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VWAP oscillator for NT8


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VWAP oscillator for NT8

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  #1 (permalink)
Escondido CA USA
 
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Hi. As the title suggests, I'm interested in a VWAP oscillator for NT8. I'm pretty sure one exists for one of the other platforms, but I did a lot of searching but couldn't find one. Any help?

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  #2 (permalink)
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Tuglife View Post
Hi. As the title suggests, I'm interested in a VWAP oscillator for NT8. I'm pretty sure one exists for one of the other platforms, but I did a lot of searching but couldn't find one. Any help?

It would help if you could specify what this oscillator does....

Does it compare price to the VWAP?
Does it measure some relationship between the VWAP bands?
Does it plot price in terms of the standard deviations?

Etc.

I was curious, and did a Google search too, and found a few different things. I didn't get deeply into any, so it would be interesting if you have some experience or knowledge of this indicator or some variation, or can give an example in another platform. (Sierra Chart, for instance, does not have one.)

You may also have some success by posting a request in the free NT indicator thread, and someone may be interested in coding it. If you post a request there, be sure to include a description with enough detail that a programmer would understand what is being requested.



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  #3 (permalink)
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bobwest View Post
It would help if you could specify what this oscillator does....

Does it compare price to the VWAP?
Does it measure some relationship between the VWAP bands?
Does it plot price in terms of the standard deviations?

Etc.

I was curious, and did a Google search too, and found a few different things. I didn't get deeply into any, so it would be interesting if you have some experience or knowledge of this indicator or some variation, or can give an example in another platform. (Sierra Chart, for instance, does not have one.)

You may also have some success by posting a request in the free NT indicator thread, and someone may be interested in coding it. If you post a request there, be sure to include a description with enough detail that a programmer would understand what is being requested.



Bob.

It just plots difference between VWAP on larger TF of your choosing and current TF of Chart.

It is quite interesting indicator.

It can have many ways to visually represent but above is the basic idea.

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  #4 (permalink)
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LastDino View Post
It just plots difference between VWAP on larger TF of your choosing and current TF of Chart.

It is quite interesting indicator.

It can have many ways to visually represent but above is the basic idea.

I assume that "different TF" means something like a daily VWAP vs. weekly VWAP, or something like that. I also found a "VWAP oscillator" that plots price compared to the VWAP on the current TF, hence the question about what was desired. There may be other possibilities.

But back to the original poster, @Tuglife, if this or some other indicator is what is being looked for, it probably can be coded in the free indicator request thread if you want to give that a try, and if no one comes up with an existing one.

I hope you have success in finding one that is already built, and that meets your specification.

Bob.

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  #5 (permalink)
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This was a late night post, so please excuse the sloppy explanation.

My conception of this oscillator would be as follows. It would be in a panel below the chart. Would be a single line that represents the deviation between price and VWAP expressed as a sigma value.

I find myself fascinated by the VWAP, and it seems predictive of support and resistance often enough to create high probability entries. The drawback to the traditional VWAP, as expressed by a "main VWAP" line and sigma lines on a chart is that price often reverses in an area between the 1,2,3 lines. I have tried to pin down exactly where pivot points are by changing the sigma values to something other than 1,2,3 but it still leaves me wondering where price *exactly* changed relative to VWap.

I'll take your advice Bob and head over to the indicator request subforum.

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Tuglife View Post
This was a late night post, so please excuse the sloppy explanation.

My conception of this oscillator would be as follows. It would be in a panel below the chart. Would be a single line that represents the deviation between price and VWAP expressed as a sigma value.

I find myself fascinated by the VWAP, and it seems predictive of support and resistance often enough to create high probability entries. The drawback to the traditional VWAP, as expressed by a "main VWAP" line and sigma lines on a chart is that price often reverses in an area between the 1,2,3 lines. I have tried to pin down exactly where pivot points are by changing the sigma values to something other than 1,2,3 but it still leaves me wondering where price *exactly* changed relative to VWap.

I'll take your advice Bob and head over to the indicator request subforum.

I think you are the first person to use the word sigma to describe standard deviation when it comes to VWAP. Nothing wrong with that as they mean the same thing but it reminded me of my college days...

Be very, very specific when detailing what you want to see. I use VWAP / SDs etc. and I have seen a few VWAP oscillators floating about (on TradingView for example) but I don't think this is what you are looking for as these generally involve comparing to higher time frames.

From what I think you are asking, this doesn't appear to be too difficult. My question is; Is this something you have proved on paper to have some significance or do you want an indicator created just so you can see if it has any significance?

The only reason I am asking is because I have sliced and diced VWAP in every single possible way and the only method I have ever used something like this was for a mean reversion strategy.

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  #7 (permalink)
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Hi Jonny. As far as significance, I'm not really sure what the right answer is. I am very interested in VWAP mean reversion strategies. I just think it would be easier to nail down exactly where support/resistance is with such an oscillator. It might be overkill, because I can adjust the SD (sigma) in the chart indicator settings.

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Tuglife View Post
Hi Jonny. As far as significance, I'm not really sure what the right answer is. I am very interested in VWAP mean reversion strategies. I just think it would be easier to nail down exactly where support/resistance is with such an oscillator. It might be overkill, because I can adjust the SD (sigma) in the chart indicator settings.

Yeah, I was going to say that but I did see that you already have moved around the SDs etc.

Mean reversion to VWAP can be extremely profitable but it can also have your trying to catch a falling knife. Using the intraday VWAP and SD levels is great, but using the bigger picture VWAP as well; Weekly, Monthly, ETH session might give you locations where ''things happen'' that you just don't see on the RTH VWAP intraday chart...if that makes sense.

With that said, mean reversion strategies work well when combining it with the ATR for example.

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  #9 (permalink)
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I think I'm starting to see what you mean about higher time frame setups. This is a monthly VWAP on YM. Really paints a picture, doesn't it?



And yeah, mean reversion is kind of like catching the knife. It's either that, or paying for confirmation. In what way do you use ATR together with VWAP mean reversion?

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Tuglife View Post
I think I'm starting to see what you mean about higher time frame setups. This is a monthly VWAP on YM. Really paints a picture, doesn't it?



And yeah, mean reversion is kind of like catching the knife. It's either that, or paying for confirmation. In what way do you use ATR together with VWAP mean reversion?

Yup and I learned it from here only
chartCapture


Also, 2nd from bottom is my own coded vwap oscillator, but it does not work in a way you had mentioned but what I've posted before. Leaving there just for reference. Its comparable to AO indicator just slightly more efficient/responsive.

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