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Simple VWAP indicator
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Created: by psmf Attachments:24

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Simple VWAP indicator

  #21 (permalink)
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psmf View Post
Intraday only simple VWAP indicator based on Thinkorswim logic.

Enjoy

Happy trading to all.

Updated

What's new:

- Two sets of Upper/Lower Bands;

- Using (Open + High + Low + Close)/4 for better accuracy;

Enjoy

Happy trading to all.

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Register to download File Type: zip VWAP2.zip (2.4 KB, 276 views)
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  #22 (permalink)
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psmf View Post
Updated

What's new:

- Two sets of Upper/Lower Bands;

- Using (Open + High + Low + Close)/4 for better accuracy;

Enjoy

Happy trading to all.

@psmf: You do not need a separate DataSeries for _VWAP, but can use the plot series. If you replace "Default" under Properties in line 120 with "_VWAP", you can then delete the lines 90, 56 & 29 from bottom to top.

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  #23 (permalink)
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Fat Tails View Post
@psmf: You do not need a separate DataSeries for _VWAP, but can use the plot series. If you replace "Default" under Properties in line 120 with "_VWAP", you can then delete the lines 90, 56 & 29 from bottom to top.

Thank you, FT.

My experience told me multiply times that holding data in Plots is completely unreliable.

BTW one of programming paradigm is that "any 100 lines of code contain at least one error", my code is not exception.

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  #24 (permalink)
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psmf View Post
Thank you, FT.

My experience told me multiply times that holding data in Plots is completely unreliable.

BTW one of programming paradigm is that "any 100 lines of code contain at least one error", my code is not exception.

The same applies to my own coding, which gradually evolves towards simplicity and fewer bugs.

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  #25 (permalink)
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psmf View Post
Thank you, FT.

My experience told me multiply times that holding data in Plots is completely unreliable.

BTW one of programming paradigm is that "any 100 lines of code contain at least one error", my code is not exception.

PSMF VWAP indicator is fast and works nicely. It would have been fantastic if PVP (Peak Volume Price) indicator is added with it. I would also request great master of futures.io (formerly BMT) forum Fattails to look at it. His ana series is simply fantastic!
Then NT user can also test the statistical experiment that went on traders lab forum sometimes back. According to that J.Perl's TRADING WITH MARKET STATISTICS threads: in normal situation if vwap>pvp then market has Long bias .. and it will be wrong to go short and vice versa. As such even without PVP indicator (which I feel is likely to be quite resource hungry), one can check that strategy by manually marking PVP line. However, ofc, with a fast PVP indicator it would be much better.

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  #26 (permalink)
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ManuAdam View Post
PSMF VWAP indicator is fast and works nicely. It would have been fantastic if PVP (Peak Volume Price) indicator is added with it. I would also request great master of futures.io (formerly BMT) forum Fattails to look at it. His ana series is simply fantastic!
Then NT user can also test the statistical experiment that went on traders lab forum sometimes back. According to that J.Perl's TRADING WITH MARKET STATISTICS threads: in normal situation if vwap>pvp then market has Long bias .. and it will be wrong to go short and vice versa. As such even without PVP indicator (which I feel is likely to be quite resource hungry), one can check that strategy by manually marking PVP line. However, ofc, with a fast PVP indicator it would be much better.

At first sight I do not agree with the idea that the market has a long bias if VWAP > PVP. There are several different cases to be considered:

(1) Days with unimodal distributions

If the point of control (POC, same as PVP) is significantly smaller than the VWAP, this means that the distribution is non-Gaussian and skewed to the downside. The tail points to the upside. If at all, this points to a short and not long bias, as the tail indicates price rejection. But the relative position of today's compared to yesterday's price volume distribution also matters. It is not possible to setup a quick and easy rule.

(2) Double distribution days (bimodal distribution)

Such days have seen a sudden shift in the value area during the trading session. The VWAP typically is located inside the trough between the two volume peaks. The POC is the higher of the two peaks and will typically be confirmed during the afternoon session. If I apply the rule above, this would favour a tendency to mean reversion. Again this depends on the prior days, and I cannot see how such a simple rule may work.

(3) Trimodal distributions (rare occasions)

This would be even more complex to judge.

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  #27 (permalink)
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Fat Tails View Post
@psmf: Interesting, but inaccurate, in particular during the first hour. The orange one is yours, the green one is the good one.

But I admit that the accuracy of my VWAP can still be improved, just working on it. Also your formula for the variance is faster to calculate, I had just modified mine recently.

The problem is to find an adequate formula for the variance estimation. I will share my findings.

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Hi Fat Tails-

I have noticed the inner band area of your VWAP is very similar to the Developing Value Area indicator. Do you use the Inner Band extremes as "value high and low".

thx

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  #28 (permalink)
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tflanner View Post
Hi Fat Tails-

I have noticed the inner band area of your VWAP is very similar to the Developing Value Area indicator. Do you use the Inner Band extremes as "value high and low".

thx


Yes the inner bands can be used as value area high and low. I do use them that way and display the value area from the prior trading day on my chart.

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However, the value area calculated from a VWAP can be quite different from the value area as used with market profile. Market profile builds its value area around the mode (point of control), while the value area of the VWAP is based on the mean (VWAP). On single distribution days the two value areas usually align well, but on double distribution days (or triple distribution days, which are pretty rare) the value areas can be quite different. The reason is shown below. The market profile value area is built around the mode (second peak), while the VWAP value area is built around the mean (trough).

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  #29 (permalink)
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Fat Tails View Post
Yes the inner bands can be used as value area high and low. I do use them that way and display the value area from the prior trading day on my chart.

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



However, the value area calculated from a VWAP can be quite different from the value area as used with market profile. Market profile builds its value area around the mode (point of control), while the value area of the VWAP is based on the mean (VWAP). On single distribution days the two value areas usually align well, but on double distribution days (or triple distribution days, which are pretty rare) the value areas can be quite different. The reason is shown below. The market profile value area is built around the mode (second peak), while the VWAP value area is built around the mean (trough).

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Do you give more importance to the VWAP value area or the market profile value area?

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  #30 (permalink)
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RickW00716 View Post
Do you give more importance to the VWAP value area or the market profile value area?

Both can be used. The value area calculated from market profile is probably better known. I hope that somebody else answers the question, maybe my friend @tigertrader.

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