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VWAP bands
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VWAP bands

  #71 (permalink)
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btw, cool picture Mike, that dog can fly dude!


Big Mike View Post
It's fine, just didn't belong in IRT forum any longer.

Mike


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  #72 (permalink)
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This could be the best approach Fat Tails, daily and weekly bands... thanks




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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  #73 (permalink)
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syxforex View Post
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

If you code my VWAPs, I can stop coding and exclusively focus on trading.

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  #74 (permalink)
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Your feats of coding are amazing... wish I could focus on the trading too, some days very close to giving in, but nothing to give in to, so I keep pluggin'


Fat Tails View Post
If you code my VWAPs, I can stop coding and exclusively focus on trading.


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  #75 (permalink)
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Come and join us at topsteptrader, it's a great trading house, btw!


Fat Tails View Post
If you code my VWAPs, I can stop coding and exclusively focus on trading.


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  #76 (permalink)
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@Fat Tails, I have attached shots of a 1m and 5m chart taken a few seconds apart. I understand the resolution of the 5m makes the VWAP less accurate, but I have "calculate on bar close" set to false on both, and I would expect the values to be a bit more similar than this. What am I missing here?

Attached Thumbnails
VWAP bands-clvwap1m.png   VWAP bands-clvwap5m.png  
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  #77 (permalink)
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josh View Post
@Fat Tails, I have attached shots of a 1m and 5m chart taken a few seconds apart. I understand the resolution of the 5m makes the VWAP less accurate, but I have "calculate on bar close" set to false on both, and I would expect the values to be a bit more similar than this. What am I missing here?

On my charts at 6:40 PM EST the VWAP for CL 09-11 was calculated as follows:

5 min chart:: 84.60
1 min chart: 84.50

This is clearly a resolution issue. Actually the volume was relatively high immediately after the session started, so you just need to look at the VWAPs at 6:05 EST. At that time I find

5 min chart 84.99
1 min chart 84.89

The problem is linked to the large high volume candle which plotted right after the open. The candle volume is accounted for at the average price, which is different for the 1 min and the5 min chart.

Yes, this is a typical resolution issue. Note that CL moved 150 ticks during the first 10 minutes.


Last edited by Fat Tails; August 8th, 2011 at 07:17 AM.
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  #78 (permalink)
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Fat Tails View Post
Yes, this is a typical resolution issue. Note that CL moved 150 ticks during the first 10 minutes.

Thanks buddy.

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  #79 (permalink)
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Session for 6e

I did some backrests , for 6e, VWAP ETH session seems better than RTH when trading against the 2nd band

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  #80 (permalink)
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supermht View Post
I did some backrests , for 6e, VWAP ETH session seems better than RTH when trading against the 2nd band

I am not astonished as FOREX instruments are traded round the clock.

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