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Exported using NT Version 7.0.1000.26
Indicator will only run on NT 7.0.1000.5 or later
The indicator displays the Volume Weighted Average Price of the selected session. It can be used on all types of charts.
You can apply the indicators to …
@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.
Agreed.
Goal was to match TOSs one and it has to be useful enough to make money.
I am using it on no more than 5 min chart, so accuracy of few .01s not that important.
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.
