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multiple day vwap?
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multiple day vwap?

  #21 (permalink)
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Fadi View Post
Hi guys
Excuse me; but anyone has a VWAP envelope indicator for NT7 they would recommend?

You are in the Sierra Chart section.

Mike

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  #22 (permalink)
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Big Mike View Post
You are in the Sierra Chart section.

Mike

Oups, LOL... sorry

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  #23 (permalink)
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Fat Tails View Post
21 days would be rolling month, 5 days a rolling week. For me personally a rolling month is good for the bigger picture. But then I am also after a rolling week, which tells me a lot about the current trend.

Below are chart for CL with the monthly and weekly rolling VWAP.


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Is it possible to use rolling weekly and monthly vwap on volume charts?

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  #24 (permalink)
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humseper View Post
Is it possible to use rolling weekly and monthly vwap on volume charts?

If the rolling VWAP is correctly coded this should be possible. It is now 11:15 AM EST. A rolling weekly VWAP just shows the volume-weighted average price of all transactions that occured during a rolling window of 5 business day, that is from Monday, February 2, 11:15 AM EST until Monday February 9, 11:15 AM EST. You can use an algorithm that calculates the average price directly from the volume bars, or the indicator can load a secondary bar series of minute bars / tick bars and use the secondary bar series for calculating the average price.

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  #25 (permalink)
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Build 1230 of Sierra changed the "continuous non-resetting" mode to be what is supposed to be a "Rolling VWAP".

However, I'm having a lot of trouble and the output doesn't make sense to me.

I no longer have NT installed. Can someone that has NinjaTrader as well as Sierra Chart do a comparison of @Fat Tails rolling vwap indicator alongside the Sierra version for the same instrument settings? In particular, please use a non-time based chart (ie a volume chart, or range chart) and make it span more than one week.

Sierra seems to think their implementation is accurate, and they are usually right. It just seems like it is wrong to me, so I'm looking for other opinions.

Mike

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  #26 (permalink)
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Big Mike View Post
Build 1230 of Sierra changed the "continuous non-resetting" mode to be what is supposed to be a "Rolling VWAP".

However, I'm having a lot of trouble and the output doesn't make sense to me.

I no longer have NT installed. Can someone that has NinjaTrader as well as Sierra Chart do a comparison of @Fat Tails rolling vwap indicator alongside the Sierra version for the same instrument settings? In particular, please use a non-time based chart (ie a volume chart, or range chart) and make it span more than one week.

Sierra seems to think their implementation is accurate, and they are usually right. It just seems like it is wrong to me, so I'm looking for other opinions.

Mike

@Big Mike: Could you please post a 30-min or 60-min chart for a common futures contract created with SierraChart and explain why it does not look right?

I will post the same chart with my rolling VWAP for comparison.

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  #27 (permalink)
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Fat Tails View Post
@Big Mike: Could you please post a 30-min or 60-min chart for a common futures contract created with SierraChart and explain why it does not look right?

I will post the same chart with my rolling VWAP for comparison.

Yes, but please also include a non-time based chart as that seems to be part of the issue.

Mike

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  #28 (permalink)
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ES Mar 2015, 90-day lookback, 30-minute chart, 6pm to 5:15pm (Eastern) session

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1-week VWAP (starts on Monday's session, Sunday open). To my knowledge, this is 100% accurate.

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1-day VWAP, new session at 6pm daily. To my knowledge, this is 100% accurate.

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2-day rolling VWAP, this looks wrong to me.

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5-day rolling VWAP, this looks wrong to me.

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Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
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2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
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4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
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  #29 (permalink)
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Same as above, but 100K volume chart.

1-week standard VWAP

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1-day standard VWAP

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2-day rolling VWAP

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5-day rolling VWAP

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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.

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  #30 (permalink)
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1-week VWAP does not look correct.


For comparison:


The 1- week VWAP itself (center line) looks correct. The standard deviation bands do not look correct. How can the standard deviation increase that fast, when only low volume is added during the night session? Maybe Sierra Chart have used a formula for the standard deviation that does not take into account volume. Such as standard deviation does not reflect the real (statistical) standard deviation of all trades during the week.

This is also a weakness of Bollinger Bands. Neither the moving average nor the standard deviation bands are representative for the trades that took place over the lookback period. Bollinger Bands are just a tool for retail traders, which should not be used.


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