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Simple VWAP indicator
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Created: by psmf Attachments:24

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Simple VWAP indicator

 
Trading Apprentice
NY
 
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psmf's Avatar
 
Posts: 14 since Nov 2010
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Simple VWAP indicator

Intraday only simple VWAP indicator based on Thinkorswim logic.

Enjoy

Happy trading to all.

Attached Files
Register to download File Type: zip VWAP.zip (2.2 KB, 1176 views)
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Thanks.

But, I would think that @Fat Tails version is much more popular and is already in its 40th revision with all kinds of features.

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https://futures.io/download/ninjatrader-7/indicators/674-download.html?view

Mike

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Big Mike View Post
Thanks.

But, I would think that @Fat Tails version is much more popular and is already in its 40th revision with all kinds of features.

Mike

It's slow and complicated.

My goal was to have simple, fast and match TOS version of VWAP.

Nothing new, just another indicator

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psmf View Post
It's slow

Uh oh, thems fightin' words! LOL



Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
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Big Mike View Post
Uh oh, thems fightin' words! LOL



Mike

Look like you took it personally
Please do not.

 
 
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psmf View Post
Look like you took it personally
Please do not.

No of course not, that is what the LOL was for

Sent from my Nexus 4

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
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6)
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psmf View Post
Intraday only simple VWAP indicator based on Thinkorswim logic.

Enjoy

Happy trading to all.

@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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Last edited by Fat Tails; March 20th, 2013 at 08:55 PM.
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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.

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.

Attached Thumbnails
Simple VWAP indicator-6j-06-13-5-min-3_20_2013.jpg  

Last edited by psmf; March 20th, 2013 at 10:22 PM.
 
 
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Fat Tails View Post
@psmf: Interesting,



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.

BTW, What are you using as input? Close?

Thank you.

 
 
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psmf View Post
BTW, What are you using as input? Close?

Thank you.

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.

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