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Volume Profile PVP DataSeries - bar PVP and day PVP
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Created: by cclsys Attachments:4

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Volume Profile PVP DataSeries - bar PVP and day PVP

  #1 (permalink)
Elite Member
Sydney, NS
 
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Posts: 607 since Nov 2009
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Volume Profile PVP DataSeries - bar PVP and day PVP

Dragon just uploaded a PVP indicator that plots each bar's PVP. First, thanks. Second, my immediate reaction to this indicator is to use it as a price series like Close, Open etc. as the main referent for any average type indicator including a collective. But I don't know how to do this and am hoping that someone could help write that out so it could be included in the drop-down menu of available price types for an indicator. If not, it can easily be coded into any indicator as an optional referent dataseries instead of Close, Open etc. but having it as a price type would be best.

Also, in terms of this indicator, it looks like it behaves quite differently with different types of bars, and that the minute bars are best. But I am not sure. On Volume bars it plots the same as the close every time. But even with minute bars the PVP plot is often very far away from the PVP plot on Dvalue even when looking at the current bar (in Market Replay). On tick charts or minute charts it's plotting a PVP that the bars are not even touching. Perhaps this is plotting the current day PVP bar by bar, but if that is the case it is changing around far more than the usual methods and again often at very different price levels. So I am bit confused as to what this one is saying and not sure I trust it yet. But the idea makes sense: plot the price at which there was the most volume for any given bar (assuming that is the idea).

SECOND - and for me of far more interest - I have been harping on of late both here and the NT forum begging someone to create a PVP indicator that plots the current PVP (POC) bar by bar. The only ones I have seen thus far (such as with DValue, Gomi's set and others) plot the current PVP price on the horizontal histogram such methods use; any time the PVP changes, then that line's color changes accordingly but you can no longer see where the one before was or, more importantly when reviewing/analysing methodology, you cannot see at what time/bar it changed from the old PVP to the new PVP. I think it would be VERY helpful to be able to plot this bar by bar both for review and also to be able to embed it in other indicators/strategies etc. as a condition.

For example: if the VWAP > PVP and price is X lower than VWAP & price is X lower than PVP buy the next HH or paint bars bullish reversal color etc.

Attachment: have put up pic of my CCLFIBBands indicator using the PVP indicator as the base price. It does interesting things, but you can see in the pic the large difference between the PVP indicator and the DValue PVP/POC (the dark red line around 1104.70) which is puzzling. In the code, it says:

 
Code
                            
protected override void OnBarUpdate()
        {
              
double MaxVolume 0;
            
double MaxPrice 0.0;
            for (
int x 0<= Bars.BarsSinceSessionx++)
            {
                if (
Volume[x] > MaxVolume)
                {
                    
MaxVolume Volume[x];
                    
MaxPrice Close[x];
                }
            }
            
PVPLine.Set(MaxPrice);
        } 
If I understand correctly - which I well may not - perhaps this version of PVP is simply the point at which there was the maximum volume traded during the session. In other words if at 10.15 the volume was 1000 and at 1020 it was 1050, then that bar's close becomes the PVP and it will stay there until a bar has more then 1050 volume. This might be useful information, but I don't think it has anything to do with the usual way of referring to PVP/TOC. And if I am right, although interesting, it means that it is not what I thought it was at all when first downloading it.

Attached Thumbnails
Volume Profile PVP DataSeries - bar PVP and day PVP-bm-1220-pvp.png  

Last edited by cclsys; December 20th, 2009 at 04:30 AM.
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  #2 (permalink)
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For those of you who have dValueArea, I have added in some code which seems to work, although only with live/replay data. The POC/PVP is now plotted 'dynamically', or bar by bar. And it is good to see it that way. The attached simple example (red line) shows a flip that is totally invisible/impossible to deduce when reviewing the chart after the fact, even several bars later. Unless you manually mark the PVP's, the point at which it flipped is impossible to recall, but now with this addition it is.

I have so far been unable to reference this in another indicator without crashing Ninja, but the dValue alone is working fine. In all the sections plotting the 'emerging' POC/Vat/Vab I added a line plotting a new dataseries I put (with much hesitation!) into this excellent price-volume indicator:

 
Code
                            
DrawText("sessVAtop",(sessVAtop).ToString("0.00"),bago,sessVAtop,eVAtColor);        
                        
DrawText("sessVAbot",(sessVAbot).ToString("0.00"),bago,sessVAbot,eVAbColor);        
                        
DrawText("sessPriceOfPOC",(sessPriceOfPOC).ToString("0.00"),bago,sessPriceOfPOC,ePOCColor);
                        
EPOC.Set(sessPriceOfPOC); // Ash addition to plot EPOC 
Attachment: this is not very active in terms of the PVP changing (sometimes it is more active) but still interesting: at the point where it 'flipped' lower, it went beneath the VWAP changing the Perl 'skew' from negative (VWAP beneath PVP) to positive (VWAP above PVP). This is good information to have.

In some other charts/replays I have also found that previous PVP prices, especially those that have held for a while as many do, are often key SR areas as well.

It would be good if
a) I/we could figure out how to reference this in other studies properly and
b) if there is any way to do this in the non-live mode (I suspect not) and if that is the case
c) use Gomi's Recorder to make it easier to use so that if you change anything on the chart intra-session you don't lose all the PVP bar-by-bar plots.

Maybe I am just getting overly fascinated by the latest idea, but I have a strong feeling that this plot could be very, very helpful both in trading and methodological analysis. Hence my interest in it and hope that others with far better coding skills can pick up the ball here and make something of this that works well as outlined above.

Attached Thumbnails
Volume Profile PVP DataSeries - bar PVP and day PVP-bm-1220-pvp2.png  
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  #3 (permalink)
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hello cclsys I greatly appreciate your work and your efforts
Continue
you created a pvp with extensions?
thank you

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  #4 (permalink)
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Thxs mea.

Well, as is said 'great minds think alike'. I had asked DeanV at the NTforum, who modified sbgtrading.com's original (free) work on the CalculateValueArea indicators (he has one that plots every 60 mins for example), and at first nothing happened but then, shortly before I started work on this late last night, yesterday he kindly published a new version which plots the dynamic POC and works with historical data, unlike my first attempt last night.

So just download this and you have it:

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(DvalueArea entry)

Attachment: picture shows the 60 min Calculate Value Area overlaid on main chart. This one always plots the last 60 mins (or you can set to 5, 120 etc.), so it changes when you scroll back through a chart for review/analysis purposes. Sbg writes great stuff.

The thick dash line is the dynamic POC. The thinner bright red line at top is the last POC from the previous day session. I find they are very good for targets, key SR zone projections, and they often stop price to the tick.

I will have to track the dynamic PVP/POC now I have them, but after flipping through a few days, it seems that they too provide useful information not so easily seen in the bar chart bars.

I am VERY happy this has been coded. Now I basically have my indicators for personal daily use: dValue, BetterVolume with Cory's Volume patterns embedded, and some basic bands to provide perspective/trend/context. Voila.

I have now made a study with this that I am going to post in my journal/blog here called 'Daily Charts and Bar Patterns' linked in profile on left. It shows how the relationship of PVP/POC (two terms for same thing, PeakVolumePrice or PointofControl) to the VWAP can be used as leading trend indicators for both breakout or scale-in accumulations against short term trend (for those with very deep pockets).

Attached Thumbnails
Volume Profile PVP DataSeries - bar PVP and day PVP-bm-1220-pvpdvaluenew.png  

Last edited by cclsys; December 20th, 2009 at 01:00 PM.
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  #5 (permalink)
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There is a new version of the VWAP that allows you to save the start and end times in a template which default version cannot do. Also can apply multipliers to the SD bands.

Attached Files
Register to download File Type: zip hVWAP.zip (6.4 KB, 143 views)
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  #6 (permalink)
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france
 
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cclsys thank you very much
Big Huge job, I also work with the VWAP I wanted to make a rolling VWAP, a VWAP that does not reset at the beginning of session, but being bad programming never before achieved
In any case thank you
with all that you give I'll make good progress I think
good luck and good trades thank you

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  #7 (permalink)
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Posts: 607 since Nov 2009
Thanks: 248 given, 379 received

Well, the 'big huge job' has really been done by sbgtrading.com and DeanV, both sharing their related work on the NT forum. But it was neat that whilst I was up late last night trying to do it myself I was unaware that DeanV had only a few hours earlier upgraded his code and come up with something that works perfectly. For me personally this is a breakthrough since now I have something that helps gauge both trend and countertrend at the same time and is based mainly on volume alone using MP type approach. This is what I have been looking for for a few months now: basic bars on the chart with minimal indicators - although now must confess am attached to having one band indicator - and then something comprehensive that delivers volume-based information that is often hard to see so precisely with price bars alone.

Although there are more sophisticated volume-price indicators around, including Gomi's superlative contributions with ladders and Delta Volume, since my main emphasis is on Support/Resistance I feel that for myself I have now got the 'Holy Grail' chart-wise. The only decisions remaining are whether to switch to a more universal price bar which would be time-based. Easier on system resources, but I am rather attached to tick charts and not ready to give them up yet. Still, it is tempting to make a basic template that applies to all markets and all timeframes without any tweaking between. I still think that's the ideal approach, and that being the case, time bars, good old time bars, would be the best in which case all I have to do now is spend a bit more time with them and deciding on 5, 3 or 2 minutes for the trading chart. I suspect I will end up with 3 since I have a tendency to keep 'looking inside' the 5 minutes for more precise entry and stop points; that said, I am not used to them after more than a year now with faster tick charts.

Joyeux Noel and all that.

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  #8 (permalink)
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thx cclsys
bon courage and joyeux noel

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