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NT7 VWAP indicator SD adjustment
Started:March 24th, 2011 (10:41 AM) by gktk Views / Replies:5,064 / 14
Last Reply:June 15th, 2011 (09:02 AM) Attachments:2

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NT7 VWAP indicator SD adjustment

Old March 24th, 2011, 10:41 AM   #1 (permalink)
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NT7 VWAP indicator SD adjustment

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

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Old March 24th, 2011, 10:41 AM   #2 (permalink)
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Old March 24th, 2011, 10:59 AM   #3 (permalink)
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That is an interesting idea. You did not specify which high and low, but I guess that you want to take the high and low of the same session the VWAP relates to.

If you add such bands they will move up and down

- when the VWAP moves up or down
- whenever there is an expansion of the current day's range

If price tries to catch them they will widen, but price may catch up with them, similar to Bollinger Bands. In the end of the session the bands will be wider than in the beginning. How do you trade these bands?

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Old March 24th, 2011, 01:27 PM   #4 (permalink)
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hi yes sorry it will be high - low of current price.

I have used SD with some success and truthfully this is based on a strategy i have started following elsewhere based on comments a very successful vwap trader, i can post some links if that is allowed (not sure) but summary below.

He refers to it as MPD or maximum permissible deviation, not a moving average but a form of risk management.

"These bands also cater for cyclic oscillation of stocks intra day as the bands widen on both ends ..
The bands are symmetrical around VWAP at all times and not just at the point of reversals."

Just keen to check out how stocks interact against this figure compared to the more traditional SD bands.

The bands should move in tandem to VWAP

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Old March 24th, 2011, 01:40 PM   #5 (permalink)
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hi yes sorry it will be high - low of current price.

I have used SD with some success and truthfully this is based on a strategy i have started following elsewhere based on comments a very successful vwap trader, i can post some links if that is allowed (not sure) but summary below.

He refers to it as MPD or maximum permissible deviation, not a moving average but a form of risk management.

"These bands also cater for cyclic oscillation of stocks intra day as the bands widen on both ends ..
The bands are symmetrical around VWAP at all times and not just at the point of reversals."

Just keen to check out how stocks interact against this figure compared to the more traditional SD bands.

The bands should move in tandem to VWAP

I think that I can add the bands to my VWAP indicator. But first would like to have a look at the concept, just to see whether it is worth the effort. I have found MPD bands, they have two MPD values

- MPD intra, calculated from today's range
- MPD, calculated from the prior day's range

Had a look at this site:

Vwap Engine: July 2006

I am not yet convinced that these bands give any useful signals.

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Old March 24th, 2011, 06:45 PM   #6 (permalink)
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the link is quite descriptive as it highlights high risk trades that are near or at the MPD ...and likewise lower risk trades further away from the MPD bands ...purely used to gauge risk IMO

I know Bright Trading use standard deviation as a gauge of risk. explained here: Definition of "Standard Deviation"

MPD is another traders more positive feedback on measuring risk compared to SD.

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Old April 12th, 2011, 02:54 PM   #7 (permalink)
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I have been reading a thread on traderslab about vwap and SD and it is interesting. I'm not done going over all the material so i can't say for sure, but they talk about market statistics and use the SD as a point to take profits and counter trend trades as well as stop loss levels, they look at these in relation to peak Volume Price.

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Old April 13th, 2011, 05:24 AM   #8 (permalink)
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thats right, i believe in laymans terms SD is the average of the average. To give you expectations on an instruments typical movement.

As a follow on to SD my previous comments were about the MPD ie the max permissible deviation, if you look at the calculation it is like an addendum to SD as it takes VWAP into account which is a very important benchmark.

So probability of an instrument breaking out of its upper MPD is very low and any long trades taken at upper MPD is much higher risk.

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Old April 14th, 2011, 09:46 AM   #9 (permalink)
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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

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Old April 14th, 2011, 10:33 AM   #10 (permalink)
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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

The anaCurrentDayVWAP will only plot the VWAP for the current day, as indicated by its name. A VWAP basically is an anchored moving average, which calculates the volume-weighted average price between the anchor point and the time for which it is displayed.

The indicator has the following options:

ETH: The anchor point is the start of the night session.
RTH: The anchor point is the start of the selected intra-day session.

If you use a session template with three intra-day sessions, the VWAP will be plotted for the third session only.
Example: For 6E I use the following session template (which does not reflect official times but fits my needs):

Asian session : 56:00 PM EST - 2:00 AM EST (first session)
European session: 2:00 AM EST - 8:20 EST (second session)
US session: 8:20 AM EST - 5:00 PM EST (third session)

Now, if I select RTH and the third session, the VWAP will be calculated from the start of the third session as an anchor point. Chart attached.

Attached Thumbnails
NT7 VWAP indicator SD adjustment-6e-06-11-3-min-14_04_2011.jpg  
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