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Simple VWAP indicator


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Simple VWAP indicator

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  #1 (permalink)
psmf
NY
 
 
Posts: 14 since Nov 2010
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Intraday only simple VWAP indicator based on Thinkorswim logic.

Enjoy

Happy trading to all.

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 Big Mike 
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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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psmf
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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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 Big Mike 
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psmf View Post
It's slow

Uh oh, thems fightin' words! LOL



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psmf
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Uh oh, thems fightin' words! LOL



Mike

Look like you took it personally
Please do not.

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 Big Mike 
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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

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 Fat Tails 
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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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psmf
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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.

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psmf
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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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 Fat Tails 
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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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