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anaVWAP Drawing Issue?
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anaVWAP Drawing Issue?

  #21 (permalink)
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Any of Fat Tails published basic concepts is free for download... any users with own programming experience can modify this self for add any needed features.
Its is normal, when a developer in continue make his work faster and better by using other internal concepts. This is dont need to publish... this is don't needed, while any results comperable with the basic concept... its only nice to have.

The other point is: make any additions on request. Here is the time for do this the value, not the work self!
I see no problem with a offer for customize a free basic tool and/or give access to advantage internal funtions for better use/realize the requested functionality.

=> Change the free code self or use a "time" offer from any interested developer. Its a simple deal and NOT a VENDOR BUSINESS.

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  #22 (permalink)
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syxforex View Post
Fat Tails,

Fair enough with what you have written here, but to be sure, I think you are an indicator salesman, and I have emails from you that I am happy to publish here wherein on multiple occasions you have quoted me 250$ for the n period vwap. I have no problem with your current business model whatsoever and I wish you all the luck with your new online indicator store.

The discussion does not belong into this thread, I will not answer in detail. Just two comments. I have indeed sold a package of 8 high performance VWAPs to a few other traders for $ 250 (I am using these indicators for my own trading, have spent about a month to code them). My quote to you was for 8 indicators as you asked for it. Furthermore, I have repeatedly recommended to you not to purchase any expensive indicators, as it will not improve your trading. I have even explained to you, how you can achieve comparable results by using free indicators.

And now:


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  #23 (permalink)
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And there is the truth Fat Tails, I am a trader, whereas you only claim to be. I am quite sure that you are but an indicator salesman, only. Though I don't profess to read across space and time like you your indicator greatness. For all the money you leach off the good people here on this site I am always shocked by your level of arrogance and disrespect for them.

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  #24 (permalink)
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  #25 (permalink)
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Moderator Note


Rude behavior is not tolerated.

syxforex has been banned for 3 months for his rude comments. It will be up to him whether the ban becomes permanent after that.

I want to emphasize, this behavior is not welcome nor tolerated here. If you are compelled to act this way, do it somewhere else.




Mike

looking at his posting time stamp I think you meant 30 days instead of 3 months.

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  #26 (permalink)
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cory View Post
looking at his posting time stamp I think you meant 30 days instead of 3 months.

I lift bans early for good behavior (ie: not creating duplicate accounts to get around the ban, not emailing me and cussing me out and telling me how it was the biggest mistake of my life to ban the user, etc).

Mike

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4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
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6)
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  #27 (permalink)
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@Fat Tails,

Not sure if this is an issue or not, but if both anaCurrentDayVWAP40 and NT default VWAP are plotted, different results are seen which are obvious at the beginning but then converge at the end of the session.

I can assume this might be due to the session hours used in both indicators. I believe from the parameter list the default NT VWAP uses a full 24 hrs.

Could you confirm this please. If that is the case Ninja has done a poor job in this regard.

Thanks.

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  #28 (permalink)
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aligator View Post
@Fat Tails,

Not sure if this is an issue or not, but if both anaCurrentDayVWAP40 and NT default VWAP are plotted, different results are seen which are obvious at the beginning but then converge at the end of the session.

I can assume this might be due to the session hours used in both indicators. I believe from the parameter list the default NT VWAP uses a full 24 hrs.

Could you confirm this please. If that is the case Ninja has done a poor job in this regard.

Thanks.


@aligator: This is a difficult question, because there are several answers. We need to make a distinction between the VWAP and the bands.

First of all, the VWAP is not a NinjaTrader default indicator, but was published on the NinjaTrader forum. Also the deviation that you observed is not linked to the selected session, as on your chart, both VWAPs start at the same time.

VWAP formula: There is only one accurate value for the VWAP. You get it, if you calculate the volume-weighted average price of all transactions. You can calculate the exact value by applying the VWAP indicator to a 1-Tick chart. If you apply the VWAP to a 2000-Tick chart, then you neeed to make an approximation, as you do not have the prices of all transactions within each 2000-Tick bar available.

For the purpose of calculating the average price, the forum VWAP attaches the entire volume of the bar to the close. This is obviously a bad approximation. The anaCurrentDayVWAP uses (Open +High +Low +Close)/4 instead of the close, which is much more accurate. I have attached a chart below with yesterday's price action for the ES 06-13. The anaCurrentDayVWAP is displayed blue & red, where the forum VWAP has green & orange colors. At (2) you can notice that the orange forum VWAP deviates to the upside, because it attaches the volume of the two green bars to the close, while the anaCurrentDayVWAP has the better approximation.

Standard deviation bands: The anaCurrentDayVWAP uses two different formulae, the formula Variance_Last, which follows the classical definition of the standard deviation of data points, and the formula Variance_Distance, which in fact is based on the variance of the distance of all data points from the VWAP around the value 0, and not on the variance of the data points around the mean. The Variance_Distance formula is a recursive formula, which is fast to calculate and which gives a good approximation of the orthodox Variance_Last formula, once you are one or two hours into the session. The anaCurrentDayVWAP can also calculate bands according to a third formula, which is based on the session range and which is also available in other charting packages.

If you want to compare the SD bands plotted by the anaCurrentDayVWAP to the SD bands plotted by the forum VWAP, you need to set anaCurrentDayVWAP to Variance_Last, such that both of them use the same approach. If we look at yesterday's chart again, you will find two noteworthy differences. At (1) the forum VWAP starts the day with a beak. The standard deviation is calculated as zero for the first bar, because the indicator compares the close to the close. This is obviously incorrect. It is not a big problem for an ETH VWAP, as the volume of the first bar of the night session is rather low. But it can be a problem for the RTH VWAP, as the volume of the first bar of the regular session is pretty high. At (2) you will notice that the SD bands of the forum VWAP show approximately the same error as the VWAP itself.

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The chart below shows the full problem for the VWAP calculated for the RTH session.
Both indicators are set to COBC = true. The values do not match at all.

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When set to COBC = false, the forum VWAP calculates different values for the VWAP and the SD bands.
This means that it changes its values, if you refresh the chart via F5, see below:

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  #29 (permalink)
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NinjaTrader Forum VWAP

By the way, here is another example, how erroneous the calculations of the VWAP from the NinjaTrader forum are sometimes.

The chart shows the price action of 6B 03-13 for yesterday's regular session. You will notice that quite a few price bars closed outside the 3rd SD band during the morning. This is impossible!

For a Gaussian distribution only about 0.27% per cent of the data points should be outside the 3SD band. The regular session is made up of 400 1-minute bars. Applying the 0.27% rule I would expect one single bar out of 400 to close outside the 3SD band. However on this chart over 10% of all bars close outside the 3SD band!

This indicator is absolute crap. Just in case that you had any doubts.

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If you look at the correct picture, there is one bar that close 5 ticks above the 3SD band, but none that close outside.

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  #30 (permalink)
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Fat Tails View Post
@aligator:
First of all, the VWAP is not a NinjaTrader default indicator, but was published on the NinjaTrader forum.

Thanks @Fat Tails,

Great explanation. I did compare the two again using the typical price for Forum VWAP just for curiosity, knowing will not get a match. And for sure there is no match.

Conclusion: The forum vwap needs some work or is to be ditched.

Cheers!

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