ok] bar closing 25 minutes after the open: in the zone, no signal
  [ok] bar closing 30 minutes after the open: signal
  [ok] the last bar: in the zone, no signal
  [ok] a close at -1.76 SD, nearer than 2 SD: no signal
  [ok] a close beyond 3 SD: no signal
E. the exit: after the first close back at the then current VWAP, at the next minute's open (99.80 is under the signal bar's VWAP but over the current one); the session close
  [ok] out at 100 at the open of bar 15, 1.2807 R
  [ok] no close at the VWAP: out at the session close, -0.3767 R; reference identical
F. the stop: fixed; reached later; in the entry minute; gapped through; an entry at or beyond the stop is refused and the direction stays available
  [ok] stopped at 96.672609; reference identical
  [ok] stop in the entry minute; reference identical
  [ok] a minute opening beyond the stop exits at its open (95); reference identical
  [ok] the entry at 96 under the stop is refused; the next long signal (bar 13, entry at 97) is taken; reference identical
G. frequency: one trade per direction per session; a signal while in a position is ignored and does not use up its direction; after a stop inside a bar, that bar's close can signal the other way; a short
  [ok] stopped long, a second long signal in the same session: no trade; reference identical
  [ok] a short: 102 -> 100, 1.2807 R; reference identical
  [ok] a short signal on the close that ends the long is ignored; the next one is taken; reference identical
  [ok] stopped inside bar 14, whose close signals a short: taken at bar 15; reference identical
H. the hole rule: a gap of more than 30 minutes before the exit; the session type; the London session end to end
  [ok] a 30-minute step between minutes passes, 31 is a hole
  [ok] a steady rise is a trend session; a move of 30% of the range is not
  [ok] the London session gives the same trade from its own open; reference identical
I. the control: at offset 0 the moved trades are the real ones, with the real stop distance and scaled; at offset 1 the stop is the same number of the new session's SDs, entered at its minute open
  [ok] offset 0 reproduces the real trade, both ways
  [ok] moved to the next session: stop 3.738 away = 1.250 x its SD 2.991 (real 1.327 x its SD)

2. Real data: the session times of every day, and the engine against the independent reference
  [ok] 16802 session days 2004-2026: the time-zone rules equal the written-out rules (0 differences)
  audit clock: 7067434 minutes 2004-06-11 01:19 .. 2026-10-07 16:57 New York
  [ok] GVB-LD: 4919 sessions, 7866 trades, reference 7866, identical
  [ok] GVB-NY: 4888 sessions, 5912 trades, reference 5912, identical
  gx clock: 7067434 minutes 2004-06-11 00:19 .. 2026-10-07 16:57 New York
  [ok] GVB-LD: 4946 sessions, 7973 trades, reference 7973, identical
  [ok] GVB-NY: 4757 sessions, 5762 trades, reference 5762, identical
  raw clock: 7067434 minutes 2004-06-11 00:19 .. 2026-10-07 16:57 New York
  [ok] GVB-LD: 4945 sessions, 7979 trades, reference 7979, identical
  [ok] GVB-NY: 4757 sessions, 5776 trades, reference 5776, identical

3. Control machinery at offset 0
  [ok] GVB-LD (real stop): 7866 control trades identical to the real ones
  [ok] GVB-LD (scaled stop): 7866 control trades identical to the real ones
  [ok] GVB-NY (real stop): 5912 control trades identical to the real ones
  [ok] GVB-NY (scaled stop): 5912 control trades identical to the real ones

PASSED