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VWAP bands
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VWAP bands

  #41 (permalink)
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How to Use the VWAP Bands

FT-

Thanks once again for a remarkable indicator. I am comfortable with just the VWAP but would love to know how to use bands in trading. I realize that they are deviations like BB bands. So should they act as support and resistance? Or judging the strength of a trend?
Help or direction to a thread from anyone would be appreciated as FT spends 38 hours per day developing indicators for knuckleads such as myself.

Thanks in advance.

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  #42 (permalink)
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wireford View Post
FT-

Thanks once again for a remarkable indicator. I am comfortable with just the VWAP but would love to know how to use bands in trading. I realize that they are deviations like BB bands. So should they act as support and resistance? Or judging the strength of a trend?
Help or direction to a thread from anyone would be appreciated as FT spends 38 hours per day developing indicators for knuckleads such as myself.

Thanks in advance.

Vwap is used to identify liquidity points. As a volume-weighted price measure, VWAP reflects price levels weighted by volume. This can help institutions with large orders. The idea is not to disrupt the market when entering large buy or sell orders. VWAP helps these institutions determine the liquid and illiquid price points for a specific security over a very short time period.

VWAP can also be used to measure trading efficiency. After buying or selling a security, institutions or individuals can compare their price to VWAP values. A buy order executed below the VWAP value would be considered a good fill because the security was bought at a below average price. Conversely, a sell order executed above the VWAP would be deemed a good fill because it was sold at an above average price.


The bands help you to identify how far is price compared to the vwap and act accordingly, I use them in my everyday trading, you can find some examples here https://futures.io/traders-hideout/11184-italian-job.html

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  #43 (permalink)
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wireford View Post
FT-

Thanks once again for a remarkable indicator. I am comfortable with just the VWAP but would love to know how to use bands in trading. I realize that they are deviations like BB bands. So should they act as support and resistance? Or judging the strength of a trend?
Help or direction to a thread from anyone would be appreciated as FT spends 38 hours per day developing indicators for knuckleads such as myself.

Thanks in advance.

A poster by the name of jperl over at TL posted a series of threads entitled "Trading With Market Statistics" .. google it and you will find tons of info on trading with vwap and SD bands.

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  #44 (permalink)
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@Fat Tails

If I want to reference a value from your study, would I do it like shown in the picture?

I'll make those inputs I'm trying to pass to it as user inputs on my study, but for now, how would I change this to just put the values directly into that line of code I have?

Attached Thumbnails
VWAP bands-prime2011-07-24_130647.png  
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  #45 (permalink)
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josh View Post
A poster by the name of jperl over at TL posted a series of threads entitled "Trading With Market Statistics" .. google it and you will find tons of info on trading with vwap and SD bands.

That's the thread my friend that I am writing some aids for bases his trading on. He sent me a cliff notes version of the info he compiled from that thread for me to reference while I'm writing the script.


Last edited by forrestang; July 25th, 2011 at 06:19 AM.
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  #46 (permalink)
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forrestang View Post
@Fat Tails

If I want to reference a value from your study, would I do it like shown in the picture?

I'll make those inputs I'm trying to pass to it as user inputs on my study, but for now, how would I change this to just put the values directly into that line of code I have?

The correct way to reference would be

 
Code
udSd3[0] = anaCurrentDayVWAPV33 (Input, anaBandTypeVWAP33.Variance_Distance, 
       anaSessionTypeVWAP33.ETH, 1.0, 2.0, 3.0,  anaSessionCountVWAP33.Hybrid).UpperBand3[0];
so you need to add "[0]" in the end, if you want to retrieve the current value, because it is a DataSeries object. If you call UpperBand3, that is the third band which is 3 standard deviations above the VWAP. The VWAP itself can be called via SessionVWAP.

Just a note on the parameters:

-> Input: The VWAP itself is calculated from the Typical Price. The input only affects the calculation of the standard deviation bands.
-> Vairance_Distance: Calculation mode. I recommend Variance_Distance.
-> ETH: Will use the data from the entire trading day, as defined by the session template of the bar series used.
-> 1,2,3 : multipliers for the standard deviation bands, 3 indicates that UpperBand3 uses a factor 3.
-> Hybrid: This settings is only relevant for RTH, it means that the indicator identifies the second intraday session of the trading day as RTH session, with the exception of currency futures and FOREX, where it will select the third intraday session. This requires the use of appropriate session templates. As long as you use ETH this has no meaning.

The indicator will not return any value for (CurrentBar = = 0), and will not calculate the VWAP for the first session to avoid that the reference period is incomplete. So best check for values before accessing the indicator:

 
Code
if(anaCurrentDayVWAPV33(Input, anaBandTypeVWAP33.Variance_Distance, anaSessionTypeVWAP33.ETH,
        1.0, 2.0, 3.0,  anaSessionCountVWAP33.Hybrid).UpperBand3.ContainsValue(0))
            udSd3[0] = anaCurrentDayVWAPV33 (Input, anaBandTypeVWAP33.Variance_Distance, 
            anaSessionTypeVWAP33.ETH, 1.0, 2.0, 3.0,  anaSessionCountVWAP33.Hybrid).UpperBand3[0];
This is recommended for all complex or third party indicators.


Last edited by Fat Tails; July 24th, 2011 at 09:30 PM.
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  #47 (permalink)
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forrestang View Post
That's the thread my friend that I am writing some aids for bases his trading on. He sent me a cliff notes version of the info he compiled from that thread for me to reference while I'm writing the script.

It looks as if market profile takes its volume from the RTH session. In that case you would want to call the VWAP as RTH as well. I would not use the Hybrid setting, but rather call the First, the Second or the Third session of the trading day directly, depending on your instrument and session template.

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  #48 (permalink)
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I still get the same error I got before. These are all the same type of error btw.

Attached Thumbnails
VWAP bands-prime2011-07-24_142254.png  
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  #49 (permalink)
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forrestang View Post
I still get the same error I got before. These are all the same type of error btw.

I have cheated a bit and corrected my previous post. The indicator is called anaCurrentVWAPV33 -> note the V33 in the end. The enums need to be called in full length including the enum type. Then it should work.

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  #50 (permalink)
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Fat Tails View Post
The enums need to be called in full length including the enum type. Then it should work.

Do you mean like this:

 
Code
#region Using declarations
using System;
using System.Diagnostics;
using System.ComponentModel;
using System.Collections;
using System.Diagnostics;
using System.Drawing;
using System.Drawing.Drawing2D;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Data;
using NinjaTrader.Gui.Chart;
#endregion

#region Global Enums

public enum anaSessionTypeVWAP33 {ETH, RTH, RTH_Multi}
public enum anaSessionCountVWAP33 {First, Second, Third, Hybrid}
public enum anaBandTypeVWAP33 {Variance_Distance, Variance_Last, Session_Range, None} 

#endregion
I am still getting quite a few errors. Have you called for these values in this study from another place before?

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