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VWAP bands
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VWAP bands

  #61 (permalink)
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Indicator Update VWAP and TWAP V36

I have just updated the SessionVWAP and SessionTWAP. The indicators can be found here:

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

I have slightly changed the calculation mode. The VWAP and TWAP now use the average price (High + Low + Open + Close) / 4. The standard deviation bands use the inpute series. This means that - with default settings - the indicator will calculate variance based on the distance between close and the VWAP / TWAP based on the average price.

In particular this means that the standard deviation for the first bar of a session is not zero, as the close is compared to the average price (High + Low + Open + Close). The visual appearance of the indicator directly after the session open will therefore be different. It will not necessarily show as a beak-shaped ghost, but start with a wider range than you may find for other VWAP bands, which are calculated by using the close.

Please note that using four data points for each bar instead of one increases the accuracy.

I have also made a number of smaller modifications, improved the plot and removed a minor bug. The update is recommended.

Attached Thumbnails
VWAP bands-6e-09-11-3-min-26_07_2011-vwap.jpg   VWAP bands-6e-09-11-3-min-26_07_2011-twap.jpg  
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  #62 (permalink)
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Please join us this Sunday, July 31st @ 2:00PM Eastern for @Fat Tails webinar on trading VWAP, Pivots, and other Session Indicators:

https://futures.io/elite-circle/12482-webinar-trading-session-indicators-explained-sunday-july-31-2-00-pm-est.html

Register for the webinar (link inside) ahead of time.

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  #63 (permalink)
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Fat Tails View Post
I have just updated the SessionVWAP and SessionTWAP.

I have also made a number of smaller modifications, improved the plot and removed a minor bug. The update is recommended.

Notifications sent.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

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  #64 (permalink)
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Hey FatTails,

thanks a lot. A weekly or multi day (adjustable) VWAP would be super cool if you have one that works on a small time frame chart. It would be cool to put on the one day, two day, three day, etc... thanks so much dude!


Fat Tails View Post
The question is what you call a multi-session VWAP.

The standard VWAP in the downloads allows you to select between three modes: ETH, RTH and RTH_Multi.

Let us take for example CL and assume that you have divided the day into three sessions: the night session (6:00 PM to 9:00 AM), the RTH session (9:00 AM to 2:30 PM) and the after session (2:30 PM to 5:00 PM). This is possible:

ETH: VWAP will be calculated for the entire trading day.
RTH 1: VWAP will only be calculated for the night session (first segment).
RTH 2: VWAP will only be calculated for the RTH session (second segment).
RTH-Multi 2: VWAP will be calculated for the RTH session (second segment) calculation will be continued into the after-session (third segment).

If you are talking about a weekly VWAP with standard deviation bands, I think I have it somewhere, but I still need to rework that one a little bit.

I also think I have done a version that compares 1-day VWAP (average price of the current day) with a 2-day VWAP (average price over a 2-day-period) and a 3-day VWAP. But that one is still experimental.

I also plan to code a multi- timeframe VWAP, as the accuracy is not yet good on longer period (> 10 min ) charts. VWAP is a typical example, where the resolution matters:

-> on small period tick charts it will possibly never stop calculating and exhaust your CPU
-> on large period charts it will be inaccurate

So in the two cases it is better to load a 1-minute series and use it to calculate the VWAP. This will solve both the CPU and accuracy problems.

But what do you look for?


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  #65 (permalink)
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syxforex View Post
Hey FatTails,

thanks a lot. A weekly or multi day (adjustable) VWAP would be super cool if you have one that works on a small time frame chart. It would be cool to put on the one day, two day, three day, etc... thanks so much dude!

You will find a weekly VWAP included with the second package that I have posted in the Webinar thread.

https://futures.io/elite-circle/12482-webinar-trading-session-indicators-explained-sunday-july-31-2-00-pm-est.html

Use it with Variance_Distance or Session_Range setting, and it should work on real-time charts. Avoid Variance_Last settings for smaller timeframe charts.

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  #66 (permalink)
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Hey Fat Tails, thanks so much for the VWAP indicators you have shared with the community at Big Mikes. I'm loving these VWAP indicators and wondering if there is a way to put the RTH VWAP on at ETH chart so that both the RTH AND ETH VWAP lines coexist on the same chart, preferably placing the RTH VWAP on the ETH chart? Is it possible?

Thanks again for your awesome indicators and great posts!




Fat Tails View Post
You will find a weekly VWAP included with the second package that I have posted in the Webinar thread.

https://futures.io/elite-circle/12482-webinar-trading-session-indicators-explained-sunday-july-31-2-00-pm-est.html

Use it with Variance_Distance or Session_Range setting, and it should work on real-time charts. Avoid Variance_Last settings for smaller timeframe charts.


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  #67 (permalink)
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syxforex View Post
Hey Fat Tails, thanks so much for the VWAP indicators you have shared with the community at Big Mikes. I'm loving these VWAP indicators and wondering if there is a way to put the RTH VWAP on at ETH chart so that both the RTH AND ETH VWAP lines coexist on the same chart, preferably placing the RTH VWAP on the ETH chart? Is it possible?

Thanks again for your awesome indicators and great posts!

Use a session template that divides the day into the RTH session and the remainder. I attach session templates for ES and CL below as an example.

Then apply the VWAP and set it to RTH and 2nd session (as the RTH session is the second session of your template). If you set the VWAP to RTH_Multi, it will continue its calculation from the 2nd into the 3rd session for CL.

Attached Thumbnails
VWAP bands-session-template-es.jpg   VWAP bands-session-template-cl.jpg  
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  #68 (permalink)
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Super cool man, thanks. BTW, ss there a way to setup sessions so as to create the two day vwap? I really like the weekly though from eyeballing the chart it seems the two would be very handy indeed. Was driving all weekend at my other job so missed the webinar but will take a look at it as soon as I can. Do you happen to have a two day vwap, even if it's not perfect? Thanks again man! You are a genius!



Fat Tails View Post
Use a session template that divides the day into the RTH session and the remainder. I attach session templates for ES and CL below as an example.

Then apply the VWAP and set it to RTH and 2nd session (as the RTH session is the second session of your template). If you set the VWAP to RTH_Multi, it will continue its calculation from the 2nd into the 3rd session for CL.


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  #69 (permalink)
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syxforex View Post
Super cool man, thanks. BTW, ss there a way to setup sessions so as to create the two day vwap? I really like the weekly though from eyeballing the chart it seems the two would be very handy indeed. Was driving all weekend at my other job so missed the webinar but will take a look at it as soon as I can. Do you happen to have a two day vwap, even if it's not perfect? Thanks again man! You are a genius!

Currently do not have a 2-day VWAP that can be easily used.

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  #70 (permalink)
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Perhaps, FatTails, it is best... the matrix at 1 is complex enough, and good enough, really, what's another line, you can actually see it anyways if you just look at the one Week, on Wednesday anyways, lol,, thanks again dude... I will keep hounding you for N Period, maybe I should learn some C# one of these days anyways, just a matter of time till i own all them vwap bands my friend.. haha


Fat Tails View Post
Currently do not have a 2-day VWAP that can be easily used.


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