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Showing results 1 to 13 of 13
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Posts Made By:
Fat Tails
Forum:
NinjaTrader
April 2nd, 2014, 04:37 AM
Replies:
57
Simple VWAP indicator
Views:
43,508
Posted By
Fat Tails
Oscillators and volume analysis.
Oscillators and volume analysis.
Forum:
NinjaTrader
April 1st, 2014, 04:50 PM
Replies:
57
Simple VWAP indicator
Views:
43,508
Posted By
Fat Tails
bmtrading9: In short I use it has a gauge or as a...
bmtrading9: In short I use it has a gauge or as a filter. I also use it for exits.
above upper 2 SD band -> exit part of long position, filter short for new entries
above VWAP, but below upper...
Forum:
NinjaTrader
January 22nd, 2014, 03:03 PM
Replies:
57
Simple VWAP indicator
Views:
43,508
Posted By
Fat Tails
Both can be used. The value area calculated from...
Both can be used. The value area calculated from market profile is probably better known. I hope that somebody else answers the question, maybe my friend tigertrader.
Forum:
NinjaTrader
January 22nd, 2014, 02:43 PM
Replies:
57
Simple VWAP indicator
Views:
43,508
Posted By
Fat Tails
Yes the inner bands can be used as value area...
Yes the inner bands can be used as value area high and low. I do use them that way and display the value area from the prior trading day on my chart.
...
Forum:
NinjaTrader
November 22nd, 2013, 05:24 PM
Replies:
57
Simple VWAP indicator
Views:
43,508
Posted By
Fat Tails
At first sight I do not agree with the idea that...
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...
Forum:
NinjaTrader
March 28th, 2013, 10:48 AM
Replies:
57
Simple VWAP indicator
Views:
43,508
Posted By
Fat Tails
The same applies to my own coding, which...
The same applies to my own coding, which gradually evolves towards simplicity and fewer bugs. :)
Forum:
NinjaTrader
March 28th, 2013, 07:36 AM
Replies:
57
Simple VWAP indicator
Views:
43,508
Posted By
Fat Tails
psmf: You do not need a separate DataSeries for...
psmf: You do not need a separate DataSeries for _VWAP, but can use the plot series. If you replace "Default" under Properties in line 120 with "_VWAP", you can then delete the lines 90, 56 & 29 from...
Forum:
NinjaTrader
March 27th, 2013, 05:18 PM
Replies:
57
Simple VWAP indicator
Views:
43,508
Posted By
Fat Tails
Zondor: It is fast and 100% accurate, as it loads...
Zondor: It is fast and 100% accurate, as it loads a 1-tick series.
However, it requires historical tick data. So it might take a little bit longer to load in the beginning. On real-time data it...
Forum:
NinjaTrader
March 27th, 2013, 05:02 PM
Replies:
57
Simple VWAP indicator
Views:
43,508
Posted By
Fat Tails
The difference is mainly speed. The old version...
The difference is mainly speed. The old version 40 uses an inefficient algorithm for the setting Variance_Last. An update is recommended.
For the version 40c, Variance_Price has become the default...
Forum:
NinjaTrader
March 27th, 2013, 04:40 PM
Replies:
57
Simple VWAP indicator
Views:
43,508
Posted By
Fat Tails
psmf: I had the indicator file attached. You can...
psmf: I had the indicator file attached. You can check it and use it for your version.
VWAP:
The indicator uses (Open + High + Low + Close)/4 for the input series. If you just use the closing...
Forum:
NinjaTrader
March 27th, 2013, 04:26 PM
Replies:
57
Simple VWAP indicator
Views:
43,508
Posted By
Fat Tails
Accuracy versus CPU load
This is a trade off between accuracy and CPU load.
The most accurate VWAP can be calculated from a 1-tick series, which is possible with GOMI's VWAP. This takes a toll on the CPU. If you calculate...
Forum:
NinjaTrader
March 27th, 2013, 01:48 PM
Replies:
57
Simple VWAP indicator
Views:
43,508
Posted By
Fat Tails
I am currently experimenting with different...
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...
Forum:
NinjaTrader
March 20th, 2013, 08:42 PM
Replies:
57
Simple VWAP indicator
Views:
43,508
Posted By
Fat Tails
psmf: Interesting, but inaccurate, in particular...
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,...
Showing results 1 to 13 of 13
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