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multiple day vwap?
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multiple day vwap?

  #1 (permalink)
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multiple day vwap?

Hi everyone,

I just watched the Fat Tails webinar on session indicators again, and I was wondering how to plot the vwap for multiple days the way he does. He uses it as a trend filter (price above current day vwap, and current day vwap above 2-day vwap is bullish and so on.)

I am on Sierra Charts and I tried setting the time period length for the study to 2 days. This is similar to what I am looking for but it resets every 2 days, so the day that it resets it lines up with my current day vwap and serves little purpose. I would like it to plot from the previous days data, and the current days data, everyday, instead of every other day.

I threw together an example of what I am talking about, and the slide from his presentation that got my attention. On my chart the pink line is current day vwap, the red is 2 day vwap and the dotted white line is the 1st standard deviation from the current day vwap. As you can see the next day they both reset and match up exactly on mine, and they start at different price levels each day on his.

I'm not sure if this is possible or really useful at all, but I am trying out new ways to identify trends and I liked the way Fat Tails used this in the webinar. Any help is greatly appreciated.

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  #2 (permalink)
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Instead of a rolling 3 day vwap I have been using Fat Tails anaRollingPivots indicator with a 3 day lookback to plot the 3 day static VWAP. Hope this helps. Hmm well I see you are using Sierra Charts so I guess this does not help you much sorry.


Last edited by dakine; July 26th, 2012 at 07:14 PM.
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  #3 (permalink)
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I am actually currently using ninja also for that purpose. I was just curious if there was a way to make Sierra do something similar. Thanks for the help though.

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  #4 (permalink)
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How to display a 3-day rolling VWAP

Actually a rolling VWAP is a funny animal. To understand it you just need to look at how it has been generated.

The VWAP is an offshoot of the volume weighted moving average VWMA. The VWMA has a fixed period, whereas the VWAP is anchored, usually to the first bar of the session. This means that the bar period of the VWAP increases with every bar of the session, until a new session starts.

Now if you talk about a rolling VWAP, you come back to the original concept of the VWMA. A 3-day rolling VWAP is nothing else than VWMA with a constant lookback period of 3 days. If you use minute charts, you can indeed substitute it directly with the VWMA.

For example on a 5 minute chart for ES you can use a VWMA with a lookback period of 837 bars. The period can be calculated by counting the number of bars per day. A day has 12 x 24 = 288 of those 5-minute bars. If you deduct the two breaks of 15 and 30 minutes, you end up with 279 bars per day. For three days this would be 837 bars.

If you use tick, volume or range charts, it is not so easy to determine the period, but the algorithm needs to deduct the bars that drop out of the period of the beginning and then add the new bars that are added at the end. Also the standard deviation bands cannot be easily calculated.

You would need to code an indicator, which does exactly what you look for.

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  #5 (permalink)
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gonzofist View Post
I am actually currently using ninja also for that purpose. I was just curious if there was a way to make Sierra do something similar. Thanks for the help though.

Hi Gonzofist

take a look to th Running Vwap Bands study.
you find it under :studies->Add Custom study ->UserContributedStudies->RunningVwapBands

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21 day rolling vwap

I personally really like the idea of a rolling VWAP. I struggle to interpret the VWAP immediately after it resets. I used to look at the previous month's, but then I didnt know when to switch to the new. The rolling VWAP seems to fix that issue for me.

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prohlfer33 View Post
I personally really like the idea of a rolling VWAP. I struggle to interpret the VWAP immediately after it resets. I used to look at the previous month's, but then I didnt know when to switch to the new. The rolling VWAP seems to fix that issue for me.

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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  #8 (permalink)
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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

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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

@Big Mike Use the user contributed "ECIVwapChannelV1.4" that wwwingman added. It is a rolling VWAP, which the built-in study does not do. The built-in study begins on day 1 of the chart (or whatever the start date of VWAP study is), and resets every X days, instead of doing what you are intending.

Still, a moving average like you are wanting to set up will be not drastically different from a price-based 21-period MA, for example--they both are "lagging" and subject to the same fundamental limitations. If you haven't checked it out, the ECIVWapAnchor study lets you easily start the vwap at any place with a mouse click (or use the built in vwap study and manually change the start date/time, though it's a little more cumbersome) and allows you to see vwap over a specified period.

The question with anything like this is, what period to use? Why a 21 day, and not a 10 day? Neither choice takes anything in context. With a daily vwap, the reason is clear for using the day time frame. Anchoring a vwap at 2/2 makes sense, as it's the low of the current move up, or at Oct 31, as it was the beginning of a significant event in the market, or from the mid Oct lows. A rolling/moving average can be useful, but the selection of period is arbitrary and that's what makes it tough for me personally to put lots of confidence in.


Last edited by josh; February 4th, 2015 at 12:58 AM.
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josh View Post
@Big Mike Use the user contributed "ECIVwapChannelV1.4" that wwwingman added. It is a rolling VWAP, which the built-in study does not do. The built-in study begins on day 1 of the chart (or whatever the start date of VWAP study is), and resets every X days, instead of doing what you are intending.

Still, a moving average like you are wanting to set up will be not drastically different from a price-based 21-period MA, for example--they both are "lagging" and subject to the same fundamental limitations. If you haven't checked it out, the ECIVWapAnchor study lets you easily start the vwap at any place with a mouse click (or use the built in vwap study and manually change the start date/time, though it's a little more cumbersome) and allows you to see vwap over a specified period.

The question with anything like this is, what period to use? Why a 21 day, and not a 10 day? Neither choice takes anything in context. With a daily vwap, the reason is clear for using the day time frame. Anchoring a vwap at 2/2 makes sense, as it's the low of the current move up, or at Oct 31, as it was the beginning of a significant event in the market, or from the mid Oct lows. A rolling/moving average can be useful, but the selection of period is arbitrary and that's what makes it tough for me personally to put lots of confidence in.

I want to test a 5-day instead of weekly, 21-day instead of monthly. That is where the numbers come from.

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.
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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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