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VWAP bands
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VWAP bands

  #91 (permalink)
Trading for Fun
Austin, TX
 
Futures Experience: Intermediate
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Posts: 82 since Nov 2011
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vwap

I use VWAP on my main charts, though I don't truly understand it. All I know is that when price has moved significantly away from VWAP, I start looking for reversals back. Seems to work well.

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  #92 (permalink)
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Learning VWAP

Checkout Fat Tails seminar on VWAP.

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  #93 (permalink)
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wireford View Post
Checkout Fat Tails seminar on VWAP.

Here is the link:

Webinar: Fat Tails on Session Indicators

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  #94 (permalink)
Elite Member
Beer-Sheva, Israel
 
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Hi all,

Merry Christmas and happy holidays !

It is my first replay.

My name is Haim and my trading expertise until now (8 years)
is with Index options (TA25 is the major Index here).

After many discussions with friends I decided to trade also
with currencies like the Euro-Dollar.
Due to that I start to read this wonderful and unique forum
and hopefully, with time, to participant more (question of time… )

My first post is here because I'm trying to use great indicator
anaCurrentDayVWAPV33X4.
Please see the attachment.

I start Ninja with the last bar that you see
My question is why the bands act like this, meaning, they suddenly been closed too much
Why is that and how can I fix that ?
I did not change the parameters (except of the VWAP plot style) – all is default.

Thanks.

Attached Thumbnails
VWAP bands-vwap1.jpg  

Last edited by Haim1; December 26th, 2011 at 05:46 AM.
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  #95 (permalink)
Elite Member
Berlin, Europe
 
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Platform: NinjaTrader, MultiCharts
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Haim1 View Post
Hi all,

Merry Christmas and happy holidays !

It is my first replay.

My name is Haim and my trading expertise until now (8 years)
is with Index options (TA25 is the major Index here).

After many discussions with friends I decided to trade also
with currencies like the Euro-Dollar.
Due to that I start to read this wonderful and unique forum
and hopefully, with time, to participant more (question of time… )

My first post is here because I'm trying to use great indicator
anaCurrentDayVWAPV33X4.
Please see the attachment.

I start Ninja with the last bar that you see
My question is why the bands act like this, meaning, they suddenly been closed too much
Why is that and how can I fix that ?
I did not change the parameters (except of the VWAP plot style) – all is default.

Thanks.

The volume weighted average is a calculation based on volume. Many data providers do not offer historical volume for currency pairs. In case that there is no volume, NinjaTrader will automatically assign the value 1 to every volume bar (to avoid division by zero problems). The last bar shows real-time volume, which is higher than the combined historical volume (bars of the session x 1) of all other bars of the session.

For FOREX you should therefore use the time weighted average price (TWAP) instead of the volume weighted average price (VWAP).

The indicator which you used, is an experimental version, which I had coded some 6 months ago. Please always use the updated versions, which can be found in the download section of the forum. Just search for "SessionVWAP" and "SessionTWAP".

Attached Thumbnails
VWAP bands-vwap-eurusd.jpg   VWAP bands-twap-eurusd.jpg  

Last edited by Fat Tails; December 26th, 2011 at 06:40 AM.
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  #96 (permalink)
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Haim1 View Post
Hi all,

Merry Christmas and happy holidays !

It is my first replay.

My name is Haim and my trading expertise until now (8 years)
is with Index options (TA25 is the major Index here).

After many discussions with friends I decided to trade also
with currencies like the Euro-Dollar.
Due to that I start to read this wonderful and unique forum
and hopefully, with time, to participant more (question of time… )

My first post is here because I'm trying to use great indicator
anaCurrentDayVWAPV33X4.
Please see the attachment.

I start Ninja with the last bar that you see
My question is why the bands act like this, meaning, they suddenly been closed too much
Why is that and how can I fix that ?
I did not change the parameters (except of the VWAP plot style) – all is default.

Thanks.

Note that you'll need to be an Elite member of futures.io (formerly BMT) to download the new TWAP indicator.

Lolu

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  #97 (permalink)
Elite Member
Beer-Sheva, Israel
 
Futures Experience: Intermediate
Platform: NinjaTrader
Favorite Futures: YM
 
Posts: 22 since Oct 2011
Thanks: 102 given, 5 received

Fat Tails,

First, I would like to thank you for many other posts in this forum.
They are very interesting, informative and effective – Thanks.

Regarding the above – Now I understand why it's happened and
how it can be fix (SessionTWAP).

For overall knowledge:
Why those providers do not offer historical volume for currency pairs ?
Maybe I'm too naive but volume is very basic information.

Lolu – Thanks for your comment.

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  #98 (permalink)
Elite Member
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Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
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Fat Tails's Avatar
 
Posts: 9,651 since Mar 2010
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Forum Reputation: Legendary


Haim1 View Post
Fat Tails,

First, I would like to thank you for many other posts in this forum.
They are very interesting, informative and effective – Thanks.

Regarding the above – Now I understand why it's happened and
how it can be fix (SessionTWAP).

For overall knowledge:
Why those providers do not offer historical volume for currency pairs ?
Maybe I'm too naive but volume is very basic information.

Lolu – Thanks for your comment.

If you have an exchange traded instrument, it is very easy to provide volume information, as all trades are cleared through the exchange. FOREX pairs are not exchange traded instruments, but the FOREX markets are decentralized and no one is capable of adding up the volume information of all those FOREX markets.

If you trade FOREX pairs through an ECN broker, it would be possible to have the volume information of that network to be transmitted, but it would be incomplete.

For FOREX therefore price data depends on the broker who supplies it, and volume data is not available. Many FOREX data feeds supply tick volume instead of real volume.

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  #99 (permalink)
Elite Member
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Futures Experience: Advanced
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Fat Tails's Avatar
 
Posts: 9,651 since Mar 2010
Thanks: 4,226 given, 25,597 received
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VWAP and TWAP Updates V38

I have updated the

-> SessionVWAP Daily
-> SessionVWAP Weekly
-> SessionTWAP Daily

to version 38. The update includes the Globex Holiday calendar for 2012. Otherwise there are a few minor enhancements. The indicators can be downloaded here:

https://futures.io/download/ninjatrader-7/indicators/674-download.html?view
https://futures.io/download/ninjatrader-7/indicators/974-download.html?view
https://futures.io/download/ninjatrader-7/indicators/934-download.html?view

Downloads are for Elite members only.

Attached Thumbnails
VWAP bands-currentdayvwap.jpg   VWAP bands-currentweekvwap.jpg   VWAP bands-currentdaytwap.jpg  
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The following 15 users say Thank You to Fat Tails for this post:
 
  #100 (permalink)
Elite Member
New York, NY
 
Futures Experience: Advanced
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Favorite Futures: ES, CL, 6E, Bunds
 
Posts: 125 since Apr 2010
Thanks: 68 given, 108 received


Hi Fat Tails! Thanks again for everything you do for us here. I am a big fan and use your indicators in my daily trading. Wanted to ask you if you saw my note about the paint bars on the indicator post? Would it be possible for you to allow the non hollow option in the code?

Thanks again

Phil

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