Does any platform have PVP indicator?

April 17th, 2017, 10:08 AM

Silvester17

not difficult to create with ninja trader.:

but I would have a hard time to follow the logic. I assume the scenario is, if vwap is above pvp, we have a long bias. and if vwap is below pvp, we have a short bias. looking at the chart (last 3 days), I'm not so sure it would have been a successful strategy.

anyway, @Fat Tails made a great post about this idea:

Simple VWAP indicator

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 …

The strategy uses VWAP with 1 and 2 ST bands and he used a 2 min chart.

The logic:

Long entry = VWAP > PVP and price action above VWAP.
Short entry = VWAP < PVP and price action below VWAP.
No trade = VWAP approx. at PVP

I figured @Fat Tails or someone on FIO had been through this material before, but I hadn't been able to find it up to this point. Thank you for pointing that out to me.

April 17th, 2017, 10:20 AM

bathrobe

It was similar to that, if not exactly that. The strategy also used weekly and monthly VWAPs and standard deviations on all of them for add in points if you are comfy with that.

I'm very comfy with that

here are monthly vwap and pvp. still having a hard time with that logic

ALC77

The strategy uses VWAP with 1 and 2 ST bands and he used a 2 min chart.

The logic:

Long entry = VWAP > PVP and price action above VWAP.
Short entry = VWAP < PVP and price action below VWAP.
No trade = VWAP approx. at PVP

I figured @Fat Tails or someone on FIO had been through this material before, but I hadn't been able to find it up to this point. Thank you for pointing that out to me.

that should look like this:

April 17th, 2017, 10:55 AM

Silvester17

I'm very comfy with that

here are monthly vwap and pvp. still having a hard time with that logic

that should look like this:

Where can I get the GomMPPro 5.3 that you have on the charts that you posted?

April 17th, 2017, 10:58 AM

bathrobe

It was similar to that, if not exactly that. The strategy also used weekly and monthly VWAPs and standard deviations on all of them for add in points if you are comfy with that.

It sounds like you've tried the strategy / logic before. Can I ask what your thoughts and experiences were?

April 17th, 2017, 11:04 AM

Well I coded it up years ago and it was roughly flat over a 1 month period running automated on a sim. I think it could be good but I just trade in a different way. I was trying it as an automated strategy only though.

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April 17th, 2017, 11:23 AM

ALC77

Where can I get the GomMPPro 5.3 that you have on the charts that you posted?

the GomMPPro indicator is by @gomi:

https://www.gomicators.com/

and if interested, the vwap indicator is by @devdas:

https://www.edevaay.com/tool-box/drawcator-vwap/

April 17th, 2017, 09:33 PM

dakine

Almost all do. PVP can also be described as Volume POC (Point of Control).

@dakine I found some stuff here from a few years ago that you posted about Jperl's Market Stats stuff. Do you or have you used the Jperl stuff?

April 18th, 2017, 02:13 PM

Yes, I still use those concepts in my trading. Mainly entering the market at vwap or sd1's and taking short term targets at sd1 sd2 sd3. Skew I have a little issue with as he gives different trades different weights, I weight all trades the same. It is not a holy grail system but it has helped me.

Does any platform have PVP indicator?

Discussion in Platforms and Indicators

Does any platform have PVP indicator?