Simple VWAP indicator - NinjaTrader | futures io social day trading
futures io futures trading


Simple VWAP indicator
Updated: Views / Replies:23,650 / 56
Created: by psmf Attachments:24

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors – all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you don’t need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 24  
 
Thread Tools Search this Thread
 

Simple VWAP indicator

  #11 (permalink)
Elite Member
Portland Oregon, United States
 
Futures Experience: Beginner
Platform: Ninjatrader®
Broker/Data: CQG, Kinetick
Favorite Futures: Gameplay Klownbine® Trading of Globex
 
Zondor's Avatar
 
Posts: 1,327 since Jul 2009
Thanks: 1,246 given, 2,635 received

another approach

Submitted for evaluation.

_VWAP bip1.cs

I am sorry if this is not complicated enough.

"If we don't loosen up some money, this sucker is going down." -GW Bush, 2008
“Lack of proof that something is true does not prove that it is not true - when you want to believe.” -Humpty Dumpty, 2014
“The greatest shortcoming of the human race is our inability to understand the exponential function.”
Prof. Albert Bartlett
Reply With Quote
The following 3 users say Thank You to Zondor for this post:
 
  #12 (permalink)
Market Wizard
Columbus, OH
 
Futures Experience: None
Platform: NT 8, TOS
Favorite Futures: ES
 
Silvester17's Avatar
 
Posts: 3,332 since Aug 2009
Thanks: 4,579 given, 10,313 received


Zondor View Post
Submitted for evaluation.

Attachment 106991

I am sorry if this is not complicated enough.

interesting.

here're 3 vwap indicators in action. first pic with a minute based chart, second with tick based chart:

- fat tail vwap
- zondor vwap
- gom vwap

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).



edit: was also comparing loading time:

gom vwap loads fastest (although it doesn't have bands), then fat tail vwap. zondor vwap took a bit longer to load.


Last edited by Silvester17; March 27th, 2013 at 06:34 PM. Reason: added loading time comparison
Reply With Quote
The following 5 users say Thank You to Silvester17 for this post:
 
  #13 (permalink)
Trading Apprentice
NY
 
Futures Experience: Advanced
Platform: NT
Favorite Futures: ES
 
psmf's Avatar
 
Posts: 14 since Nov 2010
Thanks: 3 given, 27 received



Zondor View Post
Submitted for evaluation.

Attachment 106991

I am sorry if this is not complicated enough.

1. Do you have habit to reference original source?
2. Your programming skills have a lot of room for improvement.

Reply With Quote
 
  #14 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,651 since Mar 2010
Thanks: 4,226 given, 25,600 received
Forum Reputation: Legendary

Accuracy versus CPU load

This is a trade off between accuracy and CPU load.

The most accurate VWAP can be calculated from a 1-tick series, which is possible with GOMI's VWAP. This takes a toll on the CPU. If you calculate a VWAP from minute data and do it correctly via a recursive algorrithm, it should always be fast.

I admit that I had used an inefficient algorithm for a long time, but had only recently replaced it. Also the NinjaScript method DrawRegion() causes a delay, and I have therefore replaced it with a custom plot.

Accuracy: The two simple VWAP are currently pretty inaccurate, but this is only due to input data.

Speed: I have compared the speed of the anaCurrentDayVWAPV40c (attached) to the simple VWAP by running the through a replay test with speed x500. Of course the simple VWAP is slightly faster. However, the difference is not significant.

The anaCurrentDayVWAPV40c is nearly as fast and has

-> 3 different options to calculate the bands
-> lets you display both RTH and ETH VWAPs
-> has a user selectable offset that lets you select the start time
-> has the zones between the bands colored
-> and does not show false connectors to the prior session

But let the users select what they like....


Accuracy: The orange line is the VWAP TOS, the blue line is the CurrentDayVWAPV40c

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).



Speed (anaCurrentDayVWAPV40c at x500 during RTH session):

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).



Speed (VWAP TOS at x500 during RTH session):

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).



For the speed comparisons please ignore the spikes, which are due to other applications that have been started in the background.

Attached Files
Register to download File Type: zip CurrentDayVWAPV40c.zip (9.2 KB, 193 views)
Reply With Quote
The following 10 users say Thank You to Fat Tails for this post:
 
  #15 (permalink)
Trading Apprentice
NY
 
Futures Experience: Advanced
Platform: NT
Favorite Futures: ES
 
psmf's Avatar
 
Posts: 14 since Nov 2010
Thanks: 3 given, 27 received


Fat Tails View Post
I am currently experimenting with different formulae. The VWAP that I have put into the downloads uses (Open + High + Low + Close)/4 to calculate the VWAP and the bar closes for calculating the variances. This is not an optimal solution either. I have tried to improve the volatility estimates, but I am not really satisfied with the results so far.


Fat Tails View Post
Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


In your evaluation above what input did you use?


Last edited by psmf; March 27th, 2013 at 05:35 PM.
Reply With Quote
 
  #16 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,651 since Mar 2010
Thanks: 4,226 given, 25,600 received
Forum Reputation: Legendary


psmf View Post
I your evaluation above what input did you use?

@psmf: I had the indicator file attached. You can check it and use it for your version.


VWAP:

The indicator uses (Open + High + Low + Close)/4 for the input series. If you just use the closing price, you introduce an error on a trending day, as was the case yesterday. If the instrument trades down, the close does not correctly represent the volume weighted average price of a single bar.


Standard Deviation Bands:

The largest error occurs with the first bar. If you compare the close to the close, you will obtain a standard deviation of zero for the first bar, even if it is a wide ranging bar. This does not make sense as the first bar only has a zero variance, if the high of that bar equals the low.

I therefore have used a technique, where each bar is represented by 8 data points. I calculate the variance of a single bar from those points, which are high, low, open, close, 2 x (high+low)/2, 2 x (open+close)/2.

I have empirically verified that this formula gets me much better results than the close-to-close approach. For the empirical verification, I have used a simple VWAP applied to a 1-tick chart. The error term on a 1-tick chart is zero, so it can be considered that it will display the exact value for the standard deviation.

I have also made some experiments with Parkinson, RogersSatchell and GarmanKlass variance estimators, but the results were not satisfactory so far.

Reply With Quote
The following 5 users say Thank You to Fat Tails for this post:
 
  #17 (permalink)
Elite Member
Naperville IL
 
Futures Experience: Intermediate
Platform: ninjatrader
Broker/Data: NT broker
Favorite Futures: NQ ES 6E GC CL
 
Posts: 954 since Feb 2010
Thanks: 1,184 given, 650 received

any differences


Fat Tails View Post
This is a trade off between accuracy and CPU load.

The most accurate VWAP can be calculated from a 1-tick series, which is possible with GOMI's VWAP. This takes a toll on the CPU. If you calculate a VWAP from minute data and do it correctly via a recursive algorrithm, it should always be fast.

I admit that I had used an inefficient algorithm for a long time, but had only recently replaced it. Also the NinjaScript method DrawRegion() causes a delay, and I have therefore replaced it with a custom plot.

Accuracy: The two simple VWAP are currently pretty inaccurate, but this is only due to input data.

Speed: I have compared the speed of the anaCurrentDayVWAPV40c (attached) to the simple VWAP by running the through a replay test with speed x500. Of course the simple VWAP is slightly faster. However, the difference is not significant.

The anaCurrentDayVWAPV40c is nearly as fast and has

-> 3 different options to calculate the bands
-> lets you display both RTH and ETH VWAPs
-> has a user selectable offset that lets you select the start time
-> has the zones between the bands colored
-> and does not show false connectors to the prior session

But let the users select what they like....


Accuracy: The orange line is the VWAP TOS, the blue line is the CurrentDayVWAPV40c

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).



Speed (anaCurrentDayVWAPV40c at x500 during RTH session):

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).



Speed (VWAP TOS at x500 during RTH session):

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).



For the speed comparisons please ignore the spikes, which are due to other applications that have been started in the background.

Hi, FT, any differences between version 40c and 40? currently I have version 40 installed, wondering if I should install 40c. thanks

Reply With Quote
 
  #18 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,651 since Mar 2010
Thanks: 4,226 given, 25,600 received
Forum Reputation: Legendary


supermht View Post
Hi, FT, any differences between version 40c and 40? currently I have version 40 installed, wondering if I should install 40c. thanks

The difference is mainly speed. The old version 40 uses an inefficient algorithm for the setting Variance_Last. An update is recommended.

For the version 40c, Variance_Price has become the default setting, as it is no longer penalized by creating unnecessary CPU load.

However, you can also wait a few days, as I will update the whole bunch of VWAPs and TWAPs, as soon as I find some time.

Reply With Quote
The following 2 users say Thank You to Fat Tails for this post:
 
  #19 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,651 since Mar 2010
Thanks: 4,226 given, 25,600 received
Forum Reputation: Legendary


Zondor View Post
Submitted for evaluation.

Attachment 106991

I am sorry if this is not complicated enough.


@Zondor: It is fast and 100% accurate, as it loads a 1-tick series.

However, it requires historical tick data. So it might take a little bit longer to load in the beginning. On real-time data it will be as fast as any other VWAP with setting COBC = false.

The indicator also allowed me to test the accuracy of the anaCurrentDayVWAPV40c with 1-minute data. The chart below shows your simple VWAP (red) against the anaCurrentDayVWAPV40c (blue).

The absolute error that I can measure for ES after the first 15 minutes into the session is about 0.06 points or 0.25 ticks. An error of 0.25 ticks seems acceptable for the anaCurrentDayVWAPV40c. See chart attached.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


Last edited by Fat Tails; March 27th, 2013 at 06:26 PM.
Reply With Quote
The following 4 users say Thank You to Fat Tails for this post:
 
  #20 (permalink)
Market Wizard
Columbus, OH
 
Futures Experience: None
Platform: NT 8, TOS
Favorite Futures: ES
 
Silvester17's Avatar
 
Posts: 3,332 since Aug 2009
Thanks: 4,579 given, 10,313 received


@Fat Tails,

just for another comparison.

I added some bands to the gom vwap and compared it to your new 40c version. used a 4 range and a 1 minute chart. as far as I can tell, they match nicely and both load really fast. even with variance price.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Reply With Quote
The following 4 users say Thank You to Silvester17 for this post:

Reply



futures io > > > > Simple VWAP indicator

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Linda Bradford Raschke: Reading The Tape

Elite only

Adam Grimes: TBA

Elite only

NinjaTrader: TBA

January

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
need vwap indicator that changes colour on up and downmoves anniebee321 NinjaTrader 27 August 10th, 2017 08:09 PM
VWAP SESSION NT indicator problem babypowder NinjaTrader 9 March 31st, 2014 04:43 PM
Indicator of distance price -> vwap FTrader NinjaTrader Programming 2 November 23rd, 2012 04:04 PM
daily VWAP indicator jmjstrider The Elite Circle 26 April 2nd, 2012 07:52 PM
NT7 VWAP indicator SD adjustment gktk NinjaTrader Programming 14 June 15th, 2011 10:02 AM


All times are GMT -4. The time now is 02:38 AM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-12-12 in 0.16 seconds with 20 queries on phoenix via your IP 54.90.207.75