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VWAP for stock index futures trading?


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VWAP for stock index futures trading?

  #401 (permalink)
 
GoldenRatio's Avatar
 GoldenRatio 
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JonnyBoy View Post
Sorry I don't. My knowledge of TOS is virtually zero, but the coding is very simple and I would be surprised if something like this doesn't exist already.

Essentially the indicator accumulates the volume of orders filled at Bid and Ask prices and adds successive totals to the prior bar total until there is a change from positive to negative or vice versa.

I believe @leescharf may have been referring to Tradestation as usually:

TS = Tradestation
TOS = Think or Swim.

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  #402 (permalink)
 
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 JonnyBoy 
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GoldenRatio View Post
I believe @leescharf may have been referring to Tradestation as usually:

TS = Tradestation
TOS = Think or Swim.

Right on. Same answer still applies tho!

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  #403 (permalink)
 
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 JonnyBoy 
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Tick Chart Setup

As explained in the video I have had many DM requests/clarifications RE: my tick chart setup so I just thought I would make a video. The formula's I use to get my tick plots isn't bespoke to NinjaTrader so you could do the same on any platform.

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  #404 (permalink)
 Volt 
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this would be useful to see the math behind the probabilities and how they change after another probability is achieved. I tried to reach Metrics maestro as they have many examples of the probabilities as the day unfolds on the site but they never responded to me........perhaps this math lesson needs to be in another thread ....sure wish I paid attention to things like mutually exclusive probabilities and stuff like that in high school...any help would be appreciated
CalvinoHobbino View Post
One thing I would add to this (for my first post ) is that if you collect data like this for yourself you can go one step further and calculate conditional probabilities once a level has been broken.

The metricsmaestro probability table tells you "if we open LIR, x level is broken y% of the time."

As the day evolves it can be useful to extend this kind of analysis to "if we open LIR, and the previous day's low is broken, then x level is broken y%" of the time.

You can keep layering these kinds of conditional probabilities on top of each other, but I've found that sample sizes can get too small to be meaningful after two conditions. I'm only using 5 years of data though so more data could let you extend this even further, with diminishing reliability and significance.

I've found that this type of analysis hasn't changed very much over time as well. Using this kind of information is really helpful for developing context as a day progresses.


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  #405 (permalink)
 
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 GoldenRatio 
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JonnyBoy View Post
Tick Chart Setup

As explained in the video I have had many DM requests/clarifications RE: my tick chart setup so I just thought I would make a video. The formula's I use to get my tick plots isn't bespoke to NinjaTrader so you could do the same on any platform.

Hey @JohnnyBoy. I have a quick question. Currently, your formula in NinjaTrader and shown in Excel is H+L+C/3. Are you trying to calculate the average tick value of the H,L,C values or are you purposely giving the Close just 1/3 of the weight of the High & Low ticks and then summing the values?

Let's look at the first bar:

High = -731
Low = -1588
Close = -731

If trying to calculate the average tick for the bar, the calculation should be (-731-1588-731)/3 = -1016.67 - within the range of the H & L readings.

If trying to give the Close just 1/3 the weight of the High and Low (your calculation -731-1588-(731)/3 = -2562.67 - outside the range of the H & L readings), can you please explain why? I have never seen a tick calculation done this way and was wondering the logic behind it?

Thanks again for openly sharing your ideas and setups!

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  #406 (permalink)
Lfx987
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GoldenRatio View Post
Hey @JohnnyBoy. I have a quick question. Currently, your formula in NinjaTrader and shown in Excel is H+L+C/3. Are you trying to calculate the average tick value of the H,L,C values or are you purposely giving the Close just 1/3 of the weight of the High & Low ticks and then summing the values?

Let's look at the first bar:

High = -731
Low = -1588
Close = -731

If trying to calculate the average tick for the bar, the calculation should be (-731-1588-731)/3 = -1016.67 - within the range of the H & L readings.

If trying to give the Close just 1/3 the weight of the High and Low (your calculation -731-1588-(731)/3 = -2562.67 - outside the range of the H & L readings), can you please explain why? I have never seen a tick calculation done this way and was wondering the logic behind it?

Thanks again for openly sharing your ideas and setups!


Far be it for me to answer for JB but looks like it's a simple issue of the parenthesis missing around the (H+L+C) / 3.

Just need the average so we can calculate the cumulative tick chart. The simple averaging above just smooths out the individual tick bars.

For a more comprehensive explanation , see the below video.

They start talking about Ticks approx. 3.50 mins in and the smoothing (H+L+C) / 3 at around 15:20mins




JB will detail how he uses the cumulative tick chart but hopefully above video gives a brief explanation.

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  #407 (permalink)
 
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 GoldenRatio 
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@Lfx987 Yes, I get that and understand smoothing. That's why I was asking @JonnyBoy if he has a bug in his calculation or if he purposely set up his calculation this way (only C/3) and if so, why?

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  #408 (permalink)
 
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 JonnyBoy 
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GoldenRatio View Post
Hey @JohnnyBoy. I have a quick question. Currently, your formula in NinjaTrader and shown in Excel is H+L+C/3. Are you trying to calculate the average tick value of the H,L,C values or are you purposely giving the Close just 1/3 of the weight of the High & Low ticks and then summing the values?

Let's look at the first bar:

High = -731
Low = -1588
Close = -731

If trying to calculate the average tick for the bar, the calculation should be (-731-1588-731)/3 = -1016.67 - within the range of the H & L readings.

If trying to give the Close just 1/3 the weight of the High and Low (your calculation -731-1588-(731)/3 = -2562.67 - outside the range of the H & L readings), can you please explain why? I have never seen a tick calculation done this way and was wondering the logic behind it?

Thanks again for openly sharing your ideas and setups!


Lfx987 View Post
Far be it for me to answer for JB but looks like it's a simple issue of the parenthesis missing around the (H+L+C) / 3.

Just need the average so we can calculate the cumulative tick chart. The simple averaging above just smooths out the individual tick bars.

For a more comprehensive explanation , see the below video.

They start talking about Ticks approx. 3.50 mins in and the smoothing (H+L+C) / 3 at around 15:20mins




JB will detail how he uses the cumulative tick chart but hopefully above video gives a brief explanation.


GoldenRatio View Post
@Lfx987 Yes, I get that and understand smoothing. That's why I was asking @JonnyBoy if he has a bug in his calculation or if he purposely set up his calculation this way (only C/3) and if so, why?

Ah, yes an observant bunch here. Fantastic.

(H+L+C) /3 calculation will give you the bar pivot (average in other words).

The way I calculate mine (I didn't think people would pick up the mathematical errors differences, so good for you guys )

(H)+L+C /3

I change the order of operation because I use this calculated result in an external calculation that I use somewhere else.

Graphically (if you held the charts side by side) there would be no difference to the plots other than if you looked at the scale. The ratios and relative plots will the same. In other words I wouldn't sweat it too much, using (H+L+C) /3 is totally fine and dare I say it...correct.


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  #409 (permalink)
Lfx987
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JonnyBoy View Post
Tick Chart Setup

As explained in the video I have had many DM requests/clarifications RE: my tick chart setup so I just thought I would make a video. The formula's I use to get my tick plots isn't bespoke to NinjaTrader so you could do the same on any platform.


With JB's permission, I am attaching a copy of my Sierra Chart template for the tick chart set-up.

There are two charts in the workbook:

Overlaid on ES:
TICK NYSE
NISS NYSE (Advance-decline)

Overlaid on NQ:
TICK NASDAQ
NISS NASDAQ (Advance-decline)


The charts start/end time are NYT 09:30 to 16:00 (Cash markets open/close).

Depending on your data provider, you may have to change the Chart Setting symbol (I am with AMP). However the market internals are provided by Sierra. You may just have to wait a while for the data to load.

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  #410 (permalink)
 
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 JonnyBoy 
Montreal, Quebec
 
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Volt View Post
this would be useful to see the math behind the probabilities and how they change after another probability is achieved. I tried to reach Metrics maestro as they have many examples of the probabilities as the day unfolds on the site but they never responded to me........perhaps this math lesson needs to be in another thread ....sure wish I paid attention to things like mutually exclusive probabilities and stuff like that in high school...any help would be appreciated

There is a simple solution here and that is to start collecting this data yourself. I piggy backed off of MMs work after starting a similar venture myself years ago when I realised his data collection and presentation was leaps and bounds above how I was doing it.

I use Excel extensively to do this work for me. After enough data collection you will find there are some sub-probabilities you can leverage from.

Going beyond the next probability (further to MMs initial ones) is probably all you need to do as @CalvinoHobbino pointed out, things can get too granular.

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- Trade what you see. Invest in what you believe -
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