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nt7 session template for forex

  #8 (permalink)

Market Wizard
whitestone, new york
 
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Fat Tails View Post
In case that your data provider supplies both historical and real-time tick volume, I would personally opt for the RWAP or VWAP for trading FOREX.

For data suppliers such as Interactive Brokers that do not supply historical FOREX data, I would use the RWAP.

The TWAP is an indicator that was originally used as a simple execution algorithm over a set period of time (not the fuill session). In case that you use the TWAP with the full session, it will overweigh low volume bars and price action will not correctly follow the bands.

Please find attached three charts that show RWAP/VWAP/TWAP with bands for EURUSD over the last two days. The TWAP is clearly the worst option here. The VWAP with tick volume supplied by FXCM is good, but in my opinion the RWAP, which does not use volume data, but only price data, is slightly better. But judge yourself.


VWAP (based on tick volume):

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RWAP (not using volume data):

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TWAP based on equal time intervals:

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Forgive me for asking, why is the RWAP the best option.Visually, theyre similar enough.I would love to know what your thoughts are on this
Thanks!

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