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nt7 session template for forex

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Market Wizard
Berlin, Europe
Trading Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
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Posts: 9,780 since Mar 2010
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bobarian View Post
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

It is difficult to make a difference between VWAP and RWAP. The algorithm of the RWAP is based on the assumption that volatility is proportional to the square root of volume. You will mostly find this assumption formulated as the variance being proportional to time. However, when it comes to intraday data the proportionality to time does not hold, because the market slows down during the night session. Therefore variance should be seen as proportional to volume.

Using this method volume can be estimated from the bar ranges. Statistically, the RWAP is a good approximation for the VWAP.

Why do I prefer the RWAP to the VWAP?

(1) The RWAP does not depend on volume data.

The FOREX markets are split between different ECNs and typically you will not know the exact volume. The RWAP makes a volume estimate based on volatility.

(2) The RWAP (with integrated alerts) is more CPU efficient than the VWAP.

This is because you may use the RWAP with the setting "Calculate.OnPriceChange". If you use the VWAP, which is a volume based indicator with "Calculate.OnPriceChange" it will return false results. The VWAP may only be used with the setting "Calculate.OnEachTick". Of course, both indicators may be used with setting "Calculate.OnBarClose", but then you will not receive the alerts when needed.

However, I only use the RWAP with FOREX data.

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