multiple day vwap? - Sierra Chart | futures io social day trading
futures io futures trading


multiple day vwap?
Updated: Views / Replies:13,059 / 89
Created: by gonzofist Attachments:27

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 27  
 
Thread Tools Search this Thread
 

multiple day vwap?

  #11 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,651 since Mar 2010
Thanks: 4,226 given, 25,597 received
Forum Reputation: Legendary


Big Mike View Post
I wanted to explore using a rolling VWAP, but am having trouble with Sierra.

It would seem the setting of "continuous non-resetting" would be correct. For example, if you specify 21 days then what I would expect is a 21-day rolling VWAP, where the 22nd session is continually dropped.

But that isn't the actual result. Where am I going wrong?

For example, to create a 21-day rolling VWAP (monthly) and a 5-day rolling VWAP (weekly).

Mike


The correct way of building a rolling VWAP is to move away from the concept of the anchored average. A rolling VWAP has no anchor point, but continually evolves.

Right now it is Wednesday, 4th February 2015, 9:40 AM. A 5-day rolling VWAP should cover the trade data of 5 full business days. As there was no holiday during the last 7 days, this would be the period from Wednesday, 28th January 2015, 9:40 AM until now. When new data is added at the end of the period, the data at the beginning of the period needs to be dropped.

The correct way of calculating this is

-> first calculated the VWAP of the last five contractual trading days
-> then add today's data from the session start until 9:40 AM
-> then subtract the data 5 trading days ago from the session start until 9:40 AM

A special case would be a double day trading session such as Martin-Luther-King Day. In that case the lookback period of 5 days would cover 6 trading days. The data of both the holiday and the next business day would need to be removed simultaneously in order to avoid any gaps. At least that is the solution that I have adopted for my rolling VWAP.


A simple solution for minute charts:

A pretty simple solution is possible, if you use the rolling VWAP on a minute-based chart. The rolling VWAP is pretty similar to a moving average, in fact a volume-weighted moving average. Let us therefore take a 15-min chart of ES 03-15 as an example.

One calendar day has 1,440 minutes or 96 slices of 15 min periods. As the electronic market for ES is closed from 3:15 CT to 3:30 CT and from 4:15 to 5:00 PM, a 15 min chart for ES will show 92 bars per business day. Therefore the 5-day rolling VWAP itself can be easily set up as volume-weighted average price (VWMA) with a period of 460. Best select the typical price or the arithmetic average calculated from open, high, open & close as input series. The bands can be obtained by calculating a volume weighted standard deviation with a period of 460. This indicator second indicator is not easily available. However, the VWMA(460) cannot cope with trading days that have less than 92 bars per session.

Below is a comparison:

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Reply With Quote
The following 2 users say Thank You to Fat Tails for this post:
 
  #12 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,238 since Jun 2009
Thanks: 29,350 given, 83,214 received

@Fat Tails, I know and that is what I want to try. Hopefully @SierraChart will add native support

Sent from my phone

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)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
The following user says Thank You to Big Mike for this post:
 
  #13 (permalink)
Elite Member
Georgia, US
 
Futures Experience: None
Platform: Various
Favorite Futures: Various
 
josh's Avatar
 
Posts: 4,897 since Jan 2011
Thanks: 5,143 given, 11,242 received


do you have a particular aversion to using a study that already does exactly what you want?

Reply With Quote
 
  #14 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,238 since Jun 2009
Thanks: 29,350 given, 83,214 received


josh View Post
do you have a particular aversion to using a study that already does exactly what you want?

After the hell I went through to get the bands the way I want them on the monthly chart, I would prefer not having to re-create that (or if it is even possible) with a different tool.

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)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
 
  #15 (permalink)
Elite Member
Luxembourg
 
Futures Experience: Advanced
Platform: NinjaTrader
Broker/Data: IB / Kinetick
Favorite Futures: ZN
 
Fadi's Avatar
 
Posts: 482 since Apr 2012
Thanks: 650 given, 625 received

I usually use a simple moving average applied on the VWAP of each candle (day) as opposed to the classical "Close Price" or "Typical Price" sometimes...

Is that anything close to what you guys are trying to achieve?

I am in no way as technical as you are, just trying to understand and feed my curiosity.
The plot is readily available in TWS.

Successful people will do what unsuccessful people won't or can't do!
Reply With Quote
 
  #16 (permalink)
Elite Member
Georgia, US
 
Futures Experience: None
Platform: Various
Favorite Futures: Various
 
josh's Avatar
 
Posts: 4,897 since Jan 2011
Thanks: 5,143 given, 11,242 received


Fadi View Post
I usually use a simple moving average applied on the VWAP of each candle (day) as opposed to the classical "Close Price" or "Typical Price" sometimes...

Is that anything close to what you guys are trying to achieve?

Well, it's highly inaccurate, as the volume each day is different, and you're not getting an average at all. It would be like averaging the test scores of 30 students of one class, at a score of 75, and averaging the scores of the next class of 10 students, at a score of 95, and incorrectly calculating the "average" to be 85, which it is not.


Fadi View Post
The plot is readily available in TWS.

Have not used it, would not rely on it in the least, without checking the margin of error with reliable data. IB sometimes has these end of day massive volume prints in the futures contracts that throw off any kind of volume indicators.

Reply With Quote
The following user says Thank You to josh for this post:
 
  #17 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,238 since Jun 2009
Thanks: 29,350 given, 83,214 received

Built-in rolling VWAP will be in the next build of Sierra Chart.

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)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
The following 2 users say Thank You to Big Mike for this post:
 
  #18 (permalink)
Hi Mom!
Bridgeport, Ct
 
Futures Experience: Intermediate
Platform: Sierra
Favorite Futures: Gold, Oil
 
TheShrike's Avatar
 
Posts: 365 since Jun 2012
Thanks: 1,027 given, 472 received


Big Mike View Post
Built-in rolling VWAP will be in the next build of Sierra Chart.

Mike

Did you talk to them Mike, or was it already planned?

Reply With Quote
 
  #19 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,238 since Jun 2009
Thanks: 29,350 given, 83,214 received


TheShrike View Post
Did you talk to them Mike, or was it already planned?

I sent an email to Anthony asking for help before I realized it wasn't already built-in... I guess that is the advantage afforded me of being 'futures.io (formerly BMT)', but in fairness they do it for anyone and as quickly, too, when they agree on what you want changed or added. That is one of the best things about @SierraChart, quick release cycles.

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)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
The following 4 users say Thank You to Big Mike for this post:
 
  #20 (permalink)
Elite Member
Luxembourg
 
Futures Experience: Advanced
Platform: NinjaTrader
Broker/Data: IB / Kinetick
Favorite Futures: ZN
 
Fadi's Avatar
 
Posts: 482 since Apr 2012
Thanks: 650 given, 625 received


Hi guys
Excuse me; but anyone has a VWAP envelope indicator for NT7 they would recommend?
I would like to experiment a bit during the weekend... got hold of various indicators on futures.io (formerly BMT) and the internet, but not sure which one is the best, or the one you would recommend.

Thanks
Fadi

Successful people will do what unsuccessful people won't or can't do!
Reply With Quote

Reply



futures io > > > > multiple day vwap?

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Linda Bradford Raschke: Reading The Tape

Elite only

Adam Grimes: TBA

Elite only

NinjaTrader: TBA

January

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Using VWAP in your trading Big Mike The Elite Circle 173 January 25th, 2016 10:22 PM
TWAP and VWAP bomberone1 EasyLanguage Programming 27 May 7th, 2015 09:26 AM
Intrabar VWAP Eubie NinjaTrader Programming 6 February 3rd, 2012 06:12 PM
Calculate GAP (Close of Prior Day, Open of Current Day) bluemele NinjaTrader Programming 16 January 19th, 2011 10:19 PM
VWAP question Todd NinjaTrader Programming 3 March 14th, 2010 07:13 PM


All times are GMT -4. The time now is 07:43 AM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-12-11 in 0.18 seconds with 20 queries on phoenix via your IP 54.226.132.197