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VWAP bands


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VWAP bands

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  #101 (permalink)
Market Wizard
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philhm View Post
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

You have not posted anything since December, and I do not know what you talk about. This message does not belong into this thread anyhow. Why not send me a private message?

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  #102 (permalink)
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Hello Fat Tails,

Thanks for your great work on the VWAP. I have a question that is maybe a little off-topic but I see you reset the VWAP at the beginning of the session. If I would like to do that for any other indicator does it need a change of code in the indicator itself or can I arrange it from the strategy too?

I was thinking of resetting the first bar of session to become the first bar but I don't blieve that's possible.

Thanks,

Ducman

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  #103 (permalink)
Market Wizard
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Ducman View Post
Hello Fat Tails,

Thanks for your great work on the VWAP. I have a question that is maybe a little off-topic but I see you reset the VWAP at the beginning of the session. If I would like to do that for any other indicator does it need a change of code in the indicator itself or can I arrange it from the strategy too?

I was thinking of resetting the first bar of session to become the first bar but I don't blieve that's possible.

Thanks,

Ducman

Most of the indicators use a fixed lookback period. If you have a look at the VWMA, this is essentially the same as the VWAP, but there is a difference

-> the VWMA always calculates a value from the last N bars (N is fixed)
-> the VWAP calculates a value from all bars since the session start (the number of bars is variable and increases by one with every bar until the end of the session)

This needs to be coded. Best use a recursive formula to avoid to go back until the beginning of the session with each incoming tick.

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March 6, 2012


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