VWAP bands

November 4th, 2011, 01:44 PM

Fat Tails

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

**Links deleted as won't allow me to post messages with links until my post is up to 5!

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.

Hello Fat Tails,

I tried to download the VWAP indicator from the link you provided above, but when I click on what looks like the download link (link in little box in the middle of the righthand side), nothing happens. Am I doing something wrong or is this available for elite members only?

Thanks
Dan

November 4th, 2011, 01:58 PM

Just noticed a padlock before the title at the top left hand corner, which on hovering my mouse on it displays a message basically stating access denied unless one is an elite member. Shame, though, considering the original author (Fat Tails) did this for free in the first place it would appear.

November 4th, 2011, 02:09 PM

danjuma

Just noticed a padlock before the title at the top left hand corner, which on hovering my mouse on it displays a message basically stating access denied unless one is an elite member. Shame, though, considering the original author (Fat Tails) did this for free in the first place it would appear.

it's software pirates' fault, go after them.

November 4th, 2011, 03:56 PM

danjuma

Just noticed a padlock before the title at the top left hand corner, which on hovering my mouse on it displays a message basically stating access denied unless one is an elite member. Shame, though, considering the original author (Fat Tails) did this for free in the first place it would appear.

The original author did this for free, but also learnt a lot from other members of Big Mike's.

Running the forum is more than a full-time job. Some of the indicators are relatives of commercial indicators and there were take-down requests that had to fended off. Also the forum requires a lot of server space for all the posts and attachments. All this does not come entirely free, so in my opinion the small contribution requested to become an elite member is justified.

The forum also allows to send private messages, maybe I do not mind to share a simple indicator with somebody who a serious interest in trading.

November 4th, 2011, 04:21 PM

danjuma

Just noticed a padlock before the title at the top left hand corner, which on hovering my mouse on it displays a message basically stating access denied unless one is an elite member. Shame, though, considering the original author (Fat Tails) did this for free in the first place it would appear.

I had no problem paying $50 for a lifetime membership to have full access to everything. $50 for lifetime access--that's 4 ticks in ES dude, c'mon :-)

November 4th, 2011, 06:22 PM

josh

I had no problem paying $50 for a lifetime membership to have full access to everything. $50 for lifetime access--that's 4 ticks in ES dude, c'mon :-)

Agree, $50 is not a lot to pay, IF you are already making money from this. However, for newbies starting out, who are still at the paper trading/simulation stage, and at the same time still having to pay for things like monthly data fees etc, you want to try and minimize your expenses as much as possible. Sure, if/when I start to actually make money from trading, I will gladly consider paying $50 dollars for membership if I need to. I suppose I will just have to make do with the free ones available on the NT forum for now.

Cheers
Dan

November 5th, 2011, 04:21 AM

By the way, just to make it clear, this looks like a brilliant forum, filled with a wealth of information. I would definitely consider joining as an elite member very soon.

November 5th, 2011, 04:56 AM

Not to venture further off topic, but in a couple of weeks we will have our Thanksgiving Charity Drive, and all Elite Membership sign ups will go to charity. So if you can't spend $50 in terms of education for your trading career, maybe you could spend it to feed the hungry. Watch the site, it will be a banner on the top of the pages when it is running.

More nexusfi.com (formerly BMT) charities and events (I think I am missing a few from the list as I have forgotten to update the thread):

BMT Charities and Contests

As a group, the members of futures.io (formerly BMT) are a very generous group of people. THANK YOU GUYS!!

I wanted to start this thread just to keep track of the generosity of everyone here on futures.io (formerly BMT) with regards to the various charities …

Mike

November 5th, 2011, 07:15 AM

Big Mike

Not to venture further off topic, but in a couple of weeks we will have our Thanksgiving Charity Drive, and all Elite Membership sign ups will go to charity. So if you can't spend $50 in terms of education for your trading career, maybe you could spend it to feed the hungry. Watch the site, it will be a banner on the top of the pages when it is running.

More futures.io (formerly BMT) charities and events (I think I am missing a few from the list as I have forgotten to update the thread):

Mike

Ok, thinking about it, whether for education or charity, I think the $50 is not too bad, so signing up now, I am sure I will gain far more than $50 worth from this site. Great site by the way!

November 5th, 2011, 08:22 AM

I've been trading for the last year and half and another year before on paper trading. Along the way i spent quite a bit on a variety of educational investments. I accidentally came across this site may be a month or so ago and i signed up to elite the following day and i can definitely say that this is the BEST INVESTMETN I made. $50 is Nothing compared to the wealth of information that one will get from here. I spent a lot of time in here since i joined and i think i did not even scratch the surface of it. I'm a breakeven trader and i think this site will change that, especially the trading journal are awesome as it is teaching me on how experience traders look at charts and i dont think one will this kind of information unless one is spending one on one with an experienced trader.

I sincerely thanks Big Mike and the community for freely sharing their ideas from the bottom of my heat.

THANK YOU BIG MIKE FOR THE SITE
THANK YOU FELLOW TRADERS FOR SHARING.

VWAP bands

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VWAP bands