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VWAP filtering suggestions

  #5 (permalink)

North Carolina
 
Trading Experience: Beginner
Platform: NinjaTrader, Tradestation
Favorite Futures: es
 
Posts: 644 since Nov 2011

@DavidBodhi Right, the purpose of the conversion is that it gives more signals (one per bar) and then you could run your analytics over that to understand the relationship and for thresholding purposes. There is another option which is let's say you cannot find a ranking algorithm then you could create similarity score. In this model, you determine the features you think are relevant to compute a unique score, but in this case it is not a score with any assigned value but simply measuring how much different the market is, and you only send new alerts when the similarity score is sufficiently different from the previous signal.

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