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NT7 VWAP indicator SD adjustment
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Created: by gktk Attachments:2

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NT7 VWAP indicator SD adjustment

  #11 (permalink)
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tradersink View Post
fattails,am i correct in saying that your vwap indicator will plot the vwap over say 3 days? I tried various setting but didn't get different results.

for a 3 day i did as follows: session# for RTH "Third", session type "RTH" , im plotting a 1 minute chart set to RTH only!

I am i doing something wrong?, thanks

If you look at the VWAP for a multi-day period, it is better to look at a VWAP for a completed period. For example
you could look at

-> yesterday's VWAP as a reference for yesterday's value
-> the VWAP of the three prior business days as a reference for value (comparable to the balance point)

These values are displayed by the

-> anaPivotsDailyV31 (SessionPivots)
-> anaRollingPivotsV31 (SessionPivotsRolling)

indicators.

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  #12 (permalink)
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thank for the quick reply and explanation, which brings me to the next question are you aware of a vwap with "n" sessions? for ninja 7, I had one when i used tradestation and i found it useful at taking trades at the vwap and the sd's.

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  #13 (permalink)
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tradersink View Post
thank for the quick reply and explanation, which brings me to the next question are you aware of a vwap with "n" sessions? for ninja 7, I had one when i used tradestation and i found it useful at taking trades at the vwap and the sd's.

The VWAP works cumulative. If you take the last 3 days and calculate a VWAP and that add a fraction of today's session, this will not very much change the value, as today's session will only be weighted with its share of the volume.

Also, I have seen several concepts that use the value area of the preceding 3 days as a reference point, but none that shifts these values towards today's session. I think you can take the VWAP of the prior 3 n sessions as well.

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  #14 (permalink)
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gktk View Post
Long time reader but 1st post and sorry to say as it is a request.

futures.io (formerly BMT) has the most relevant trading information / advice out of all the forums so I have spent the last few months slowly going through the many applicable threads, thanks all.

I'm hoping one of the NT programmers can help with an amendment i would like done to the existing NT7 vwap indicator here: Links and Downloads Manager - NinjaTrader Support Forum

Specifically how the Standard Deviation bands are calculated, if possible can it be changed to the following:

upper band = VWAP +( high -Low ) /2
lower band = VWAP - ( high - Low /2

The rest is all fine, i did try my hand at changing the calculation method but my programming skills are totally non existent so got nowhere.

Thanks

It took some time, but the new version of the SessionVWAP V33 has the option to calculate bands from the range of the current session. If you set it to Session_Range, it will use the quarter range to calculate the bands. With default settings it will show

inner bands : VWAP + (high-low)/4, VWAP - (high-low)/4
middle bands : VWAP + (high-low)/2, VWAP - (high-low)/2
outer bands : VWAP + (high-low)*3/4, VWAP - (high-low)*3/4

So you could just use the middle bands. It is also possible to change the multipliers and display any multiple of the range of the current session.

The chart attached shows the VWAP in Session_Range mode.

Attached Thumbnails
NT7 VWAP indicator SD adjustment-vwap-session-range.jpg  
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  #15 (permalink)
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that's great, really appreciate the changes and the options.

Did update my VWAP indicator from NT default to "anaCurrentDayVWAPV33X4"and the performance improvements were sooooo impressive.

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